利率对我国房价调控效应的实证研究

摘要

Theoretical studies show that the impact direction of the interest rate on house price depends on the sensitivity of the real estate demand and supply responding to the changes of the interest rate, but empirical studies draw different conclusions. Therefore, this paper theoretically analyzes the influence of the interest rate on house price by employing a DSGE model, and then empirically studies the mathematical effects of the interest rate adjusting on Chinese house price with some econometric methods such as Cointegration, Vector Error Correction model, Impulse Responses and Variance Decomposition based on VAR Model with Chinese house price and the interest rate data from the first quarter of 1998 to the fourth quarter of 2013. The results are as follow:the interest rate has driven house price in the long run, and the analysis of impulse responses and variance decomposition shows that the devotion of the interest rate to house price is very limited;the estimation of VECM shows that both of the interest rate and house price have not dynamic self-adjusted mechanism in the short run, and house price will be further away its equilibrium state which means the regulation effect of the interest rate on house price will be worse and house price will rise further in the short time.%理论研究表明利率对房价的影响方向取决于房地产需求和供给对于利率变动反应的敏感性，但实践检验结论不一。为此，文章首先通过建立一个动态随机一般均衡模型(DSGE)，从理论上分析了利率对房价的影响，然后基于我国1998年1季度-2013年4季度的房价和利率数据，采用协整、向量误差纠正模型和基于VAR的脉冲响应、方差分解等手段实证检验了利率调控我国房价的数量效应。研究发现，长期中利率推动了我国房价的上涨，但脉冲响应和方差分解表明利率对房价上涨的推动作用有限； VECM估计表明短期中调整利率与房价向其长期均衡水平回归的动态机制不存在，房价会进一步偏离其均衡状态，这意味着短期中利率对房价的调控效应更差，房价会进一步上涨。