Study on the Relationship Between Changes of Monetary Policy in Interest Rates and Fluctuations in the Real Estate Market
The paper examines impacts of monetary policy,mainly one year benchmark lending rate,on property yields of main domestic listed corporations in real estate market using exponential generalized autoregressive conditional heteroskedasticity analysis.We focus on reactions of domestic listed real estate corporations stock returns to adjustment of interest rate by central bank.Our empirical results suggest that change or adjustment of representative benchmark lending rate has a significant negative impact on stock returns in the real estate market in China.Rising interest rate leads to decline of housing stock prices.On the contrary,if interest rate goes down,the real estate corporations stock price will decrease accordingly.Through further research,we find that historical information of housing prices can partly explain prices of real estate market now.Volatility of property yields in real estate market has a characteristic of clustering.Stock returns reaction to macroeconomic information shows a phenomenon of leverage effects.The impacts of good news and bad ones on property yields are asymmetric.Negative policy information has greater impacts on the real estate market than positive ones.
HONGRONG YAN YUEJIN FAN
国际会议
2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)
上海
英文
1-7
2014-05-24（万方平台首次上网日期，不代表论文的发表时间）