基于MS-VAR模型的我国房地产市场与金融市场的互动关系研究

The Research on the Interactive Relationship Between the Real Estate Market and the Financial Market based on the Model of MS-VAR

近年来,房地产市场和金融市场之间的联系不断加强,相互作用也越来越明显,两市之间的互动作用对于我国经济的稳定发展有着至关重要的影响。本文选取了2006年3月到2015年2月的数据,结合脉冲响应函数定量地研究房地产与四大金融市场的联动性,以及在不同区制下不同金融市场对房地产市场的短期及长期的非对称性影响。通过构建MSIH(2)-VAR(5)模型得出股票市场、外汇市场及货币市场与房地产市场间的互动关系较强。在低波动区制下,股票市场与外汇市场对房地产市场的影响更大,而货币市场在高波动区制下影响幅度较大,但其响应趋势、响应速度及收敛程度在两区制下基本相同。从而为进一步改进和加强房地产宏观调整,促进房地产市场的持续稳定发展提供一定的依据。

In recent years,the interactive relationship between the real estate market and financial market is continuously getting strengthening. This relationship is correspondingly becoming more and more obvious. The interactive effect between the two markets plays a crucial role in the steady development of our country’s economy. In this paper,we select the data from March 2006 to February 2015. Then,we analyze the interactive relationship between the real estate market and the four financial markets basing on the results of impulse response function and the short- term and long-term asymmetry effects of the real estate market affected by the different financial markets under different regimes. It is concluded that the interactive relationship among stock market,foreign exchange market,money market and the real estate market is strong according to MSIH( 2)- VAR( 5) model. In low volatility regime,stock market and foreign exchange market have a greater influence on real estate market,while the money market has a stronger influence in high volatility regime. However,the response trend,response speed and degree of convergence in two regimes are basically same. Thus,we provide a certain basis to further improve the adjustment of real estate macroeconomic and promote the steady development of the real estate market.