房地产价格、金融加速器和宏观经济波动非对称性——基于SETVAR模型的研究  

The Real Estate Price,Financial Accelerator and Asymmetry of Macroeconomic Fluctuations——A Study Based on SETVAR Model

作　　者：沈悦[1] 徐妍[1] 

机构地区：[1]西安交通大学经济与金融学院,710061

出　　处：《上海经济研究》2014年第7期70-79,共10页Shanghai Journal of Economics

基　　金：徐妍系西安交通大学经济与金融学院博士研究生;负责国家自然基金项目"面向金融安全的房地产市场风险识别及预警研究(71373201)"的相关子课题研究;本文是该项目子课题的主要成果

摘　　要：本文以我国1991-2011年的宏观数据为样本,建立两区制自激励门限向量自回归(SETVAR)模型,刻画房地产价格价与宏观经济波动间显著的非线性动态关系。通过广义脉冲响应函数描绘各变量的关联性发现,经济波动对实体经济冲击、货币冲击、价格冲击以及房地产冲击的响应具有非对称性。随后利用Potter和Dijk,Franses和Boswijk提出的方法进一步量化和证实了冲击效应和冲击吸收速度的非对称性。相比于房价增速较缓的情况,房价高速增长时各冲击引起的实体经济波动更大,持续期更长。This paper constructs a two-regime Self-Exciting Threshold Vector Autoregression （SETVAR） model with macroeconomic data from 1991 to 2011, to reveal the significant nonlinear dynamic relationship between real estate price and macroeconomic volatility. The results from generalized impulse response function show that output responses asymmetrically to real shocks, monetary shocks, price shocks and real estate price shocks. Additionally, the paper confirms and quantifies the asymmetry of response effects and absorption rate, using methods proposed by Potter and Dijk, Franses ＆ Boswijk （DFB）. Compared with the case of a moderate growth rate of real estate price, the response of macroeconomic fluctuations to economy shocks have more volatility and longer duration in a higher- growth-rate situation.

关 键 词：房地产价格 金融加速器 宏观经济波动 SETVAR模型 

分 类 号：F124.8[经济管理—世界经济]