信贷约束、房地产价格与宏观经济的互动机理与实证分析
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摘要
自1997年东南亚金融危机后,如何保证房价和宏观经济的良性互动日益受到关注。当前在由次贷危机引发的全球金融危机冲击下,各国房价与宏观经济所受影响日益显现,更激起了关于信贷约束、房地产价格与宏观经济的讨论。信贷约束、房地产价格与宏观经济是否存在互动?若存在,其互动的影响机理和特征又是如何?中国信贷约束、房价与宏观经济的互动影响机理和特征如何?如何协调信贷约束、房地产价格与宏观经济的和谐互动?本研究正试图分析这些问题。
本研究主要分文献综述部分,不同层面的经验实证部分、理论分析与实证检验结合部分、国际经验部分等四部分。文献综述部分评述有关信贷约束、房价与宏观经济的研究方法与理论进展。经验实证部分分全国、区域和城市三个层面,分别基于全国数据,省际和35个大中城市的面板数据、上海市的数据,采用VAR模型(包括基于VAR模型的Granger因果关系检验、脉冲反应和方差分解、误差修正模型)、面板数据模型(包括面板数据Granger因果关系检验,静态与动态面板数据模型)和GARCH模型,分析不同层面信贷约束、房价与宏观经济的互动影响特征。在理论分析与实证检验结合部分:分别采用局部均衡模型、一般均衡模型分析框架对信贷约束、房价和宏观经济的互动机理进行分析,并检验金融加速器效应;采用模型分析、Granger因果关系检验、误差修正模型来分析银行信贷和房地产价格的关系;采用模型分析和回归分析等方法来分析房地产价格波动对货币政策的影响。国际经验部分主要对美国、东南亚多国和台湾地区的信贷约束,房价与宏观经济的互动经验进行分析。
本研究得出的主要结论如下。
(1)信贷约束、房地产价格和宏观经济在全国层面存在互动影响。这种互动影响的主要特征是:房价与宏观经济存在互动反馈;房价与宏观经济之间在长期存在稳定关系,然而在短期却存在失衡;房价对消费和投资具有较显著影响。
(2)信贷约束、房价与宏观经济在区域层面存在互动影响。这种互动还存在较显著的区域差异。房价通过影响消费和投资进而影响GDP。
(3)信贷约束、房价与宏观经济在典型城市层面(上海)也存在互动影响。利率和宏观经济对房价存在较显著影响,并且这种影响具有波动集群性和非对称性。
(4)信贷约束能引起房价变化,并放大房地产价格波动对宏观经济的影响。
(5)信贷约束、房地产价格和宏观经济的互动反馈使不同冲击对房价和宏观经济的影响被加剧和扩散。
(6)房地产价格在货币政策传导机制方面起着显著作用,货币政策能通过房地产价格变化从而影响宏观经济。
(7)房地产价格对我国总需求具有显著影响。
(8)信贷约束、房价和宏观经济在美国、东南亚多国和台湾地区联系紧密,也存在互动。
本研究的主要政策含义是:(1)应协调信贷约束、房地产价格和宏观经济的和谐运行;(2)适度的信贷约束、房价和宏观经济稳定是协调信贷约束、房地产价格和宏观经济运行的关键。(3)房价对产出缺口具有显著影响,应调控房价。(4)房价在货币政策的传导机制上存在显著影响,可采用货币政策来调控房价,从而有利于促进宏观经济稳定。
How to harmonize real estate price and macro-economy is becoming more cared since the 1997 Southeast Asian financial crisis. As the impacts of the current global financial crisis induced by subprime crisis on mostly country's real estate price and macro-economy further emerge, it evokes the questions about credit constraint, real estate price and macro-economy. Do credit constraint, real estate price and macro-economy have interactive relationship between each other? If have, what are the impact mechanism and characteristics of theirs? What are the impact mechanism and characteristics between credit constraint, real estate price and macro-economy in China? How to harmonize the relationship between credit constraint, real estate price and macro-economy? This research motives to analyze these questions.
This research mainly consists of four parts, including literature review, different level empirical study, theory and empirical test combined study, international experience. Firstly, literature review examined the relative methods and theory about credit constraint, real estate price and macro-economy. Secondly, empirical study, based on national level data, regional panel data and 35 large and medium-sized cities level panel data, employed VAR model (including VAR model based Granger causality test, impulse response analysis, variance decomposition, and error correction), panel data model (including panel data Granger causality test, dynamic and static panel data model) and GARCH model to analyze the interaction relationship between credit constaint, real estate price and macro-economy. Thirdly, in the theory and empirical test combined study, partial equilibrium analysis and general equilibrium analysis framework were employed to study the interaction relationship between credit constraint, real estate price and macro-economy, combined with empirical test of financial accelerator effect; model analysis, Granger causality test and error correction model were employed to analysis the relationship between bank credit and real estate price; model analysis and regression method were employed to analyze the impact of real estate price change on monetary policy in the last part of theory and empirical test combined study. Finally, we mainly analyze the experience of the interaction relationship between credit constraint, real estate price and macro-economy in American, Southeast Asian and Taiwan district.
The main conclusions go as follows.
(1) Credit constraint, real estate price and macro-economy have interactive impact mechanism at the national level. The impact chararteristics are: real estate price and macro-economy have significant interactive feedback mechanism; real estate price and macro-economy have long term equilibrium relationship, while they have disequilibrium relationship in the short term; real estate price has significantimpact on consumption and investment.
(2) Credit constraint, real estate price and macro-economy have interactive mechanism at the regional level with regional difference. Real estate price could impact macro-economy through channels of impacting consumption and investment.
(3) Credit constraint, real estate price and macro-economy have interactive impact mechanism at the city level of Shanghai. Interest rate and macroeconomic factors have significant impact on real estate price with cluster volatility and unsymmetric characteristics.
(4) Credit constraint could cause real estate price change and magnify the impact of real estate price on macro-economy.
(5) The interactive feedback mechanism of credit constraint, real estate price and macro-economy could acceralate and magnify the impact of different shocks on real estate price and macro-economy.
(6) Real estate price has significant impact on the transmission channel of monetary policy. Monetary policy could impact macro-economy through affecting real estate price.
(7) Real estate price has significant effect on aggregate demand in China.
(8) Credit constraint, real estate price and macro-economy have interactive experience in America, Southeast Asia and Taiwan district.
The policy implications are: (1) as credit constraint, real estate price and macro-economy have feedback and interactive mechanism, measures of harmonizing credit constraint, real estate price and macro-economy should be taken; (2) moderation credit constraint, stable real estate price and macro-economy are the key to harmonize credit constraint, real estate price and macro-economy; (3) as real estate price has significant impact on GDP gap, macro control for real estate price should be taken; (4) as real estate price had significant impact on the transmission mechanism of monetary policy, monetary policy could be used to control real estate price, which in return is beneficial to stabilize macro-economy.
本研究主要分文献综述部分,不同层面的经验实证部分、理论分析与实证检验结合部分、国际经验部分等四部分。文献综述部分评述有关信贷约束、房价与宏观经济的研究方法与理论进展。经验实证部分分全国、区域和城市三个层面,分别基于全国数据,省际和35个大中城市的面板数据、上海市的数据,采用VAR模型(包括基于VAR模型的Granger因果关系检验、脉冲反应和方差分解、误差修正模型)、面板数据模型(包括面板数据Granger因果关系检验,静态与动态面板数据模型)和GARCH模型,分析不同层面信贷约束、房价与宏观经济的互动影响特征。在理论分析与实证检验结合部分:分别采用局部均衡模型、一般均衡模型分析框架对信贷约束、房价和宏观经济的互动机理进行分析,并检验金融加速器效应;采用模型分析、Granger因果关系检验、误差修正模型来分析银行信贷和房地产价格的关系;采用模型分析和回归分析等方法来分析房地产价格波动对货币政策的影响。国际经验部分主要对美国、东南亚多国和台湾地区的信贷约束,房价与宏观经济的互动经验进行分析。
本研究得出的主要结论如下。
(1)信贷约束、房地产价格和宏观经济在全国层面存在互动影响。这种互动影响的主要特征是:房价与宏观经济存在互动反馈;房价与宏观经济之间在长期存在稳定关系,然而在短期却存在失衡;房价对消费和投资具有较显著影响。
(2)信贷约束、房价与宏观经济在区域层面存在互动影响。这种互动还存在较显著的区域差异。房价通过影响消费和投资进而影响GDP。
(3)信贷约束、房价与宏观经济在典型城市层面(上海)也存在互动影响。利率和宏观经济对房价存在较显著影响,并且这种影响具有波动集群性和非对称性。
(4)信贷约束能引起房价变化,并放大房地产价格波动对宏观经济的影响。
(5)信贷约束、房地产价格和宏观经济的互动反馈使不同冲击对房价和宏观经济的影响被加剧和扩散。
(6)房地产价格在货币政策传导机制方面起着显著作用,货币政策能通过房地产价格变化从而影响宏观经济。
(7)房地产价格对我国总需求具有显著影响。
(8)信贷约束、房价和宏观经济在美国、东南亚多国和台湾地区联系紧密,也存在互动。
本研究的主要政策含义是:(1)应协调信贷约束、房地产价格和宏观经济的和谐运行;(2)适度的信贷约束、房价和宏观经济稳定是协调信贷约束、房地产价格和宏观经济运行的关键。(3)房价对产出缺口具有显著影响,应调控房价。(4)房价在货币政策的传导机制上存在显著影响,可采用货币政策来调控房价,从而有利于促进宏观经济稳定。
How to harmonize real estate price and macro-economy is becoming more cared since the 1997 Southeast Asian financial crisis. As the impacts of the current global financial crisis induced by subprime crisis on mostly country's real estate price and macro-economy further emerge, it evokes the questions about credit constraint, real estate price and macro-economy. Do credit constraint, real estate price and macro-economy have interactive relationship between each other? If have, what are the impact mechanism and characteristics of theirs? What are the impact mechanism and characteristics between credit constraint, real estate price and macro-economy in China? How to harmonize the relationship between credit constraint, real estate price and macro-economy? This research motives to analyze these questions.
This research mainly consists of four parts, including literature review, different level empirical study, theory and empirical test combined study, international experience. Firstly, literature review examined the relative methods and theory about credit constraint, real estate price and macro-economy. Secondly, empirical study, based on national level data, regional panel data and 35 large and medium-sized cities level panel data, employed VAR model (including VAR model based Granger causality test, impulse response analysis, variance decomposition, and error correction), panel data model (including panel data Granger causality test, dynamic and static panel data model) and GARCH model to analyze the interaction relationship between credit constaint, real estate price and macro-economy. Thirdly, in the theory and empirical test combined study, partial equilibrium analysis and general equilibrium analysis framework were employed to study the interaction relationship between credit constraint, real estate price and macro-economy, combined with empirical test of financial accelerator effect; model analysis, Granger causality test and error correction model were employed to analysis the relationship between bank credit and real estate price; model analysis and regression method were employed to analyze the impact of real estate price change on monetary policy in the last part of theory and empirical test combined study. Finally, we mainly analyze the experience of the interaction relationship between credit constraint, real estate price and macro-economy in American, Southeast Asian and Taiwan district.
The main conclusions go as follows.
(1) Credit constraint, real estate price and macro-economy have interactive impact mechanism at the national level. The impact chararteristics are: real estate price and macro-economy have significant interactive feedback mechanism; real estate price and macro-economy have long term equilibrium relationship, while they have disequilibrium relationship in the short term; real estate price has significantimpact on consumption and investment.
(2) Credit constraint, real estate price and macro-economy have interactive mechanism at the regional level with regional difference. Real estate price could impact macro-economy through channels of impacting consumption and investment.
(3) Credit constraint, real estate price and macro-economy have interactive impact mechanism at the city level of Shanghai. Interest rate and macroeconomic factors have significant impact on real estate price with cluster volatility and unsymmetric characteristics.
(4) Credit constraint could cause real estate price change and magnify the impact of real estate price on macro-economy.
(5) The interactive feedback mechanism of credit constraint, real estate price and macro-economy could acceralate and magnify the impact of different shocks on real estate price and macro-economy.
(6) Real estate price has significant impact on the transmission channel of monetary policy. Monetary policy could impact macro-economy through affecting real estate price.
(7) Real estate price has significant effect on aggregate demand in China.
(8) Credit constraint, real estate price and macro-economy have interactive experience in America, Southeast Asia and Taiwan district.
The policy implications are: (1) as credit constraint, real estate price and macro-economy have feedback and interactive mechanism, measures of harmonizing credit constraint, real estate price and macro-economy should be taken; (2) moderation credit constraint, stable real estate price and macro-economy are the key to harmonize credit constraint, real estate price and macro-economy; (3) as real estate price has significant impact on GDP gap, macro control for real estate price should be taken; (4) as real estate price had significant impact on the transmission mechanism of monetary policy, monetary policy could be used to control real estate price, which in return is beneficial to stabilize macro-economy.
引文
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