我国房价波动的空间效应及对金融稳定的影响

发布时间：2018-04-24 07:01

本文选题：房价波动 + 空间效应　；参考：《暨南大学》2013年硕士论文

【摘要】：为探讨我国房地产市场波动的规律性，本文在国内首次利用截面相关的CCE估计法，分析房价与人均可支配收入、贷款余额间是否存在长期协整关系；若存在，则对残差序列建立空间滞后模型，并通过最大似然估计法得出空间相关系数，以此判断房价波动空间效应的存在及其大小。结果表明：我国房价波动存在显著的空间溢出效应，不同城市间的房价波动具有较强的趋同性，但同时房价的波动又存在一定的差异性。经济越发达的城市，不仅房价高、增长快，而且房价运行的独立性越强；而经济落后的城市，其房价容易受到外部地区房价的影响。同时，，文中运用GARCH模型研究房价等基本面因素对银行不良贷款率的影响，以此间接分析房价波动与金融稳定间的关系。估计结果表明：当模型中包含国内生产总值时，国内生产总值的估计系数最大，其次为广义货币供应量，最后是房地产价格；而当模型中不包含国内生产总值时，房地产价格指数与广义货币供给量系数均显著增大，且系数符号与实际经济情况相符。此外，将房价引入方差方程中，估计系数显著不为零，说明房价的波动确实会显著导致不良贷款率的变动，影响银行稳定，进而是金融稳定。
[Abstract]:In order to study the regularity of the fluctuation of the real estate market in China, this paper, for the first time, uses cross-sectional CCE estimation method to analyze whether there is a long-term cointegration relationship between house price and per capita disposable income and loan balance. Then the spatial lag model is established for the residual sequence, and the spatial correlation coefficient is obtained by the maximum likelihood estimation method, so as to judge the existence and magnitude of the spatial effect of house price fluctuation. The results show that there is a significant spatial spillover effect in the fluctuation of house price in China. The fluctuation of house price in different cities has strong convergence, but there are some differences in the fluctuation of house price at the same time. The more developed city, not only high house price, fast growth, but also the more independent housing price, while the backward city, its house price is easy to be affected by the outside region housing price. At the same time, GARCH model is used to study the influence of fundamental factors such as house price on the non-performing loan rate of banks, so as to indirectly analyze the relationship between the fluctuation of house price and financial stability. The results show that when the GDP is included in the model, the estimated coefficient of GDP is the largest, followed by the broad money supply and the real estate price, and when the GDP is not included in the model, Both the real estate price index and the generalized money supply coefficient increase significantly, and the symbol of the coefficient is consistent with the actual economic situation. In addition, when the house price is introduced into the variance equation, the estimated coefficient is significantly not zero, which indicates that the fluctuation of the house price will cause the change of the non-performing loan ratio, which will affect the stability of the bank and then the financial stability.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F299.23

【参考文献】