我国房地产泡沫与银行信贷规模的相关性研究

本文首先从理论上深刻剖析了房地产泡沫与银行信贷规模相互之间的作用与传导机制,在此基础上选取2006年-2018年相关指标的年度数据,对房地产泡沫与银行信贷规模进行了图形拟合与周期性波动规律分析,分析发现二者存在极高的契合度。建立房地产泡沫的函数,构建协整方程实证发现银行信贷规模对房地产泡沫的长期弹性系数为0.51,从长期来看银行信贷规模每增加1%,房地产泡沫也相应增加0.51%,进一步建立VAR模型实证发现房地产泡沫与银行信贷规模互为格兰杰因果关系,二者相互影响、相互促进。通过方差分解实证发现银行信贷规模对房地产泡沫的变动具有重要的影响,另一方面,房地产泡沫是影响银行信贷规模变动最主要的因素。

Research on the Correlation Between Real Estate Bubble and Bank Credit Scale in China

In this paper, the role and transmission mechanism between real estate bubble and bank credit scale are deeply analyzed theoretically. Based on the annual data from 2006 to 2018, the graphic fitting and periodic fluctuation rules of real estate bubble and bank credit scale are analyzed. It is found that there is a high degree of agreement between the two.Building a real estate bubble function and constructing cointegration equation, it is found that the long-term elasticity coefficient of bank credit scale to the real estate bubble is 0.51. In the long run, the bank credit scale increases by 1% and the real estate bubble increases by 0.51%. Further VAR model is established to find that the real estate bubble and the scale of bank credit are Granger causality, and the two factors affect and promote each other. Through variance decomposition, it is found that the scale of bank credit has an important impact on the change of real estate bubble. On the other hand, the real estate bubble is the most important factor affecting the scale of bank credit.