我国货币政策与股票市场以及房地产板块的溢出效应分析

An Empirical Analysis of the Spillover Effect between China’s Monetary Policy and both the Stock Market and the Real Estate Market

本文检验了以利率表征的货币政策对股票市场以及房地产板块的溢出效应。本文的研究结果指出，SHIBOR和上证综指收益率以及上证房地产指数收益率之间不存在统计意义上显著的均值或者一阶矩溢出效应，但SHIBOR对两指数收益率存在着统计意义上显著的波动率或者二阶矩溢出效应。深入来看，SHIBOR对上证房地产指数收益率的波动率溢出效应要强于对整体股市的。另外，上证综指收益率和上证房地产指数收益率对SHIBOR同样存在着显著的二阶矩溢出效应。此外，SHIBOR和两种指数收益率存在着比较类似的弱负相关关系。本文在一定程度上揭示了货币政策和股市以及房地产板块之间的关联性，对于货币政策的操作以及对于货币政策作用机制的进一步深入研究具备一些启示。

This paper examines the spillover effect between China＇s monetary policy represented by the interest rate （SHIBOR） and both the stock market and the real estate market of China. The result of this study indicates that there is no statistically significant first-order moment spillover effect between SHIBOR and both the Shanghai Composite Index yield and the SSE Real Estate Index yield. However, there is a statistically significant volatility spillover effect between SHIBOR and those two Index yields. Moreover, compared with the Shanghai Composite Index yield, SHIBOR holds stronger volatility spillover effect on the SSE Real Estate Index. The yields on the Shanghai Composite Index and the SSE Real Estate Index also have significant second-order moment spillover effect on SHIBOR. In addition, there is relatively similar weak negative correlation between SHIBOR and the two index yields. This paper reveals the relationship between the monetary policy and both the stock market and the real estate section to a certain extent, which has some enlightenment for the further operation of the monetary policy in China and future studies of the mechanism of the monetary policy.