金融信贷是否中国房地产、股票价格泡沫和波动的原因——基于有向无环图的分析

Does the China's Financial Credit Cause the Real Estate and Stock Price Bubble and Fluctuations:an Application of Directed Acyclic Graphs

本文采用"有向无环图"和基于"有向无环图"结果的递归预测方差分解技术,克服了传统方法的局限性,探讨了金融信贷是否是我国房地产、股票价格泡沫和波动的原因。研究表明,无论是在同期还是中长期,金融信贷对我国房地产价格影响有限、对股票价格影响相对较大,房地产、股票价格变动更多来自于房地产、股票价格的自身冲击。抑制我国房地产、股票价格泡沫和过度波动,金融信贷政策的作用可能有限,打破房价单边升值预期、健全股指期货市场和融资融券制度、限制投机行为非常重要。

Based on directed acyclic graphs and recursive forecast error variance decompositions which can over- come the limitation1 of conventional methods, this paper studies whether the China＇s financial credit cause the re- al estate and stock price bubble and fluctuations. The results indicate that financial credit has a limited effect on real estate price, while a relative larger effect on stock price in hoth contemporaneous and long term, the fluctu- ations of the real estate and stock price mainly come from their internal shocks. Therefore financial credit plays only a limited rule in controlling the bubble and fluctuations of the real estate and stock price. The more impor- tant factors are to break lhe expectations of single-sided growth of the real estate price, to strengthen stock index future market and seeurities financing system, and to control speculations.