我国房地产价格波动对系统性金融风险影响的动态机制研究——基于有向无环图的分析

Study on the impact of real estate price fluctuation on financial system risk in China:Based on directed acyclic graph analysis

2016年开始,我国房地产价格快速攀升,鉴于房地产市场与金融市场的密切联系,从而引发了人们对于我国金融风险状况的担忧。文章立足于本轮房价上涨,通过建立基于有向无环图(DAG)的结构向量自回归(SVAR)模型,探讨房价波动对我国系统性金融风险造成的动态影响,实证结果表明房价的大幅上涨是导致我国系统性金融风险积累的重要原因,系统性金融风险在一定程度上脱离实体经济状况而存在,提高利率在短期内确是调控房价和维护金融稳定的重要手段,然而长期调控效果逐渐减弱,并据此提出了相应的政策建议。

China＇s real estate prices rising fast from the beginning of 2016,given the close contact w ith the real estate market and financial market, w hich sparked the financial risk profile of China＇s concerns. This paper w ant to investigate the dynamic impact of price fluctuation on China＇s financial system risk based on the directed acyclic graph（ DAG） structure vector autoregressive（ SVAR）model. The empirical results show that the sharp rise in prices is the result of China＇s financial system an important reason for the accumulation of risk,systematic financial risk to a certain extent from the real economy,raising interest rates in the short term is to control the real How ever,the long-term control effect is gradually w eakened. The empirical results of this paper have the policy implications for the current real estate price volatility and financial stability.