摘要
本文运用Geweke因果关系检验和动态门限模型方法,就银行信贷与房地产价格的因果关系、非线性阈值协整关系进行实证检验。检验结果表明:银行信贷与房价之间存在长期双向因果关系;从总体反馈份额看,银行信贷和房地产价格的反馈关系更多地表现为银行信贷对房地产价格的因果关系;以产出缺口(gap)为门限变量,银行信贷对房地产价格的影响随着整体经济周期的变化而呈现出非线性特征。当经济处于萧条时期时(gap<0.37),银行信贷对房地产价格的影响比较小;当经济处于繁荣时期时(gap>0.37),银行信贷对房地产价格的影响明显增强。
This paper empirically studies the causality and the nonlinear threshold cointegration between bank credit and real estate price through Geweke decomposition test and the dynamic threshold model.The results indicate that there exist long term two-way causality between bank credit and real estate.From the angle of total feedback share,it believes that the feedback relationship between bank credit and real estate shows more causality relationship from bank credit to the real estate.Taking the output gap（gap） as threshold variable,the effect of bank credit to real estate shows a nonlinear characteristic with the changing of economic cycle.When the economy is in bad times（gap0.368755）,the effect of bank credit to real estate price is relatively small,while the effect will be significantly enhanced when the economy is in boom times（gap0.368755）.
出处
《投资研究》
北大核心
2012年第11期115-123,共9页
Review of Investment Studies
