我国信贷资金流人股票市场、房地产市场的实证估计

Empirical estimation for capital flow into stock and real estate markets from monetary and credit accounts

以贷款总额、M2、工业增加值、CPI为变量,构建VAR模型,对我国曾出现的信贷资金流入股票、房地产市场的数量进行实证估计.模型以经济理论为基础,在通过经济检验和统计检验的基础上,对信贷资金流入股市房市的数量做出估计.实证结果表明:2007、2009年有大量的信贷资金流入股市房市,并且2007年底股市见顶前最后几月不断有场外资金流入;模型还探讨了资金从股市房市中流出的情况,发现2005年有大量资.金从股市房市中流出,特别是2005年股市见底前最后几个月资金持续从市场中流出.基于模型的估计结果,能够对过去几年我国经济中的一些重要现象做出更好的解释.另外将模型应用于股市资金流向的监测,利用监测结果模拟了一个趋势投资,回溯检验发现趋势投资收益远强于市场表现.

This paper aims at empirically investigating capital flow into the stock and real estate markets from the monetary and credit accounts in China.A Vector Autoregressive Model is built with variables of total loans,M2,industrial added value,,and CPI,based on economic theory.Empirical results from the model show that there were a large amount of capital flow into the stock and real estate markets in 2007 and 2009,in particular,the capital flow into the stock markets consecutively for several months in 2007 before the stock markets reached their peaks.The model is also applied in investigating that capital outflow from the stock and real estate markets,and find that the capital outflow from the stock markets consecutively for several months in 2005 before the stock markets reached their bottoms.Empirical results present better explanations for the economic phenomena in China in last several years.The model is employed in monitoring capital flow into or out of the stock markets.An investment strategy simulation is constructed based on the monitoring results.Back test shows that the investment strategy simulation can get abnormal return much more than the market return.