Spillover Effects of the Fed's Interest Rate Hike Shock on China's Real Es-tate Market and Corresponding Measures
A BVAR model was constructed by using quarterly data from 2007 to 2022 to study the spillover ef-fects of the Fed's interest rate hikes on the Chinese real estate market.It is found that the Fed increasing in-terest rate will lead to the decline of household debt,commercial housing sales,house prices and real estate in-vestment,resulting in negative spillover effect.Then,the DSGE model of small country open economy was con-structed which included GHH utility functions,heterogeneous households,credit constraints,and the real es-tate sector.Under the impact of increasing interest rate,the DSGE model can better fit the characteristic facts of BVAR model.Mechanism analysis shows that interest spread channel,international capital flow channel and interest rate channel are the main influence mechanisms,and credit constraints have amplification mecha-nism.Counterfactual experiments show that when the Fed increasing interest rate,China increasing interest rate will further worsen the real estate market;China adopts the reverse operation of cutting interest rate or re-laxing credit,which can hedge the negative impact of the Fed increasing interest rate to a certain extent,but exacerbates the capital outflow.China's policy combination of interest rate cuts in the short term,interest rate increases and credit easing in the medium and long term can achieve better policy control effects.
NETL
NSTL
万方数据
维普
