美联储加息冲击对中国房地产市场的溢出效应及其应对
Spillover Effects of the Fed's Interest Rate Hike Shock on China's Real Es-tate Market and Corresponding Measures
刘河北1
作者信息
- 1. 广西财经学院海上丝绸之路与广西区域发展研究院,广西南宁 530003
- 折叠
摘要
利用2007-2022年季度数据构建BVAR模型,研究美联储加息对中国房地产市场的外溢效应,发现美联储加息将导致家庭债务、商品房销售额、房价和房地产投资下降,产生负向外溢效应.而后构建含有GHH效用函数、异质性家庭、信贷约束和房地产部门的小国开放经济DSGE模型,在加息冲击下,DSGE模型能够较好地拟合BVAR模型的特征事实.机制分析表明利息差渠道、国际资本流动渠道和利率渠道是其中主要的内在影响机制,信贷约束具有放大机制.反事实实验表明当美联储加息时,中国加息将使房地产市场进一步恶化;中国采取降息或放松信贷政策的逆向操作,在一定程度上能够对冲美联储加息的负面影响,但加剧了资本外流.中国在短期采取降息、在中长期采取加息和放松信贷相结合的政策组合,能够达到更好的政策调控效果.
Abstract
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.
关键词
美联储加息/家庭债务/信贷约束/房价/房地产投资Key words
Fed increasing interest rate/household debt/credit constraints/house price/real estate investment引用本文复制引用
基金项目
广西高校中青年教师科研基础能力提升项目(2023KY0641)
出版年
2024
NETL
NSTL
维普
万方数据