银行信贷、房产价格与经常账户余额动态关联性研究——基于TVP-SV-VAR和贝叶斯DCC-GARCH模型的分析

Research on Dynamic Relation of Bank Credit,Housing Prices and Current Account Balance: An Analysis based on TVP-SV-VAR and Bayes DCC-GARCH Model

本文运用包含随机波动的时变参数向量自回归模型与贝叶斯DCC-GARCH模型,并结合我国2001年1月至2017年12月的相关数据,分析银行信贷、房产价格与经常账户余额间的相互作用机制和动态关联程度。实证结果表明:银行信贷的扩张可以显著推高房产价格,减少经常账户盈余;房产价格的上涨会刺激银行信贷扩张,削弱经常账户余额;经常账户余额盈余的增加则会减少银行信贷量,抑制房产价格上涨;银行信贷与房产价格之间的关联程度最高,银行信贷与经常账户余额间的关联程度次之,而房产价格与经常账户余额的关联程度最低。因此,为了平抑暴涨的房产价格、改善经常账户失衡的状况,实现宏观经济平稳健康发展,应加强对银行信贷投放的管理,切实管住银行信贷量的总阀门。

This paper analyses the interaction mechanism and dynamic correlation degree of bank credit,housing price and current account balance with time-varying parameter autoregressive model and bayes DCC-GARCH model combined with data between January 2001 and December 2017.The empirical results show that the increase of bank credit can significantly push up housing prices and reduce current account surplus;property prices increase will stimulate bank credit expansion while weaken the current account balance;the accumulation of current account balances will decrease bank credit,and curb real estate prices;the degree of correlation between bank credit and housing price is the highest while the connection degree of housing price and current account balance is the least.Therefore,in order to bring down the skyrocketing housing prices,improve the condition of current account imbalances and achieve stable and healthy macroeconomic development,we should strengthen the management of bank credit and control the total valves of bank credit.