国际资本流动与房地产、上证市场联动性研究

International capital flow and real estate industry, Shanghai stock market relation research

去年底以来,我国出现了国外短期资本出逃的现象,这直接导致了人民币兑美元汇率的连续"跌停"。一方面,作为国外资本的主要投资场所,房地产市场和上证市场的发展状况直接影响了国外短期资本的投资热情;另一方面,国外短期资本的流动也影响着房地产市场和上证市场的发展。鉴于此,本文从外汇储备、房地产市场以及上证市场三个角度,结合相关的实证分析方法,来深刻揭示这三者之间的相互影响关系。分析过程用到的方法包括ADF检验、协整检验、格兰杰因果检验、脉冲响应函数分析、方差分析等。最后得出三者间存在较为明显的联动效应的结论。

Foreign short-term capital flight have showed a short-term capital exodus since the end of 2011.This leads to the RMB＇s falling to the bottom of its official trading band against the US dollar.As attractive markets for foreign investors,the development of the real estate market and the stock market has a direct impact on short-term capital investment enthusiasm.On the other hand,the capital exodus seriously impacted the real estate market and Shanghai stock market.This article aims to reveal the relationship of the foreign exchange reserves,real estate market and the Shanghai stock market,by using the empirical methods of ADF test methods,Cointegration test,Impulse response function analysis,analysis of variance.It is concluded that there is an obvious linkage effect among these three markets.