信贷与资产价格关系研究——来自中国房地产市场的证据

货币政策与资产价格之间的关系一直以来都是学术界研究的重点,但从房地产信贷视角分析房地产价格的文献却相对较少。本文基于多元MGARCH—BEKK模型和GRACH均值方程模型分析了房地产信贷、货币供应量与房地产价格的波动相关性以及它们的各种波动对房地产价格的影响。研究发现,房地产信贷增长的波动能影响房地产价格的增长,而货币供应量的波动,对房地产价格增长影响不显著。同时实证分析显示在对房价的调控中,房地产信贷的调控是抑制房价波动的一个工具选项。以银行信贷为主的货币供应量已经不能全面反映社会的流动性状况。与货币供应量相比,社会融资总量指标与实体经济指标的联系更加紧密。

The Relation between Credit and Asset Prices:Evidence from Real Estate Industry in China

This paper analyzes the volatility correlation in real estate price,money supply and loans of real estate and their volatility correlation’s impacts on the real estate price based on MGARCH-BEKK model and GARCH mean value equation model.It has been found that the volatility of loans growth in real estate industry has significant impact on the price of real estate.In the meantime,the volatility of money supply has little impact on the real estate price.This founding indicates that money supply dominated by the bank credit is not appropriate for reflecting the liquidity in the whole economy.The aggregate financing index is able to be adaptable to the financial development;meanwhile the regulation and control of loans in real estate industry should be one of the tools in the monetary policy.