中国股票市场与房地产市场的联动关系  

Interaction between China Real Estate and Stock Market

作　　者：巴曙松[1,2] 覃川桃[1] 朱元倩[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026 [2]国务院发展研究中心金融研究所,北京100010

出　　处：《系统工程》2009年第9期16-21,共6页Systems Engineering

摘　　要：利用变点检验、线性和非线性Granger因果检验的计量方法研究了房地产市场化改革完成后中国股票市场和房地产市场的关系。实证结果表明:上证综合指数和国房景气指数均为分段趋势平稳序列,外生冲击对二者只有短暂的影响;从房改完成后的历史数据来看,房地产市场在一定程度上成为中国国民经济的晴雨表,正在完善之中的中国股票市场与宏观经济走势的联系仍不十分密切;两者的互动关系表现为股市是房市的线性Granger先导,而房市在一定程度上对股市有滞后的非线性Granger的引导作用。Recovery Rate （RR） is the basic variable of credit risk management, which is influenced by the financial situation of the obligor. The cash flow is uncertainty when a corporate is faced with financial distress. Based on continuous-time asset pricing theory, this paper develops a RR model under the assumption of stochastic cash flows, where RR is determined endogenously by the corporate finance structure. Under our assumptions, recovery rate is positively correlated with the company＇s cash flow pressure, cash flow drift rate and corporate default interval relative length, negatively correlated with cash flow volatility. The results are empirically tested with data on Sichuan large sum non-performing loans.

关 键 词：结构突变 非线性Granger 联动 

分 类 号：F830[经济管理—金融学]