金融冲击与房地产市场波动*——一个宏观分析框架及中国的经验证据
FINANCIAL SHOCKS AND THE REAL ESTATE MARKET FLUCTUATIONS—— A Macroscopic Analysis Framework and Empirical Evidence in China

摘要 本文从总量宏观分析的视角，提出了金融变量与房地产市场的“总体冲击—传导机制”假说，据此用中国的数据构建金融状况指数（包含房价的FCI1和不包含房价的FCI2），再对金融状况指数（FCI1和FCI2）与房地产指数做实证分析。研究发现，在资产价格中房价比股价更能反映一国的金融状况；在引入金融状况指数的金融变量中，利率与房价的相关性最强；房价和利率对总产出的影响周期更长。国房景气指数、房地产投资指数和房价指数对FCI冲击的响应显著，并存在不同的表现。由于房价对居民财富、金融状况和宏观经济的影响显著，货币政策理应干预房价，必须精准把握干预的时机和干预的力度以及注重多种货币政策工具的有效搭配使用。
Abstract： From the perspective of macro analysis,this paper presents the hypothesis of the relationship between the financial variables and the real estate market,“the overall impactthe transmission mechanism” by constructing financial conditions index of China (including FCI1 containing house prices and FCI2 not containing)This paper empirically analyzes on the relationship between financial conditions index (FCI1 and FCI2) and real estate indexThe empirical results show that house prices can better reflect a countrys financial situation than share prices in the asset marketAmong the financial variables introduced to the financial condition index,the interest rate and house price are the most highly correlated,and the shocks from house price and interest rate would have a permanent impact on total outputThe impacts of real estate climate index,the real estate investment index,and house price index on FCI shock are significant,and there is different performanceSince a significant impact of house on residents wealth,financial condition and macro economy is found,monetary policy should interfere in the real estate market at the proper time and with the right level of intervention,and meantime,attention should be paid to the effective combination of various monetary policy tools