外商直接投资、货币政策和房地产泡沫的动态关系研究——基于半参数全局向量自回归模型的分析

Research on the Dynamic Relationship Between Foreign Direct Investment, Monetary Policy and Real Estate Bubble Based on Semi-parametric Global Vector Autoregression Model

为分析外商直接投资、货币政策及信贷规模和房地产泡沫的动态关系,采用2006—2015年中国30个省(市、自治区)的数据,构建半参数全局向量自回归模型和脉冲响应函数来分析不同经济变量的冲击对房地产泡沫在时间和空间上的传导效应。同时,为考察货币供给量对房地产泡沫的非线性影响,在模型中M2为非参部分,并根据偏导图来研究二者之间的相关关系。研究结果表明,给定某个地区的房地产泡沫冲击、外商直接投资冲击会对周边地区的房地产泡沫产生不同的效应,且这种效应在短期内具有区域性差异,在长期内趋于稳定;货币供给量对房地产泡沫呈现出非线性的影响,并且宽松和紧缩型货币政策在东中西部地区房地产泡沫的传导效率不一致。

In order to analyze the dynamic relationship between foreign direct investment, monetary policy and credit scale and real estate bubble, this paper constructs semi-parametric global vector autoregression model and impulse response function based on the data of 30 provinces and cities in China from 2006 to 2015 to analyze the conduction effect of different economic variables on real estate bubble in time and space. At the same time, the non -linear effect of the money supply on the real estate bubble is introduced into the model, and the correlation between the two is studied according to the partial guidance. The results show that the impact of foreign direct investment will have different effects on the real estate bubble in the surrounding areas which vary with different regions in the short term but are stable in the long term. The money supply has a nonlinear effect on the real estate bubble, and the impact of loose and tight monetary policy on the eastern and central regions of the real estate bubble conduction efficiency is inconsistent.