我国房地产市场周期与金融稳定——基于随机游走滤波的分析

Real Estate Cycle and Financial Stability in China:Empirical Analysis from Random Walk Filter

本文采用随机游走滤波对我国房地产市场周期进行了界定,并通过相关度分析研究了房地产市场周期的影响因素以及房地产市场周期与金融稳定的关系。本研究发现,近年来我国房地产市场周期的波动幅度剧增,且主要受到宏观经济因素和政策因素的影响。房地产市场周期与银行信贷周期之间的密切关系预示着不断累积的房地产行业风险可能成为威胁金融稳定的重要因素。其结论对理解房地产市场运行规律以及政府实施宏观调控等具有政策启示。

Utilizing random walk filter,this paper analyzes the growth cycle of real estate mar-ket and further tests the relationship between the cycle and the cycles of its driving forces.We find that the volatility of the real estate cycle has increased sharply in recent years and macro economy and policy are the two most important factors behind the cycle.Besides,the close in-teraction between real estate cycle and bank loan cycle might indicate the threat to the financial stability.Our findings have implications for policy-maker to better implement the macro-economic control,especially toward the real estate market.