国际资本流动、国内信贷与房地产价格:基于中国宏微观层面的实证分析  

International Capital Flows,Domestic Credit and Real Estate Prices

作　　者：杨雨晴 施建淮[1] YANG Yuqing;SHI Jianhuai

机构地区：[1]北京大学经济学院

出　　处：《世界经济研究》2023年第2期78-90,M0003,M0004,共15页World Economy Studies

摘　　要：文章将国际资本流动引入国内的信贷和房地产价格周期的分析框架,对国际资本流动、房地产价格与信贷投放三者间的作用路径进行了机制分析以及宏观和微观两个层面的实证检验。宏观层面,基于TVP-VAR模型的研究发现,房地产价格与银行信贷之间具有自我强化周期,国际资本流动会放大和强化信贷投放与房地产价格的相互影响,国际资本流动与国内信贷和房地产价格周期存在正反馈效应。微观层面,使用中国上市公司面板数据基于固定效应模型的实证分析表明,国际资本流入会对中国上市公司信贷融资产生显著的正向影响,房地产价格在其中起重要作用,公司是否持有投资性房地产会显著影响国际资本流动与银行向公司的信贷投放之间的作用关系,有投资性房地产的企业所获信贷对资本流动变化反应更大。We analyze the relationship of international capital flows,real estate prices and bank credit both theoretically and empirically. At the macro level,based on the TVP-VAR model,we find that international capital flows will amplify and strengthen the self-reinforcing interaction between domestic credit and real estate prices. Furthermore,there is a positive feedback relationship of international capital flows and China’s credit and real estate prices with time-varying characteristics. At the micro level,empirical tests based on the fixed effects model show that international capital inflows have a significant positive impact on the quantity and growth of the credit obtained by listed companies in China,in which real estate prices play an important role. Firms’ investment property will significantly affect the relationship between international capital flows and the long-term borrowing of firms.

关 键 词：国际资本流动 银行信贷 房地产价格 金融开放 

分 类 号：F832.6[经济管理—金融学] F832.4F299.23