This paper aims to empirically explore the cyclical attributes of dynamic correlation shifts between the stock and real estate market, and the factors that influence this correlation during different periods of the economic cycle. Our research uncovers a significant structural shift in the correlation towards the end of 2012. By taking into account macroeconomic growth, regulatory policies, financial market conditions, and developments within both the stock and real estate markets, we investigate the time-varying characteristics of these factors' influence. The results highlight the pronounced cyclical asymmetry of these influential factors. Currently, the wealth effect in China's stock and real estate markets has significantly diminished, and the credit-price effect has vanished. A marked seesaw relationship is evident between the two markets. This outcome supports that various restrictions imposed on the real estate market have reduced its investment appeal.

Based on a DSGE model embedded with a stock market, we inspect interconnection between China's financial markets and macroeconomic cycles. We find consumption, investment and capacity utilization display significant and positive responses to stock market booms triggered by financial and confidence shocks, however, inflation responds insignificantly. We perceive a counteractive and significant reaction of China's monetary policy rule to credit-to-GDP gap at business cycle frequency. We decompose stock price into fundamental value influenced by the financial shock and speculative bubble driven by the confidence shock, and the confidence shock's contribution to stock price fluctuations is estimated to be about 14.8%. Model validation based on the DSGE-VAR framework indicates no serious structural model misspecification.

This paper intuitively examines the dynamic behavior of two highly relevant interest rates in China. The first one is the government rate, which is decided and published by the central bank and can be simulated by pure jump process. Estimation of the jump intension is given out. And by different robustness test, it keeps stable. The jump size has met the condition to make interest rate within reasonable bounds and shows some meaning of economic cycle behavior. The second one is the market rate, which is estimated by spline approximation based on the transaction data of government bonds. Several models, including Vasicek model, Vasicek-GARCH (1,1) model, CIR model, and CIR-GARCH(1,1), are empirically tested and the best performance is done by the Vasicek-GARCH(1,1) model. Furthermore, the estimate bias problem due to the near unit root process is tested and evidenced by both traditional methods and GPH test. Impact of government rate on market rate is finally checked and analyzed.