【摘要】：本文針對(duì)2002年至2011年間短期利率的調(diào)整以及對(duì)應(yīng)時(shí)間的上證地產(chǎn)股票價(jià)格指數(shù)的波動(dòng)狀況進(jìn)行研究，結(jié)合ARMA模型和平滑轉(zhuǎn)換回歸(STR)模型對(duì)數(shù)據(jù)進(jìn)行實(shí)證分析，探索利率調(diào)整與地產(chǎn)指數(shù)變動(dòng)之間的關(guān)系。本文研究中采用的利率為一年期的存款利率，依據(jù)是一年期的存款利率是基準(zhǔn)利率，其他各類資金利率都是由此推算而出。全文共圍繞了二個(gè)問題進(jìn)行了展開，利率調(diào)整是否真的對(duì)地產(chǎn)類股票價(jià)格產(chǎn)生了影響？如果有影響，，那么這種影響導(dǎo)致利率調(diào)整和上證地產(chǎn)指數(shù)波動(dòng)存在怎樣的關(guān)系？圍繞這二個(gè)問題，全文共分三個(gè)部分，第一部分主要闡述我國(guó)短期利率及地產(chǎn)類股價(jià)指數(shù)的變動(dòng)情況；這部分主要介紹近幾年我國(guó)政府對(duì)經(jīng)濟(jì)進(jìn)行調(diào)控的貨幣政策和房地產(chǎn)上市企業(yè)股票價(jià)格的變動(dòng)狀況，以及政府對(duì)股市及房地產(chǎn)業(yè)的調(diào)控政策。第二部分主要是樣本數(shù)據(jù)的處理以及模型的選定；本文選取了2002年至2011年利率變動(dòng)以及上證地產(chǎn)指數(shù)隨之變動(dòng)的數(shù)據(jù)。針對(duì)貨幣政策傳導(dǎo)機(jī)制中可能存在的線性和非線性關(guān)系，本文選用了ARMA模型和平滑轉(zhuǎn)換回歸(STR)模型。第三部分是實(shí)證分析以及研究結(jié)論。在實(shí)證分析過程中，我們引入了轉(zhuǎn)換函數(shù)，從分析結(jié)果來看，利率與上證地產(chǎn)指數(shù)之間存在非對(duì)稱關(guān)系，利率作為轉(zhuǎn)換變量時(shí)，當(dāng)其統(tǒng)計(jì)量等于0.24時(shí)，轉(zhuǎn)換函數(shù)值等于0，當(dāng)其與0.24的差的絕對(duì)值較大時(shí)，轉(zhuǎn)換函數(shù)值等于1，此時(shí)利率與上證地產(chǎn)指數(shù)表現(xiàn)出區(qū)別與ARMA模型時(shí)的對(duì)稱關(guān)系。
[Abstract]:This paper studies the adjustment of short-term interest rate from 2002 to 2011 and the fluctuation of Shanghai real estate stock price index in the corresponding time, and makes an empirical analysis on the data by combining ARMA model and smooth conversion regression (STR) model. Explore the relationship between interest rate adjustment and real estate index changes. The interest rate adopted in this paper is one year deposit rate, which is based on the base interest rate of one year deposit rate, and the other kinds of fund interest rates are derived from it. The full text has carried on the development around two questions altogether, whether the interest rate adjustment has really had the influence to the real estate stock price? If so, what is the relationship between the interest rate adjustment and the volatility of the Shanghai real estate index? Around these two problems, the full text is divided into three parts, the first part mainly expounds the changes of short-term interest rate and real estate stock price index in China; This part mainly introduces the monetary policy of our government to regulate the economy in recent years, the change of stock price of real estate listed enterprises, and the government regulation policy on stock market and real estate industry. The second part is the processing of sample data and the selection of model. This paper selects the data of interest rate change from 2002 to 2011 and the change of Shanghai real estate index. Aiming at the possible linear and nonlinear relations in monetary policy transmission mechanism, this paper chooses ARMA model and smooth conversion regression (STR) model. The third part is empirical analysis and research conclusions. In the process of empirical analysis, we introduce the transformation function. From the analysis results, there is an asymmetric relationship between interest rate and Shanghai real estate index. When interest rate is a variable of conversion, when its statistic is equal to 0.24, The value of the conversion function is equal to 0. When the absolute value of the difference between it and 0. 24 is large, the value of the conversion function is equal to 1. At this time, the interest rate and the real estate index of Shanghai Stock Exchange show the symmetry relationship between the interest rate and the real estate index of Shanghai Stock Exchange.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F293.3;F822.0;F832.51

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