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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 relationship between monetary policy and asset prices has always been the focus of academic research, but the real estate credit analysis of real estate prices from the perspective of the literature is relatively small. Based on multivariate MGARCH-BEKK model and GRACH mean equation model, this paper analyzes the correlation between real estate credit, money supply and real estate price volatility and the impact of their volatility on real estate prices. The study found that fluctuations in real estate credit growth can affect the growth of real estate prices, while the fluctuation of money supply has no significant effect on real estate price growth. At the same time, empirical analysis shows that in the regulation of housing prices, the regulation of real estate credit is a tool to curb housing price fluctuations. The money supply dominated by bank credit can not fully reflect the social liquidity situation. Compared with the money supply, the total amount of social financing indicators and real economy indicators are more closely linked.