我国房地产景气指数与银行业景气指数关系的实证分析

Empirical analysis on the relationship between China's real estate boom index and banking boom index

采用2004年1季度至2016年1季度的房地产景气指数以及银行业景气指数季度数据进行描述性相关分析,并通过构建向量自回归VAR模型,进行Granger因果检验表明两指数之间存在双向的因果关系,进一步利用脉冲响应函数和方差分解的分析方法,研究了二者之间的相互关系,得到房地产景气指数对银行业景气指数具有较长时间和较强程度的正向影响,从定性和定量两个角度说明了房地产景气指数对银行业景气指数的先行影响作用。在此基础上,提出相关的政策建议。

The real estate boom index and the bank boom index from the first quarter of 2004 to the first quarter of 2016 were used to conduct descriptive correlation analysis.By constructing vector auto regression VAR model and referring to the Granger causality test,it was shown that there is a two-way causal relationship between the two indices.Furthermore,this relationship was analyzed by the impulse response function and variance decomposition.The result showed that the real estate boom index has a positive impact on the banking boom index on a long time and a strong degree.Both the qualitative and quantitative analysis indicated that the dominate impact of the real estate boom index on the banking boom index.On the basis of the above conclusions,the author gave some suggestions.