金融市场与住房价格波动的联动关系——基于SVAR模型的实证分析  

The Dynamic Relationship between Financial Markets and Housing Price Fluctuations:An Empirical Analysis Based on SVAR Model

作　　者：卢建新[1] 卢明安[2] 

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073 [2]中信银行合肥分行,安徽合肥230001

出　　处：《海南大学学报（人文社会科学版）》2014年第6期13-19,共7页Journal of Hainan University （Humanities & Social Sciences）

基　　金：国家社科基金项目(11CJY034);教育部哲学社会科学系列发展报告(11JBG006);中央高校基本科研业务费专项资金项目(20132013)

摘　　要：构建SVAR模型分析了金融市场与房价波动之间的联动关系。金融市场可以分解为信贷市场、股票市场、外汇市场等,实证结果表明:房价与信贷增额之间的反应最为显著,两者具有自我强化的循环作用;房价与股价、汇率、国际资本净流入、利差之间在短期内具有正向响应关系,在长期内影响则逐渐趋于平稳;信贷增额、股价、汇率对房价波动的贡献度较大,除自身影响外,房价波动是其他变量波动的最大贡献者。This paper constructs the SVAR model to analyze the dynamic relationship between financial markets and housing price fluctuations. With the financial markets decomposed into the credit market, the stock market and the foreign exchange market and so on, the empirical results show that the reaction between the housing prices and credit increments is the most significant, and the interaction has the cyclic self- intensified function. The positive response relationship exists between the housing prices and the stock prices, exchange rates, inter- national net capital inflows and interest margin in the short term, and the impact tends to become stable gradually in the long term. The credit increments, stock prices and exchange rates make the greater contributions to the housing price fluctuations, and the housing price fluctuation is the greatest contributor to other variables＇ fluctu- ations in addition to the impact themselves.

关 键 词：住房价格 金融市场 联动关系 SVAR模型 

分 类 号：F830.9[经济管理—金融学]