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Alternative Title: The Effect of Stock Prices and Real Estate Prices on Money Demand in China

Abstract: The Effect of Stock Prices and Real Estate Prices on Money Demand
in China

ZHAO SHENGLIANG

Department of Economics, The Graduate School,Pukyong National University

Abstract
The main purpose of this study is to analyze the effects of stock price and real price on the money demand in China. We investigated the demand on money for three money(, , ) units of China. To estimate the money demand functions, Johansen's cointegration and ARDL-bounds test were employ. Additionally, Stock & Watson's DOLS and Phillips & Hansen FMOLS method were applied to estimate long-run cointegration vectors.
According to the results of cointertegration test, stock price and real estate price are crucial in the long-run equilibrium relationship. There were no cointergration relationships among money demand, real income(real GDP), interest rate, and exchange rate in money unit model.
However, by including stock price and real estate price on the tested models, We also can find strong cointegration relationships, using ARDL-bounds test.
Finally, the results of DOLS and FMOLS confirm that stock price and real estate price are effective factors influencing on money demands. Especially, the coefficient of real estate price is statistically significant in the , money unit models.

Key-words: Stock Prices, Real Estate Prices, House price, Money Demand, ARDL-Bounds Test, DOLS, FMOLS

URI: https://repository.pknu.ac.kr:8443/handle/2021.oak/12183
http://pknu.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001967802

Table Of Contents: Abstract
Ⅰ. 서 론 7
1. 연구의 배경과 목적 7
2. 연구의 방법 및 범위 3
Ⅱ. 중국 통화정책 및 주택 시장과 주식시장의 동향 4
1. 중국의 통화정책 4
2. 중국의 주택 시장의 현상과 주식시장의 발전과정 8
1) 중국의 주택시장의 현상 8
2) 중국의 주식시장의 발전과정 10
Ⅲ. 선 행 연 구 12
1. 한국 및 중국의 화폐수요함수 추정에 관한 문헌 13
2. 외국의 화폐수요함수 추정에 관한 문헌 15
Ⅳ. 이론적 배경 및 모형의 설정과 분석자료 18
1. 화폐수요함수의 이론적 배경 및 모형의 설정 18
2. 분석자료 22
1) 주택 가격지수: 국방지수 22
2) 분석자료 23
Ⅴ. 실증분석 방법 26
1. 단위근 검정 26
1) Augmented Dickey-Fuller(ADF) 검증 26
2) Phillips-Perron(PP) 검증 27
2. 공적분 검정 28
3. ARDL(AutoRegressive Distributed Lag)Bounds Test 한계검정법 30
4. DOLS(Dynamic Ordinar Least Squarer)와
FMOLS(Fully Modified OLS)검정법 31
Ⅵ. 실증분석 결과 34
1. 단위근 검증(unit root test)분석 결과 34
2. 공적분 검정 결과 35
3. 공적분 벡터의 추정 40
Ⅶ. 결 론 47
參考文憲 및 其他活用資料 50

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