房地产价格波动与银行信贷增长的实证研究

An Empirical Study of Price Fluctuation of Real Estate Industry and Banking Credit Increase

本文从理论上探讨了房地产价格波动影响银行信贷增长的作用机制。在此基础上,本文利用2000年1月至2006年8月的月度数据,运用多变量协整分析技术对我国房地产价格影响银行信贷的效应进行实证检验。研究结果表明,房地产价格和银行信贷之间在长期内存在互为因果关系,房地产价格波动在短期对银行信贷发放的直接影响十分有限,主要是在长期内对银行信贷增长产生影响。而银行信贷也通过协整关系成为房地产价格短期波动的Granger原因。最后,本文认为,货币政策当局应当密切关注房地产价格、银行信贷以及二者的相互影响。

This paper begins with a theoretical discussion of the role of price fluctuation of property industry in affecting banking credit growth. Then, based on monthly data from January 2000 to August 2006, it uses multi-variable adjustment technology to study empirically the effect of price of real estate industry on banking credit. ReSult shows that there is a long-term inborn cause-effect relationship between the price of real estate industry and banking credit. Although price fluctuation of real estate has limited direct effect on banking credit extension in short terms, it affects banking credit growth in the long run. Due to adjustment relationship, banking credit in turn becomes Granger cause for short term price fluctuation. Finally, it is suggested that monetary policy authority should watch closely the price of the proerty industry, banking credit as well as their interrelationship.