基于SVAR模型的中国房地产金融条件指数:构建与分析  

A Real Estate Financial Condition Index for China Based on SVAR models: Construction and Application

作　　者：林睿[1] 董纪昌[1] 

机构地区：[1]中国科学院大学管理学院

出　　处：《投资研究》2015年第4期114-128,共15页Review of Investment Studies

基　　金：2012年度国家自然科学基金项目"我国房地产市场的区域差异及调控政策的差别化研究"(71173213)资助

摘　　要：金融手段调控一直是我国房地产宏观调控的一个重要方面。本文借鉴金融状况指数(FCI),选取了8个指标,以1999年1月-2014年8月为时间样本,运用SVAR模型及DAG方法,构建了一个房地产金融条件指数(RE-FCI)。指数结果显示,我国房地产金融状况大致可以清晰地分成四个阶段,其中经济危机时期房地产金融状况较差。RE-FCI对我国潜在的房地产金融风险也有一定的监测作用,我国房地产宏观调控政策对于控制房地产金融风险确实起到了一定的积极作用。Financial macro-control has always been an important part of the real estate macro-controls in China. Learning from the Financial Condition Index （FCI）, this paper has chosen 8 indicators and built a real estate financial condition index （RE-FCI） by using the macro economic and financial data from January 1999 to Autumn 2014 and the methods of SVAR and DAG. From the RE-FCI, the financial condition of China＇s real estate market could be divided into four clear stages, and China ＇ s real estate market faced the worst condition during the economic crisis. The RE-FCI could also monitor the potential real es- tate financial risk. China＇s macro-control policies on the real estate market have play a positive role in controlling the financial risk of its real estate market.

关 键 词：房地产金融状况 指数 SVAR DAG 

分 类 号：F299.23[经济管理—国民经济] F832