中国房市和股市财富效应之比较实证分析(1994—2013)

An Empirical Analysis of the Wealth Effect in China's Real Estate and Stock Markets,1994- 2013

基于1994-2013年的数据,文章既比较实证分析了中国房市和股市财富效应的总体情况,又对财富效应的持久成分和暂时成分进行了分解。结果表明:(1)中国房地产市场在长期和短期内都存在微弱的正的财富效应,而股票市场短期内存在微弱的正效应,长期内存在微弱的负效应。(2)中国的消费和居民可支配收入的波动(冲击)中暂时成分的比例较高,而中国房地产财富和股票财富的波动(冲击)则以持久成分为主。

The paper offers a comprehensive empirical analysis of the wealth effect in China' s real estate and stock markets, as well as the lasting and temporary constituents of the wealth effect. We conclude that (1) China' s real estate market shows weak positive wealth effect both in the long-term and the short-term, while the wealth effect of the stock market is weak positive in the short-term and weak negative in the long-term; (2) innovations of China' s consumption and disposable income contain a comparatively higher proportion of transitory elements, while the innovations of China' s real estate wealth and stock wealth is mainly composed of permanent elements.