利率政策对房价的“非对称性”影响路径——基于小波分析和GARCH模型的研究

发布时间：2017-12-27 08:30

本文关键词：利率政策对房价的“非对称性”影响路径——基于小波分析和GARCH模型的研究　出处：《上海金融》2017年02期 　论文类型：期刊论文

【摘要】：动态调整的利率政策,经由周期性波动的房地产市场,以复杂的"非对称"路径作用于房价。本文基于北京市2002年8月至2015年3月的月度数据,使用小波分析工具对房地产市场周期进行识别,选取GARCH模型,对不同利率政策方向和不同房地产市场周期下的非对称"利率-房价"关系进行分析。结果表明:在北京,利率与房价在长期水平上呈负相关;不同利率政策方向下的"利率-房价"关系存在差异,利率下降对房价的刺激程度比利率上升对房价的抑制程度更显著;同时不同房地产市场周期下的"利率-房价"关系存在差异,房地产市场处于上行期时"利率-房价"的负相关性更显著。最后,本文结合研究结论提出针对性政策建议。
[Abstract]:The dynamic adjustment of the interest rate policy, through the periodic fluctuation of the real estate market, in a complex "asymmetrical" path to the house price. Based on the monthly data of Beijing from August 2002 to March 2015, we use the wavelet analysis tool to identify the real estate market cycle, and select the GARCH model to analyze the asymmetric interest rate housing price relationship under different interest rate policy directions and different real estate market cycles. The results show that: in Beijing, in the long-term interest rate and price level was negatively correlated; there were significant differences between different interest rate policy under the direction of "interest rate and prices, lower interest rates to stimulate the real extent of rising interest rates than the degree of inhibition on housing prices more significantly; at the same time, there were significant differences between different real estate market cycle under the interest rate prices, more significant negative correlation between the real estate market in the uplink period of" interest rate and price ". Finally, this paper puts forward the pertinent policy suggestions according to the conclusions of the study.
【作者单位】：清华大学建设管理系房地产研究所;
【基金】：国家自然科学基金项目“住房价格对居民消费的作用机理”(71073090/G0306)
【分类号】：F299.23;F822.1
【正文快照】： "!一、引言利率政策作为中央银行重要的货币政策工具,是各国政府调节经济的重要杠杆。房价在货币政策影响宏观经济过程中发挥了重要作用(谭政勋和王聪,2015),陈彦斌等(2015)认为房地产泡沫是导致金融危机之后中国货币数量论失效的重要因素。尤其在中国,伴随房地产行业在国民经

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