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房地产市场与股票市场的关系一直是学术界关注的焦点。本文认为,房地产市场与股票市场之间的关系主要有三种形式,即财富效应、信贷价格效应和替代效应。并在此基础上,建立VEC模型,运用Granger检验、方差分解和广义脉冲响应函数的计量方法,分析在三种效应的作用下,房地产各细分市场的价格对股票价格的影响。结果表明:短期内,各细分市场的价格变化并不会影响股价;长期看,无论是房地产销售市场、土地交易市场、或是房地产租赁市场,对股票市场的作用主要表现为正财富效应和信贷价格效应;房地产销售市场的价格波动对股价影响最大,而土地交易和房地产租赁市场的价格波动对股价影响较为微弱。
The relationship between the real estate market and the stock market has always been the focus of academia. This paper argues that the relationship between the real estate market and the stock market mainly has three forms, namely, the wealth effect, the credit price effect and the substitution effect. Based on this, the VEC model is established. By using Granger test, variance decomposition and generalized impulse response function measurement method, the influence of the price of each real estate market on the stock price under three effects is analyzed. The results show that: in the short term, the price changes in all market segments will not affect the share price; in the long run, the effect on the stock market will be mainly positive wealth effect and real estate sales market, land transaction market or real estate leasing market Credit price effect; price fluctuations in the real estate sales market have the strongest impact on the share price, while price fluctuations in the land transaction and real estate leasing market have weaker impact on the stock price.