银行信贷对房地产泡沫的影响研究
发布时间：2018-08-16 19:35
【摘要】：纵观国内外历次房地产泡沫，发现一个普遍现象：无论是发达国家还是新兴工业化国家，在房地产泡沫形成过程中，都显示出银行信贷扩张与房地产泡沫之间的高度相关性。结合我国现状本文提出了紧密相关的一个问题：银行信贷与房地产价格之间的因果关系到底是什么样的?是银行信贷的增长导致了房地产价格的上升,还是房地产价格的上升导致了银行信贷的增加,再或者是银行信贷与房地产价格互为因果关系？ 笔者选取我国2004年1季度至2013年2季度的38组季度数据，，通过格兰杰因果检验对我国房地产价格与银行贷款之间的因果关系进行实证检验。 实证检验结果表明：银行贷款是房地产价格的格兰杰原因；房地产价格是贷款资产恶化率的格兰杰原因；银行信贷与房地产价格、房地产价格与贷款资产恶化率之间存在着长期的均衡关系；银行信贷的增加会导致房价上升，房价的上升又会导致贷款资产恶化率提高。这种长期均衡关系的根源就在于银行信贷，只有控制银行信贷的扩张才可以有效地抑制房价的上涨。 该研究结论普遍适用于房地产泡沫风险管理，更能促进我国房地产市场与银行信贷体系协调发展。对从银行信贷角度抑制房地产泡沫、促进经济发展有着重要的现实意义。
[Abstract]:Looking at all the real estate bubbles at home and abroad, we find a common phenomenon: both developed countries and newly industrialized countries show a high correlation between bank credit expansion and real estate bubbles in the process of real estate bubble formation. Combined with the current situation in China, this paper puts forward a closely related question: what is the causal relationship between bank credit and real estate prices? Is the growth of bank credit leading to the rise of real estate prices, or the rise of real estate prices lead to an increase in bank credit, or is the relationship between bank credit and real estate prices causality? The author selects 38 groups of quarterly data from the first quarter of 2004 to the second quarter of 2013 and empirically tests the causal relationship between real estate prices and bank loans through Granger causality test. The empirical results show that bank loan is the Granger cause of real estate price, real estate price is Granger reason of loan asset deterioration rate, bank credit and real estate price, There is a long-term equilibrium relationship between real estate price and loan asset deterioration rate; the increase of bank credit will lead to the rise of house price, and the rise of house price will lead to the increase of loan assets deterioration rate. The root of this long-term equilibrium relationship lies in bank credit. Only by controlling the expansion of bank credit can house prices rise effectively. This conclusion is generally applicable to the risk management of real estate bubble and can promote the harmonious development of real estate market and bank credit system. From the bank credit point of view to curb the real estate bubble, promote economic development has an important practical significance.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.45;F299.23
本文编号：2186972
[Abstract]:Looking at all the real estate bubbles at home and abroad, we find a common phenomenon: both developed countries and newly industrialized countries show a high correlation between bank credit expansion and real estate bubbles in the process of real estate bubble formation. Combined with the current situation in China, this paper puts forward a closely related question: what is the causal relationship between bank credit and real estate prices? Is the growth of bank credit leading to the rise of real estate prices, or the rise of real estate prices lead to an increase in bank credit, or is the relationship between bank credit and real estate prices causality? The author selects 38 groups of quarterly data from the first quarter of 2004 to the second quarter of 2013 and empirically tests the causal relationship between real estate prices and bank loans through Granger causality test. The empirical results show that bank loan is the Granger cause of real estate price, real estate price is Granger reason of loan asset deterioration rate, bank credit and real estate price, There is a long-term equilibrium relationship between real estate price and loan asset deterioration rate; the increase of bank credit will lead to the rise of house price, and the rise of house price will lead to the increase of loan assets deterioration rate. The root of this long-term equilibrium relationship lies in bank credit. Only by controlling the expansion of bank credit can house prices rise effectively. This conclusion is generally applicable to the risk management of real estate bubble and can promote the harmonious development of real estate market and bank credit system. From the bank credit point of view to curb the real estate bubble, promote economic development has an important practical significance.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.45;F299.23
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