金融周期对房地产价格的影响——基于SV-TVP-VAR模型的实证研究  

The Impact of Financial Cycle on Real Estate Prices:An Empirical Study Based on a SV-TVP-VAR Model

作　　者：钱宗鑫[1] 王芳[1] 孙挺 QIAN Zongxin;WANG Fang;SUN Ting(School of Finance,Renmin University of China;China Securities)

机构地区：[1]中国人民大学财政金融学院/中国财政金融政策中心,北京100872 [2]中信建投证券股份有限公司资本市场部,北京100010

出　　处：《金融研究》2021年第3期58-76,共19页Journal of Financial Research

基　　金：国家自然科学基金面上项目71773126;国家自然科学基金应急项目71850009的资助。

摘　　要：本文利用2004-2016年的季度数据构建金融周期综合指数,用以描述金融市场景气程度;使用SV-TVP-VAR模型,围绕金融周期对我国房地产价格的影响进行实证研究。结果表明,金融周期对房地产价格的影响具有明显的时变性特征:2008年以前金融市场繁荣对房价有稳定推升作用,2008年后该影响持续弱化;与之类似,实体经济对房价的影响同样自2008年起逐渐减小。这意味着,在经济增长方式转变和经济结构调整的过程中,我国房地产价格对经济金融冲击的敏感度已经大幅下降,金融扩张可能难以再通过房地产市场有效带动实体经济的繁荣,相反,其反而可能导致银行贷款不良率的攀升,在金融系统内积累系统性风险。我国针对房地产的宏观调控政策不仅对控制贷款不良率的提高体现出积极作用,而且自2008年国际金融危机以来,产出及房价的随机波动率均呈显著下降趋势,风险得到有效控制。未来应更加重视房地产市场调控在宏观审慎政策框架中的重要地位,遏制房地产金融化泡沫化势头,防范房地产市场引发金融危机。Many papers,when constructing indices of China's financial cycle,include indicators of real estate market conditions as components.However,although many researchers believe that China's real estate sector and financial sector are closely related,there has been little research on this dynamic relationship.In this paper,we attempt to fill this gap by studying the dynamic impact of China's financial cycle on the real estate price.We do this in two steps.First,we construct an index of China's financial cycle that comprises five financial indicators:stock market performance,interest rate,capital flow,leverage,and money supply.We aggregate the five indicators as a simple average.In the second step,we construct a three-variate vector autoregressive(VAR)model that includes an indicator of real activities,an indicator of real estate price,and our index of China's financial cycles.The VAR model has a few characteristics.First,we allow the regression coefficients to change over time.Second,we allow the size of the economic shocks to vary over time.Third,we use a recursive scheme to identify structural economic shocks.These characteristics are important for the following reasons.First,China's economy is continuously under reform.These reforms could cause structural changes in the dynamic relationship between the real estate and financial sectors,and omitting those structural changes could lead to misleading results.Allowing the coefficients of the VAR to vary over time should capture those structural changes.Second,due to the changing domestic and foreign economic environment,sources of economic uncertainty change over time.As a result,the size of the shocks to our endogenous variables might also change over time.Third,it is well known that simply interpreting the error terms of the reduced-form VAR as economic shocks omits contemporary correlations between endogenous variables,which can lead to misleading conclusions.Therefore,our VAR model is a structural vector autoregressive model with stochastic volatility and time-vary

关 键 词：金融周期 房地产价格 SV-TVP-VAR模型 宏观审慎政策 

分 类 号：E44[军事—军事理论] R38[医药卫生—医学寄生虫学]