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本文以我国1991-2011年的宏观数据为样本,建立两区制自激励门限向量自回归(SETVAR)模型,刻画房地产价格价与宏观经济波动间显著的非线性动态关系。通过广义脉冲响应函数描绘各变量的关联性发现,经济波动对实体经济冲击、货币冲击、价格冲击以及房地产冲击的响应具有非对称性。随后利用Potter和Dijk,Franses和Boswijk提出的方法进一步量化和证实了冲击效应和冲击吸收速度的非对称性。相比于房价增速较缓的情况,房价高速增长时各冲击引起的实体经济波动更大,持续期更长。
Based on the macro-data from 1991 to 2011 in our country, this paper establishes a two-region self-incentive threshold vector regression (SETVAR) model to depict the significant nonlinear dynamic relationship between real estate price and macroeconomic fluctuations. The generalized impulse response function is used to depict the correlation between variables. It is found that the economic fluctuation has asymmetry in response to real economic shocks, monetary shocks, price shocks and real estate shocks. Subsequent use of the method proposed by Potter and Dijk, Franses and Boswijk further quantify and confirm the asymmetry of the impact and impact absorption rates. Compared with the slow growth of house prices, the real economy caused by various shocks fluctuates more rapidly and lasts longer.