房价波动与银行信贷风险的动态相关关系研究  

Study on the Dynamic Relationship between Real Estate Volatility and Credit Risk

作　　者：王拉娣[1] 安勇[1] 王佳[2] 

机构地区：[1]山西财经大学金融数学研究所,山西太原030006 [2]山西财经大学管理科学与工程学院,山西太原030006

出　　处：《经济问题》2014年第12期42-47,共6页On Economic Problems

基　　金：国家自然科学基金项目(70973072)

摘　　要：对房地产价格及银行信贷之间的联动机制进行了理论分析,并以VAR模型为基础,借助Granger因果检验、脉冲响应函数及方差分解等方法,分别对银行贷款余额、贷款资产恶化率与房地产价格指数之间的关系进行了实证研究,以揭示房价波动与银行信贷风险之间的动态相关关系。实证结果表明:银行信贷对房地产价格具有单向引导关系,银行信贷扩张引发房地产价格的上涨,而房地产价格上涨对银行信贷扩张的作用不大,但却会导致贷款资产恶化率的提高,进而加剧银行的信贷风险;由于存在时滞,银行信贷对房地产价格的冲击滞后一期才会显示出来且产生长期的正反馈效应,房地产价格对贷款资产恶化率的冲击当期就会产生影响,且贡献率稳定在7%左右。据此提出了抑制房价非理性上涨、控制银行信贷风险的相关建议。The interaction of real estate price and bank credit is theoretical analyzed , then, based on the vector-regressive model and through granger causality test , impulse response analysis and variance decomposition , the dynamic relationship between real estate volatility and bank credit or deterioration rate of credit asset is explored , and thus the relationship between real estate price volatility and credit risk is revealed .The results show that bank credit has a one -way relationship to real estate price , the increase of credit causes the raise of real estate price;Though the raise of real estate price has little impact to the increase of credit , it raises deterioration rate of credit assets and then intensifies the credit risk;Due to time-lag, the impact of credit to real estate price , positive in the long term, will be appeared with a period lag , and the impact of real estate price to deterioration rate of credit assets will be appeared currently , and contribution of which stabilizes by about 7%.Then some suggestions to control the irrational raise of real estate price and credit risk are put forward .

关 键 词：房价 银行信贷风险 GRANGER原因 

分 类 号：F830.5[经济管理—金融学]