中国信贷扩张、房价波动的金融稳定效应研究——动态随机一般均衡模型视角

Credit Expansion,Housing Price and Financial Stability:A DSGE model

本文首先利用多元GARCH模型分析我国信贷扩张、房价波动影响金融稳定的经验机制,然后试图构建符合我国实际情况的动态随机一般均衡模型,对经验机制进行解释。DSGE模型的模拟结果与多元GARCH模型的经验机制基本一致,影响我国银行稳定的因素包括:房价波动、信贷波动以及两者的联合波动;银行反馈机制所引起的信贷紧缩和资本紧缩;宏观经济波动。房价波动、信贷波动及其联合波动具有很强的GARCH效应,而不良贷款的政策性剥离没有持续性。

The paper examines the mechanism of Credit Expansion and Housing Price on Financial Stability u- sing Multivariate GARCH and builds the dynamic stochastic general equilibrium model to explain the mecha- nism of China. The simulations of DSGE are basically consistent with the mechanism of multivariate GARCH. Factors affecting the banking stability include： housing prices, credit fluctuations, and their combina- tion; credit and capital tightening which are caused by feedback mechanisms of banks ; Macroeconomic volatili- ty. Price fluctuations, credit fluctuations, and their combination have a strong GARCH effect. However, the policy stripping of non-performing loans has no continuity.