货币政策利率变动与房地产市场波动关系研究

通过采用EGARCH（1，1）模型，实证分析以一年期贷款基准利率为代表的货币政策利率变量对国内房地产行业上市公司股票价格波动的影响效应，研究考察涵盖2008年9月1日至2013年5月8日样本区间内主要房地产上市公司股票价格对央行政策利率的调整的反应，研究显示，具有代表性的贷款基准利率变化和调整对国内房地产行业股票收益率的影响显著且方向为负——利率调升则上市房地产企业股票价格向下调整，反之，如果政策利率处于下降通道则房地产企业股票价格向上调整。进一步分析则发现，国内房价历史信息可以部分地解释房地产市场的波动；房地产业股票价格波动具有群聚性，其股票价格收益率对宏观经济信息的反应呈现出一定的杠杆效应特征，即利好消息和负面消息对股票收益率的波动有非对称性影响，具有负面性的政策信息对地产市场的冲击往往大于对等程度的正面利好消息对市场波动的影响。

Study on the Relationship between Changes of Monetary Policy in Interest Rates and Fluctuations in the Real Estate Market

The paper examines impacts of monetary policy, mainly in one year benchmark lending rate, on property yields of main domestic listed corporations in real estate market using exponential generalized autoregressive conditional heteroskedasticity analysis. We focus on reactions of domestic listed real estate corporations＇ stock returns to adjustment of central bank interest rate. Our empirical results suggest that change or adjustment of representative benchmark lending rate has a significant negative impact on stock returns in the real estate market in China. Rising interest rate leads to decline of housing stock prices. On the contrary, if interest rate goes down, the real estate corporations＇ stock price will decrease accordingly.Through further research, we find that historical information of housing prices can partly explain prices of real estate market now. Volatility of property yields in real estate market has a characteristic of clustering. Stock returns＇ reaction to macroeconomic information shows a phenomenon of leverage effects. The impacts of good news and bad ones on property yields are asymmetric. Negative policy information has greater impacts on the real estate market than positive ones.