财政政策与房地产市场波动:基于符号约束VAR模型的实证研究

Fiscal policy and real estate market fluctuations:an empirical study of sign-restricted VAR model

财政政策与房地产市场存在显著的双向波动效应。在不同的理论假说下,财政政策的变动对房地产市场的冲击会有不同的结果。基于符号约束的VAR模型估计了财政收入与支出冲击对房地产市场的影响。使用1999—2019的季度数据,实证结果发现财政支出的变动会正面影响到以景气指数表征的房地产市场态势,而财政收入的变动对房地产市场存在负向冲击。比较不同政策发现政策效应并不对称。采用房价和房地产开发投资的稳健性检验结果表明,上述结果是稳健的但效应存在明显的时间差异。

There is a significant two-way fluctuation effect between fiscal policy and the real estate market.Under the different theoretical hypotheses,the impact of changes in fiscal policy on the real estate market will be different.This paper estimates the impact of fiscal revenue and expenditure shocks on the real estate market based on a sign-restricted VAR model.With quarterly data from 1999 to 2019,empirical results show that changes in fiscal expenditure will positively affect the real estate market situation represented by the prosperity index,and changes in fiscal revenue will have a negative impact on the real estate market.Comparing different policies,it finds that policy effects are not symmetrical.The results of the robustness test based on housing price and real estate development investment show that the above results are robust,but the effects are obviously different in time.