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2001~2008年我国房地产价格与金融市场关系的实证研究
张炯 贾仁甫 张兵
(扬州大学房地产研究所, 江苏 扬州 225002)
文献要素
[摘 要] 目前国内外仅限于房价与单个金融市场联系的研究,缺少对整体金融市场的把握。本文所涉及金融市场是由银行信贷、货币和股票市场构成,利用房价和金融市场数据建立VAR模型,并对其进行相关性、Granger因果检验、脉冲响应和方差分解,探讨2001~2008年金融市场的结构变化,提出建议。
[关键词] 房价;金融市场;脉冲响应;方差分解
Abstract: Present research is only focus on the relationship between housing price and certain financial market, but the research on whole financial market is hard up. The financial market in this paper consists of bank credit, money market and stock market, and a VAR model is established based on the housing and financial date. The structure transformation of financial market from 2001 to 2008 is discussed through correlation, Granger test, impulse response and variance decomposition, and some suggestions are put forward.
Key words: housing price; financial market; impulse response; variance decomposition
[参考文献]
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建筑经济,2009(12):47-50
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