中国房地产价格波动与宏观经济——基于SVAR模型的研究  

The Fluctuation of China's Real Estate Price and the Macroeconomy:A Research Based on the SVAR Model

作　　者：赵昕东[1] 

机构地区：[1]华侨大学数量经济研究院

出　　处：《经济评论》2010年第1期65-71,96,共8页Economic Review

基　　金：教育部人文社会科学一般项目(07JA790004);福建省自然科学基金(2009J01312);福建省教育厅项目(JA08011S)的资助

摘　　要：房地产价格与宏观经济有着紧密的联系。本文利用1999年1季度至2009年2季度的居民消费价格指数、国内生产总值、货币供给与住宅价格指数的季度数据,应用结构向量自回归模型估计了供给冲击、需求冲击与货币政策冲击对中国房地产价格变动的动态影响以及房地产价格冲击对通货膨胀率、国内生产总值增长率与货币存量增长率变动的动态影响。结果显示正向的房地产价格冲击最终导致通货膨胀率和国内生产总值增长率上升到一个新的高度,使货币供给增长率下降到一个较低的水平;而正向的供给冲击、需求冲击与货币政策冲击最终均导致房地产价格增长率上升到一个新的高度。There is a close relationship between the price fluctuation of China＇ s real estate and the macroeconomy in china. In this paper, we established a Structural Vector Autoregressive （SVAR） model with the variables of consumer price index （CPI）, output, money supply M2 and residential property price index using the data from 1999Q1 to 2009Q2, to estimate the dynamic effects of the supply shock,the demand shock on and the monetary policy shock on the real estate price,as well as the dynamic effects of the real estate price shock on the volatility of inflation, GDP growth rate and money stock. The results show that the positive shock of real estate price will push the inflation rate and GDP growth rate to a higher level,and drop the growth rate of money supply to a lower level. All the positive supply shock,demand shock and monetary policy shock will push the growth rate of real estate price to a higher level.

关 键 词：房地产价格 宏观经济变量 结构向量自回归模型 

分 类 号：F293.3[经济管理—国民经济] F123.16