中国房地产价格动态变化的宏观经济影响——基于FAVAR模型的实证分析

Influences of House Price Changes on Macroeconomics-Empirical Analyses by Implementing FAVAR Model

基于FAVAR模型框架,选取14个大类、95个经济变量实证研究房地产价格变动对宏观经济的影响,发现FAVAR模型能够提供比传统VAR模型更符合经济事实的实证结论。一方面房地产价格上升对经济依然存在短期刺激作用,但已低于先前估计,且不利于经济结构调整,最终将导致中长期经济下滑;另一方面房地产价格下降虽有利于中长期结构调整和经济增长,但其带来的短期经济下滑幅度将超出我国经济可承受范围。与此同时,房价波动将引致汇率和利率出现大幅波动,企业资产负债率出现大幅上升,融资条件恶化,进而使银行体系的稳定性受到冲击。灵活运用房地产调控措施,适度放松房地产调控政策,推进户籍改革,维持房地产价格稳定应成为现阶段房地产政策的重中之重。

By implementing FAVAR model, based on 95 economic variables in 14 categories, this paper empirical studied the influence of house price changes on macroeconomic stability. We find that our result is more effective than previous results which used VAR models. The rise of house price has an important influence on economic growth in the short - term, but smaller than previous estimate and is harmful to the adjustment of economic structure in the long - term. However, the fall of house price lead to the fluctuations of exchange rate and interest rate, the sharp rise in asset - liability ratio, and the sharp slowdown in economy in the short - term. Regulating the house market in a more flexible way （such as relaxing home - purchase restrictions and the reform of household registration system）, which is aimed to maintain the house price stability, is the key point of the current policies.