| 中国房地产市场与金融市场的Granger因果关系分析 |
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| 引用本文： | 皮舜.中国房地产市场与金融市场的Granger因果关系分析[J].系统工程理论与实践,2004,24(12):29-33. |
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| 作者姓名： | 皮舜 |
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| 作者单位： | 清华大学经济管理学院 |
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| 摘 要： | 在中国1997到2003年间房地产市场与金融市场的月度数据基础上,建立了两个市场之间相互作用的误差修正模型(ECM模型).通过基于ECM模型的线性Granger因果检验,发现中国房地产市场的发展与金融市场的发展在长期和短期都存在着双向线性因果关系,它们具有一定程度的共生性.
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| 关 键 词： | 房地产市场 金融市场 ECM模型 Granger因果检验 |
| 文章编号： | 1000-6788(2004)12-0029-05 |
| 修稿时间： | 2003年12月26 |
Granger Causality Analysis to the Relationship between Real Estate Market and Finance Market in China |
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| PI Shun.Granger Causality Analysis to the Relationship between Real Estate Market and Finance Market in China[J].Systems Engineering —Theory & Practice,2004,24(12):29-33. |
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| Authors: | PI Shun |
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| Institution: | School of Economic and Management,Tsinghua University |
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| Abstract: | This paper presents the error correction model based on monthly data of the real estate market and financial market from 1997 to 2003 in China. Then the linear Granger Causality to ECM is tested. And we find that there is bilateral linear Granger Causality between the real estate market and financial market in China. |
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| Keywords: | real estate market financial market error correction model Granger causality |
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