房地产价格波动与金融脆弱性:——基于中国的实证研究

发布时间：2018-09-14 08:11

【摘要】：最近的研究表明,房地产市场价格波动与金融脆弱性有着密切的联系。本文从房地产价格波动对金融脆弱性的影响这个视角,通过选取宏观经济面和微观金融两个层次的六个指标编制衡量我国脆弱性的指数,并建立向量自回归模型对房地产价格波动与金融脆弱性进行定量分析。实证结果表明:金融脆弱性与房地产价格波动存在着双向的因果关系;房地产价格波动在较短期内对金融脆弱性有一定负向影响,随后对其有正向影响;对于房地产价格波动的冲击,银行部门对其的反应更加敏感,且在较短期内房地产价格波动对宏观经济与银行部门有一定的积极影响,但是随后会加剧其脆弱性,且对宏观经济的影响程度相对较大。
[Abstract]:Recent studies have shown that price volatility in the real estate market is closely linked to financial vulnerability. From the perspective of the impact of real estate price fluctuation on financial vulnerability, this paper makes an index to measure the vulnerability of our country by selecting six indicators of macro-economic and micro-financial levels. A vector autoregressive model is established for quantitative analysis of real estate price volatility and financial vulnerability. The empirical results show that: there is a two-way causal relationship between financial vulnerability and real estate price volatility, real estate price volatility has a certain negative impact on financial vulnerability in a short period of time, and then has a positive impact on it. The banking sector is more sensitive to the impact of real estate price volatility and has some positive impact on the macroeconomic and banking sectors in the short term, but subsequently increases its vulnerability. And the influence degree of macroscopical economy is relatively big.
【作者单位】：长沙理工大学经济与管理学院;长沙理工大学数学与计算科学学院;中国科学院数学与系统科学研究院管理、决策与信息系统重点实验室;
【基金】：国家自然科学基金(70971013,71171024) 国家社科基金重大项目(10ZD&028) 湖南省社科基金重点项目(11ZDB11)
【分类号】：F293.3;F832;F224

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