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基于1994-2010年的数据,利用协整、单位根检验以及持久收入理论的检验等方法对我国中国房地产与资本市场财富效应的协同变迁路径进行了实证分析:(1)我国房地产市场在长期和短期内都存在微弱的正的财富效应,而股票市场短期内存在微弱的正效应,长期内存在微弱的负效应。(2)协整方程中的上一期的误差部分(非均衡部分)主要通过当期居民的消费和可支配收入的变动进行调节,而房地产财富和股票财富并没有体现出误差纠正效果。(3)我国的消费和居民可支配收入的波动(冲击)中暂时成分的比例较高,而我国房地产财富和股票财富的波动(冲击)则以持久成分为主。
Based on the data of 1994-2010, this paper empirically analyzes the synergetic change paths of the wealth effect of Chinese real estate and capital markets in China using cointegration, unit root test and persistence of income theory. (1) The real estate market in China In the short term, there is a weak positive wealth effect, while the stock market has a weak positive effect in the short term and a weak negative effect in the long run. (2) The error part (unbalanced part) of the previous period in the cointegration equation is mainly adjusted by the changes in current residents’ consumption and disposable income, while the real estate wealth and stock wealth do not reflect the error correction effect. (3) The proportion of the temporary components in the fluctuation (impact) of China’s consumption and resident disposable income is high while the fluctuation (impact) of China’s real estate wealth and stock wealth is dominated by the long-term components.