摘要
居民杠杆率过快攀升与房地产价格持续上涨极易影响金融稳定。本文构建中国金融稳定指数(FSI),建立TVP-VAR模型考察居民杠杆率、房地产价格与金融稳定之间的动态时变关系。研究结果表明:(1)居民杠杆率与房地产价格之间存在自增强循环效应;(2)居民杠杆率攀升与房地产价格上涨会对金融稳定造成负向冲击,且长期效应大于短期效应;(3)受预期变化、政策调控等因素影响,特定时点下居民杠杆率与房地产价格间存在负效应,不同期限内居民杠杆率、房地产价格变化对金融稳定的影响差异较大。因此,监管部门应保持杠杆率水平合理、适度,坚持“房住不炒”,维护金融系统稳定运行。
The rapid rise in household leverage and the continuous rise in real estate prices are likely to affect financial stability.In this paper,we construct the China Financial Stability Index(FSI)and establish a TVP-VAR model to examine the dynamic time-varying relationship between household leverage,real estate prices and financial stability.The results show that:(1)there is a self-reinforcing circular effect between household leverage and real estate prices;(2)the rising household leverage and real estate prices have a negative impact on financial stability,and the long-term effect is larger than the short-term effect;(3)there is a negative effect between household leverage and real estate prices at a specific point in time due to factors such as expectation changes and policy regulation,and there is a negative effect between household leverage and real estate prices at different time periods.The impact of changes in real estate prices on financial stability varies widely.Therefore,regulators should maintain a reasonable and moderate leverage level,adhere to the principle of’houses are for living in and not for speculative investment’,and maintain the stable operation of the financial system.
作者
贺星源
易家权
李新
He Xingyuan;Yi Jiaquan;Li Xin
出处
《宏观经济研究》
CSSCI
北大核心
2022年第5期48-59,共12页
Macroeconomics
基金
山西省高等学校人文社会科学重点研究基地项目“系统重要性金融机构的审慎监管研究”(20200122)的资助。
