摘要
本文基于我国2006年第1季度~2018年第1季度的时间序列数据,刻画了房地产市场、银行部门和非金融部门中风险的变化情况,并利用TVP-VAR模型综合分析了房价上涨对银行和非金融部门风险的动态影响。结果表明:(1)房价上涨冲击在短期内会推动银行部门风险的上升,但中长期冲击影响会逐渐减弱。(2)房价上涨冲击对非金融部门风险的正向影响不存在'时滞'性,并且随着时间的推移,这种推动作用将会逐渐减弱。(3)非金融部门债务风险的上升冲击会促使银行部门风险上升,因此房价上涨还可以通过'房价上涨—非金融部门负债增加—银行部门风险上升'这一机制对银行部门风险产生影响。(4)政府宽松的房地产调控政策与货币政策对各部门间的风险传递有放大作用,因此政府应谨慎地制定相关政策。
Based on the time series data of 2006Q1 to 2018Q1 in China,this paper describes the changes of risks hidden in the real estate arket,banking sector and non-financial sector.Using TVP-VAR method,we also analyzed the dynamic impact of housing price rise on the risks in the banking and non-financial sector.The results show that:(1)In the short-term,rising house prices would have a positive impact on the risks of the banking sector,while the impact of medium-and long-term impact will gradually weaken.(2)the impact of housing price rise on the risk of the non-financial sector does not have a'time lag',which will significantly promote the increase of the risk level of the non-financial sector in the short term,also this impact will gradually weaken over time.(3)The increase of non-financial sector debt risk can increase the risk of banks in a short period of time,and thus the rise of housing prices can also impact the risk of Banks through the impact mechanism of'housing price rise—the increase of non-financial sector debt—the rise of bank risk'.(4)The loose real estate regulation policy and monetary policy have an amplifying effect on the risk transfer among different departments,thus the government should carefully formulate related policies to avoid the irrational increase of real estate prices.
作者
张馨月
ZHANG Xinyue(The Center For Economic Research,Shandong University,250100)
出处
《制度经济学研究》
2019年第2期274-292,共19页
Research on Institutional Economics
