Property Stocks Prices And An Empirical Analysis Of The Dynamic Correlation Of Short-term Interest Rate

This paper against the adjustment of short-term interest rates from2002to2011and thefluctuation of the Shanghai real estate stock price index at the corresponding time toresearch, combined with ARMA model and the smooth transition regression (STR) modelto empirical analysis about the data, explore the relationship about adjustment of theinterest rates and changing of the real estate index. The interest rate used in this paper isone-year deposit interest rate, because one-year deposit rate is the benchmark interest rate,and other types of funds rate is thus projected out. The paper around two problems,adjustment of interest rate really had an impact on stock price? If it does, then this effectled to what relationship between the adjustment of interest rates and volatility of theShanghai Real Estate Index? Around these two questions, the paper is divided into threeparts, the first part is mainly described the changes in China’s short-term interest rates, andreal estate stock index; the main description of this part is the regulation of the monetarypolicy and the real estate stock changes in prices in recent years, and governmentregulation on the stock market and the real estate policy. The second part is mainly aboutprocessing of the sample data and selecting the model; the paper selected the data about theadjustment of interest rate and the fluctuation of Shanghai Real Estate Index from2002to2011. For linear and nonlinear relationships may exist at transmission in the monetarypolicy mechanism, the paper select the ARMA model and the smooth transition regression(STR) model. The third part is the empirical analysis, and conclusions. In the empiricalanalysis, we introduce a transfer function, from the results of the analysis, there is anasymmetric relationship between interest rates and the Shanghai Real Estate Index, wheninterest rates as the conversion of variable, and when it’s statistic is equal to0.24, the valueof the transfer function is equal to0, and when absolute difference between interest and0.24get larger, the value of the transfer function is equal to1, the interest rate and theShanghai real estate index showed symmetric relationship, but it makes difference to theARMA model.