摘要
房地产市场的特殊性使得房地产价格波动对宏观经济稳定构成潜在影响。本文通过构建Structural—VAR—MVGARCH—BEKK模型,从均值(一阶矩)和波动(二阶矩)两个层面考察了房地产价格波动与产出、通胀、货币供给之间的互动关系。实证结果显示,在均值层面上,房地产价格对产出的影响不是很明显,对通胀具有显著的正向推动作用,其与货币供给之间呈现反向关系;在波动层面,房地产价格与宏观变量之间存在显著的溢出效应,波动关系紧密。
The Unique Character of Real Estate Market Makes Housing Price Volatility has Potential Influ-ence to Macroeconomic Stability .The Paper Analyzes the Correlation between Housing Price and Macro-economic Variables Such as GDP , Inflation and Monetary Supply through Mean and Volatility Perspective on the Basis of Structural -VAR-MVGARCH-BEKK Model .The Empirical Result shows that in the Mean Perspective , Housing Price has no obvious impact to GDP , but Significant Positive Relation with Inflation and Negative Relation with Monetary Supply .In the Perspective of Volatility , Housing Price Volatility has Significant Spillover Effect with Macroeconomic Variables .
出处
《兰州商学院学报》
2014年第4期1-8,共8页
Journal of Lanzhou Commercial College
基金
国家社会科学基金青年项目(11CJL047)
教育部人文社会科学基金青年项目(13YJC790115)
陕西省教育厅科学研究计划项目(2013JK0141)
