美联储加息冲击对中国房地产市场的溢出效应及其应对  

Spillover Effects of the Fed's Interest Rate Hike Shock on China's Real Estate Market and Corresponding Measures

作　　者：刘河北 LIU Hebei(Maritime Silk Road and Guangxi Regional Development Institute,Guangxi University of Finance and Economics,Nanning,Guangxi 530003,China)

机构地区：[1]广西财经学院海上丝绸之路与广西区域发展研究院,广西南宁530003

出　　处：《宜宾学院学报》2024年第1期30-40,共11页Journal of Yibin University

基　　金：广西高校中青年教师科研基础能力提升项目“产业链视角下‘桂惠贷’促进广西经济高质量发展研究”(2023KY0641)。

摘　　要：利用2007—2022年季度数据构建BVAR模型,研究美联储加息对中国房地产市场的外溢效应,发现美联储加息将导致家庭债务、商品房销售额、房价和房地产投资下降,产生负向外溢效应。而后构建含有GHH效用函数、异质性家庭、信贷约束和房地产部门的小国开放经济DSGE模型,在加息冲击下,DSGE模型能够较好地拟合BVAR模型的特征事实。机制分析表明利息差渠道、国际资本流动渠道和利率渠道是其中主要的内在影响机制,信贷约束具有放大机制。反事实实验表明当美联储加息时,中国加息将使房地产市场进一步恶化;中国采取降息或放松信贷政策的逆向操作,在一定程度上能够对冲美联储加息的负面影响,但加剧了资本外流。中国在短期采取降息、在中长期采取加息和放松信贷相结合的政策组合,能够达到更好的政策调控效果。A BVAR model was constructed by using quarterly data from 2007 to 2022 to study the spillover effects of the Fed's interest rate hikes on the Chinese real estate market.It is found that the Fed increasing interest rate will lead to the decline of household debt,commercial housing sales,house prices and real estate investment,resulting in negative spillover effect.Then,the DSGE model of small country open economy was constructed which included GHH utility functions,heterogeneous households,credit constraints,and the real estate sector.Under the impact of increasing interest rate,the DSGE model can better fit the characteristic facts of BVAR model.Mechanism analysis shows that interest spread channel,international capital flow channel and interest rate channel are the main influence mechanisms,and credit constraints have amplification mechanism.Counterfactual experiments show that when the Fed increasing interest rate,China increasing interest rate will further worsen the real estate market;China adopts the reverse operation of cutting interest rate or relaxing credit,which can hedge the negative impact of the Fed increasing interest rate to a certain extent,but exacerbates the capital outflow.China's policy combination of interest rate cuts in the short term,interest rate increases and credit easing in the medium and long term can achieve better policy control effects.

关 键 词：美联储加息 家庭债务 信贷约束 房价 房地产投资 

分 类 号：F820.5[经济管理—财政学]