房价、股价增长变化与货币政策调整

Change in Housing Price,Stock Price and Monetary Policy Adjustment

选取1997年1月至2020年5月代表全国房价、股价、货币政策的月度数据,建立多元GARCH模型,分析了货币政策调整与股价、房价增长三者间的相互影响。通过研究发现,中国货币政策的调整与房价增长有显著的相互影响,股价增长会影响房价增长,货币政策调整与股价增长之间关系较弱。考虑变量市场波动聚集性特点,用多方程模型系统研究房价、股价增长与货币政策调整三者关系是研究的主要特色。

This paper selects the monthly data of housing price,stock price and monetary policy from January 1997 to May 2020 to establish a multivariate GARCH model to analyze the interaction effect among monetary policy adjustment,stock price and housing price.The results show that there is a significant interaction effect between the adjustment of monetary policy and the change of housing prices.The increase of share price will affect the increase of housing price,and the adjustment of monetary policy has little relationship with the stock price.The main contribution of this paper is systematically studying the relationship among housing price,stock price and monetary policy adjustment with multi-equation model considering the aggregation characteristics of market volatility of multiple variables.