The Empirical Study On The Impact Of Macro Variables On Asset Price Fluctuation

With China’s sustained and rapid economic development and the accelerating ofthe process of marketization,the impact of the fluctuation of asset price on the realeconomy have become stronger.Shares as one of the most important financial assets,is the main channel for enterprises and individuals to make financial investment.Stock price fluctuations affect the stability and prosperity of financial market,thusaffecting the real economy,so the stock price has always been a "barometer" of macroeconomic operation. Real estate,as one of the pillar industries of nationaleconomy,has made tremendous contributions to the growth of national economy.Atthe same time, due to its dual attributes of both consumer goods and investmentgoods, the effects of fluctuations in real estate prices range very widely,and areimportant to the whole economic operation and the daily lives of the people.Asset price affects the real economy,but it is affected by macroeconomicfundamentals factors and policy factors at the same time.Study the macro factorsaffecting asset price fluctuations is beneficial to improve and perfect the capitalmarket,also can provide certain theoretical basis for government regulation to stableasset price.This paper select stock and real estate as research objects for these two kinds ofassets are most common and important.In Chapter2of the article,we depict thefluctuation characteristics of stock price and housing price using descriptive analysismeans,and make a comparison of the two kinds of assets.We discovered that China’s stock price and housing price fluctuations have strong characteristics of "policymarket",which means greatly influenced by the government policies.At the same timewe also found that the tendency of the stock and housing prices in recent years aretend to consistent.Then we examined the relationship between the two kinds of asset prices andmacroeconomic variables.In Chapter3,we make empirical test on the reason of thefluctuations of stock prices.We choose the monthly data from2001to2012, constructa vector auto-regressive(VAR) model of the stock price index and macro variablessuch as output, inflation, interest rate and money supply.Through the cointegrationtest we found that stock price and the macro variables have a long-term equilibriumrelationship and the macro variables together Granger cause the stock price.Impulseresponse function shows that an increase in output and money supply will lead to theshort-term rising in stock prices,inflation and interest rate changes will bring reverseimpact on stock prices, leading to stock prices down in a long time.As the real estate price has obvious regional characteristics,there is a verysignificant difference in housing prices of different areas and regions in ourcountry.So in the empirical test of the reason of housing price fluctuations,we usepanel data model.The fixed effects model is set up, using the year data of real estateprices,output,inflation,interest rate,income,population and housing supply,etc.from1999to2011of the31provinces in our country.Results show that per capitadisposable income,population and GDP have a strong positive influence on housingprices,housing supply has a reverse impact on house prices and the inflation rate andinterest rate do not significantly affect real estate prices.Based on the comprehensive comparison of macro variables on the two assetprices—stock prices and real estate prices,we found that economic growth has animpact on both of the two asset prices, but the impact on real estate prices is moresignificant and stable.Interest rate and inflation have a significant negative effect on stock prices,but the effects on the real estate prices are not significant.The mostsignificant factor influencing the real estate prices is per capita disposableincome,followed by demographic factors,both affect real estate prices throughhousing demand.So we believe that as an important part of the real economy,prices ofreal estate is still determined by the supply and demand.Macroeconomic affects thehousing price by influencing the supply and demand,especially the demand of realestate.Instead,stock in the relatively independent financial market will receive signalsfrom the entity economy,and react accordingly.The two kinds of asset prices are bothinfluenced by macroeconomic,but macro variables on the role of the two are not thesame by the nature.Finally,according to the present situation of our country,combining with theempirical results,we put forward several policy suggestions on the nationalmacroeconomic regulation and stabling asset prices:developing and improving theChinese stock market,reducing the phenomenon of "policy market" in stockmarket,insisting on the macroeconomic regulation and control of high house prices,improving the system of affordable housing supply.Monetary authorities should payattention to asset prices when making monetary policy.At the same time,due attentionshould be paid to the interactive relationship between stocks and real estate market tomake a trade-off and avoid dilemmas.