中国信贷支持与房地产价格波动——基于SVAR模型的实证研究

China's Credit Support and Housing Price Volatility

本文利用1995-2010年的季度数据,通过建立结构向量自回归模型(SVAR)对中国的信贷支持(货币供给,信贷,利率)与房地产价格的动态关系和相互影响进行了实证研究。研究表明:货币供给扩张和利率紧缩都对房价产生稳定的长期拉动效应,但是房价上涨对货币供给的影响侧重于短期的收缩效应,而对利率的影响则偏重于长期的拉动作用;信贷扩张对房价存在为长期的推动作用,而房价上涨对信贷同时存在短期的拉动效应和长期的推动作用。基于此,本文认为货币供给工具和信贷工具以盯住房价为目标是可行的,而利率工具不宜盯住房价。

Using quarterly data from 1995 to 2010,this paper establishes a structural vector autoregressive（SVAR） model to make an empirical study on the dynamic relationships and iterations between China＇s credit support（money supply,credit,interest rate） and real estate prices.The results show that money sup-ply expansion and interest rate contraction both have stable long-term pulling effects on housing prices rising,but the effect of housing prices rising on money supply mainly focuses on short-term contraction and that on interest rate mainly focuses on long-term simulating effect.Meanwhile,money expansion has long-term pro-moting effect on housing prices,and the later both have short-term pulling effect and long-term simulating ef-fect on the former.Based on this,the paper concludes that the money supply instruments and credit instru-ments are feasible to peg housing prices target,but interest rate is not feasible to peg housing prices target.