房地产价格、信贷约束与宏观经济互动机制研究

发布时间：2018-04-19 05:21

本文选题：房地产价格 + 信贷约束　；参考：《江西财经大学》2013年硕士论文

【摘要】：回顾现代历史上各国爆发的多次经济、金融危机，从上世纪30年代的美国大萧条、20世纪90年代日本的金融危机，到1997年东南亚经济危机，再到由2007年美国次贷危机而引发的全球金融危机，都传递着这样一个事实：在金融市场日益繁荣、金融工具日益多样化的今天，房地产价格的波动对宏观经济的影响越来越大。近年来，我国房地产价格呈现持续上升的趋势，从1998年中央的23号文件确立房地产业为国民经济新的经济增长点，到2003年的18号文件确立房地产业为我国国民经济的支柱产业，，房地产业成为了在国民经济中与众多行业关联度高、带动性强的产业，其价格的稳定与宏观经济的稳定运行息息相关。然而房地产业的发展离不开金融市场的支持，在金融市场中，房地产信贷是银行信贷的重要组成部分。房地产价格、银行信贷约束与宏观经济是否存在互动关系？其互动机制和影响特征又是如何？在当前人民币汇率不断升值的情况下，汇率的波动是否能对房地产价格、信贷约束和宏观经济的互动关系造成影响？这些问题都是本文试图分析的内容。有关房地产价格、信贷约束和宏观经济互动机制的研究，国内外大多数文献侧重于研究这三者当中两两之间的相互关系，而把这些因素综合在一起，考虑其互动机制的文献则较少。与此同时，在实证分析部分，较多文献集中于房地产价格、利率和GDP互动关系的研究，鲜有文献加入汇率因素。而本文立足于开放经济，把汇率因素作为重要约束条件加入模型，从实证分析的角度验证了房地产价格、利率、汇率和宏观经济之间的互动关系。本文在充分研究了前人文献的基础上，首先整理和分析了我国房地产市场、信贷市场、汇率制度改革和宏观经济的发展现状，同时还回顾和总结了国外部分国家的发展历史和经验。其次，从理论分析的角度出发，对开放经济条件下，房地产价格、信贷约束和宏观经济的互动关系和机制进行了模型研究和定性分析。理论分析得出的结论认为：经济的增长、信贷约束条件的放松、汇率的升值对一国房地产价格的上涨有促进作用。再次，通过收集和整理1998-2011年我国房地产价格、一年期存款利率、人民币实际有效汇率和GDP的季度数据，运用基于VAR模型的Granger因果检验、Johansen协整检验、向量误差修正模型、脉冲响应函数分析和方差分解等计量经济学方法，从实证分析的角度验证了互动关系的存在和各变量之间的互动机制。得出的实证结果认为：房地产价格、GDP、利率和汇率之间存在长期稳定的协整关系，在短期，仅有汇率和利率存在反向的误差修正机制；房地产价格与宏观经济之间存在双向互动关系，经济增长率主要在长期影响房地产价格，而在短期房地产价格上涨对经济增长有正向影响，但是在长期，持续上涨的房价会对经济增长产生负面影响；房地产价格与信贷约束存在双向互动关系，且利率政策对房地产价格的调控效果主要在长期显著；信贷约束与宏观经济存在双向互动关系，信贷约束条件的紧缩会在长期对经济增长有显著的负向影响，经济增长在短期对利率变动有正向影响；汇率对房价波动和宏观经济增长在短期有显著影响，而房价对汇率的反馈作用则较小，汇率主要受国内利率水平的影响。最后，根据理论分析和实证分析得出的结论，并且结合我国具体国情，在货币政策的制定和实施、房地产调控政策的选择、银行信贷市场管理和金融产品创新、境外资本流入的管理等方面提出了具体的政策建议，以促进房地产市场、信贷市场、外汇市场和宏观经济的协调发展。房地产价格、信贷约束与宏观经济之间的互动关系十分复杂，但是受笔者的能力和数据可得性的局限，本文难免对一些问题的研究不够深入和全面：比如房地产价格波动与监管当局金融监管、金融稳定的关系；在研究视野方面，可以将研究进一步拓展至比较不同国家在不同金融体制下，信贷约束、房地产价格和宏观经济互动关系的差异，或者研究我国不同地区三者之间的互动机制和影响特征差异。
[Abstract]:Looking back on the many economic and financial crises that erupted in various countries in modern history , the financial crisis of the United States in the 1930s , the financial crisis in Japan in the 1990s , the economic crisis in Southeast Asia in the 1990s , and the global financial crisis caused by the American subprime crisis in 2007 , have passed the fact that the fluctuation of the real estate price has more and more influence on the macro - economy today in the increasingly prosperous financial markets and the increasingly diversified financial instruments .

In recent years , real estate prices in our country have been rising continuously . From the 23 documents in central China in 1998 , the real estate industry is the pillar industry of our national economy , and the real estate industry has become an important part of our national economy . However , the development of real estate industry is inseparable from the financial market . In the financial market , real estate credit is an important part of bank credit .

The research on real estate price , credit constraint and macro - economic interaction mechanism , most of the literatures at home and abroad focus on the study of the relationship between the two of these three factors , and the literature of the interaction mechanism is less . At the same time , in the empirical analysis part , more documents are focused on the relationship between real estate price , interest rate and GDP . In the meantime , based on the open economy , the exchange rate factor is added to the model as the important constraint condition , and the interaction between real estate price , interest rate , exchange rate and macro - economy is verified from the perspective of empirical analysis .

Based on the study of the previous literature , this paper first sorts out and analyses the current situation of China ' s real estate market , credit market , exchange rate system reform and macro - economy , and also reviews and summarizes the development history and experience of some foreign countries .

Secondly , from the angle of theory analysis , the model research and qualitative analysis are carried out on the relationship and mechanism of real estate price , credit constraint and macro - economy under open economy . The conclusion is that economic growth , relaxation of credit constraint and appreciation of exchange rate can promote the rise of real estate price in a country .

Thirdly , by collecting and arranging the quarterly data of real estate prices , one - year deposit interest rate , real effective exchange rate and GDP of our country from 1998 to 2011 , we have verified the existence of mutual relations and the interaction mechanism among the variables from the perspective of empirical analysis . The empirical results show that there is a long - term stable cointegration between real estate price , GDP , interest rate and exchange rate .
There is a two - way interaction between the real estate price and the macro - economy , the economic growth rate mainly affects the real estate price for a long period of time , but in the short - term real estate price increase has a positive impact on the economic growth , but in the long - term , the rising housing price will have a negative impact on the economic growth ;
There are two - way interaction between real estate price and credit constraint , and the effect of interest rate policy on real estate price is mainly in the long term ;
There is a two - way interaction between credit constraints and macro - economy , and the contraction of credit constraints will have a significant negative impact on economic growth in the long run . Economic growth has a positive impact on the change of interest rates in the short term ;
The exchange rate has a significant impact on price fluctuation and macro - economic growth in the short term , while the rate of exchange rate feedback is smaller , and the exchange rate is mainly affected by domestic interest rate level .

Finally , according to the conclusion of theoretical analysis and empirical analysis , and combining with the country ' s specific national conditions , specific policy suggestions are put forward in the formulation and implementation of monetary policy , the selection of real estate regulation policy , bank credit market management and financial product innovation , the management of overseas capital inflow and so on , so as to promote the harmonious development of real estate market , credit market , foreign exchange market and macro - economy .

The relationship between real estate prices , credit constraints and macro - economy is very complex , but limited by the author ' s ability and the availability of data , the author ' s research on some problems is not enough and comprehensive : for example , the relationship between the fluctuation of real estate prices and the financial supervision and financial stability of the supervisory authority ;
In the field of research , the research can be further expanded to compare the differences between different countries in different financial systems , credit constraints , real estate prices and macroeconomic interactions , or to study the interaction mechanism among different regions of our country and influence the difference of characteristics .

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F224

【参考文献】