利率、股票指数、货币供应量与房地产价格关系的实证研究

An Empirical Study on the Relationship of Interest Rate,the Shanghai A-share Composite Index,Money Supply and the Real Estate Prices

利用计量经济学方法,选取利率、股票指数和货币供应量三个变量建立向量误差修正(VEC)模型,并通过脉冲响应函数与方差分解的方法研究各变量对房地产价格的动态影响及其效果。结果表明:当期房地产销售价格指数FPI、货币供应量M2、上证A股综合指数SZHA、金融机构1–3年贷款基准利率R都对滞后期房地产销售价格有持续影响,且不同时间段影响方向不同;随着时间的推移,房地产销售价格指数和上证A股综合指数对房地产销售价格波动解释的贡献率较大,远超出货币供应量和金融机构1–3年贷款基准利率对房地产销售价格波动解释的贡献度。

Based on the Econometric methods, this study selects the three variables of interest rates, stock index and the money supply to create the vector error correction （VEC） model to study the effect of monetary policy on real estate prices, and draws on the impulse response function and the variance decomposition method to observe the dynamic effects of each variable on real estate prices. The results demonstrate that the current price index of real estate sales（FPI）, money supply（M2）, the Shanghai A-share composite index（SZHA）, and benchmark lending rates of financial institutions for 1-3 years（R） all have a continuous effect on the price of real estate in the lag period, and different periods exhibit different directions. With the passing of time, FPI and SZHA make greater contributions to the fluctuation of the real estate than that caused by M2 and R.