| In this paper,we fully consider time-varying and regional characteristics of the correlation effect between security market and real estate market,which are based on the analysis of the historical evolution of the two markets and the relevant economic theories.The price data of real estate market is divided into the group of new first-tier city and the group of super-first-tier city to capture the different correlation reflected by the regional difference.In addition,we select the return volatility series of the Shanghai Composite Index as the representative of the stock market.And we will use ARCH model,a standard volatility model,to study the related problems.In this study,it can be seen that both the price fluctuations of real estate market and the stock market have obvious volatility aggregation effect and asymmetric effect.However,the real estate price has no obvious leverage effect.According to the conclusion of ARCH model,we select the DCC model,which can capture the time-varying characteristics,to reflect the correlation between these two markets in the form of volatility correlation coefficient in this paper.As a result,we find that there are significant differences for the correlation between the fluctuation of housing price in new first-tier cities and the super-first-tier cities with the stock market.There is a stable positive correlation between housing prices and stock prices in super-first-tier cities,in which there were only large fluctuations around September 30,2016.Furthermore,the correlation between housing prices and stock prices has become weaker since 2008,and even become negative in the period from 2014 to 2016.This result can partly explain the lack of consensus in the existing studies on the relationship between the two markets.Secondly,we will further take into account the time-delay factors in the interaction between the two markets in this paper,in which a three-variable TVP-VAR model with time-varying characteristics is constructed to investigate the relationship among real estate market,stock market and resident deposit balance in first-tier cities.At the same time,we use the equal-interval impulse response graph and time-point impulse response graph generated by the model to analyze the response of another market when one market is influenced.The impact response relationship between the two markets is mainly positive,in which the impact response of the stock market to the real estate market has a delay effect of 3 to 6 months.However,the delay effect of the response of real estate market to the impact of stock market is not obvious.Finally,we put forward four policy recommendations in line with the starting point that is beneficial to the stable and healthy development of the macro economy of our country,which is also carried out on the basis of the conclusion of previous studies and the results of previous studies.Therefore,the first thing that needs to be done is to establish a long-term mechanism to maintain the stable development of the real estate market,which should be carried out mainly from three aspects ensuring the multi-agent supply of the real estate market,ensuring the multi-channel security,optimizing the land supply mode and strengthening the directionality of the financial policy of the real estate.Then,government should actively look for the replacement of traditional real estate investment,in which it should consider the property of real estate investment in the relevant financial innovation market such as REITs.Thirdly,government should construct the monetary liquidity buffer zone,so as to make full use of the characteristics of cyclical difference,lagged difference,shock response difference and risk sensitivity difference between different financial product markets to disperse and weaken the influence of currency shock on general price.At last,what we should do is to establish a risk warning mechanism for the real estate market and the stock market,which can monitor the spread of risk between the two markets in a timely manner,so as to help us make accurate predictions and response. |
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