居民杠杆率、房地产价格与金融稳定--基于TVP-VAR模型的实证研究  

Household Leverage,Real Estate Prices and Financial Stability:An Empirical Study Based on TVP-VAR model

作　　者：贺星源 易家权 李新[1] He Xingyuan;Yi Jiaquan;Li Xin

机构地区：[1]首都经济贸易大学金融学院 [2]山西财经大学金融学院

出　　处：《宏观经济研究》2022年第5期48-59,共12页Macroeconomics

基　　金：山西省高等学校人文社会科学重点研究基地项目“系统重要性金融机构的审慎监管研究”(20200122)的资助。

摘　　要：居民杠杆率过快攀升与房地产价格持续上涨极易影响金融稳定。本文构建中国金融稳定指数(FSI),建立TVP-VAR模型考察居民杠杆率、房地产价格与金融稳定之间的动态时变关系。研究结果表明:(1)居民杠杆率与房地产价格之间存在自增强循环效应;(2)居民杠杆率攀升与房地产价格上涨会对金融稳定造成负向冲击,且长期效应大于短期效应;(3)受预期变化、政策调控等因素影响,特定时点下居民杠杆率与房地产价格间存在负效应,不同期限内居民杠杆率、房地产价格变化对金融稳定的影响差异较大。因此,监管部门应保持杠杆率水平合理、适度,坚持“房住不炒”,维护金融系统稳定运行。The rapid rise in household leverage and the continuous rise in real estate prices are likely to affect financial stability.In this paper,we construct the China Financial Stability Index(FSI)and establish a TVP-VAR model to examine the dynamic time-varying relationship between household leverage,real estate prices and financial stability.The results show that:(1)there is a self-reinforcing circular effect between household leverage and real estate prices;(2)the rising household leverage and real estate prices have a negative impact on financial stability,and the long-term effect is larger than the short-term effect;(3)there is a negative effect between household leverage and real estate prices at a specific point in time due to factors such as expectation changes and policy regulation,and there is a negative effect between household leverage and real estate prices at different time periods.The impact of changes in real estate prices on financial stability varies widely.Therefore,regulators should maintain a reasonable and moderate leverage level,adhere to the principle of’houses are for living in and not for speculative investment’,and maintain the stable operation of the financial system.

关 键 词：居民杠杆率 房地产价格 金融稳定 TVP-VAR 

分 类 号：F299.23[经济管理—国民经济] F832