本文關(guān)鍵詞： 房?jī)r(jià)波動(dòng) 銀行信貸 銀行穩(wěn)定 多元GRACH模型　出處：《湖南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著經(jīng)濟(jì)的發(fā)展，房地產(chǎn)業(yè)逐漸成為居民消費(fèi)的主導(dǎo)產(chǎn)業(yè)，對(duì)國(guó)民經(jīng)濟(jì)增長(zhǎng)、就業(yè)擴(kuò)大及居民消費(fèi)水平提高具有顯著的拉動(dòng)效應(yīng)。房地產(chǎn)業(yè)的發(fā)展離不開金融的支持，金融穩(wěn)定也離不開以房地產(chǎn)業(yè)為代表的產(chǎn)業(yè)健康發(fā)展。它們是如何相互影響的，值得研究。 我國(guó)房地產(chǎn)業(yè)的發(fā)展與金融行業(yè)關(guān)系十分密切，房地產(chǎn)業(yè)的發(fā)展是否穩(wěn)定，將直接關(guān)系到金融體系的穩(wěn)定和國(guó)民經(jīng)濟(jì)的繁榮發(fā)展。如果房地產(chǎn)業(yè)的風(fēng)險(xiǎn)形成，房地產(chǎn)市場(chǎng)泡沫破滅，將會(huì)引發(fā)全國(guó)性地金融風(fēng)險(xiǎn)，，甚至危害到國(guó)家金融體系的穩(wěn)定，進(jìn)而影響到整個(gè)國(guó)民經(jīng)濟(jì)的發(fā)展。 本文旨在研究房地產(chǎn)價(jià)格和銀行信貸及銀行穩(wěn)定的相互影響機(jī)制。在引言中介紹了研究的背景、意義和國(guó)內(nèi)外的研究現(xiàn)狀，在此基礎(chǔ)上，本文從理論和實(shí)證兩方面對(duì)房地產(chǎn)價(jià)格、銀行信貸和銀行穩(wěn)定的關(guān)系進(jìn)行了系統(tǒng)地論述和論證。在理論方面，本文首先對(duì)我國(guó)房地產(chǎn)市場(chǎng)、銀行信貸和銀行穩(wěn)定進(jìn)行概述；然后全面闡述房?jī)r(jià)波動(dòng)、銀行信貸和銀行穩(wěn)定之間的相互影響機(jī)制。在實(shí)證方面，本文依據(jù)時(shí)間序列數(shù)據(jù)對(duì)房?jī)r(jià)波動(dòng)、銀行信貸和銀行穩(wěn)定三者之間的關(guān)系進(jìn)行實(shí)證分析，運(yùn)用多元GARCH模型刻畫銀行信貸和房地產(chǎn)價(jià)格隨時(shí)間的波動(dòng)情況，同時(shí)也分析了銀行穩(wěn)定的變動(dòng)情況�；谝陨涎芯浚疚牡贸鼋Y(jié)論：我國(guó)房地產(chǎn)價(jià)格上漲和銀行信貸擴(kuò)張是雙向地相互驅(qū)動(dòng)造成的；我國(guó)房?jī)r(jià)波動(dòng)、銀行信貸波動(dòng)及兩者的聯(lián)合波動(dòng)均具有很強(qiáng)的GARCH效應(yīng)，即房?jī)r(jià)波動(dòng)、銀行信貸波動(dòng)的沖擊具有長(zhǎng)期性，房?jī)r(jià)和貸款一旦發(fā)生波動(dòng)，這種波動(dòng)不會(huì)在短期內(nèi)得到抑制；引起我國(guó)銀行不穩(wěn)定的因素主要為房?jī)r(jià)波動(dòng)、銀行信貸波動(dòng)以及兩者相互驅(qū)動(dòng)下的聯(lián)合波動(dòng)；而銀行反饋機(jī)制所引起的信貸緊縮和資本緊縮效果不明顯。 經(jīng)過理論分析和實(shí)證驗(yàn)證之后，文章在最后針對(duì)我國(guó)房地產(chǎn)市場(chǎng)和銀行房地產(chǎn)信貸提出建議。
[Abstract]:With the development of economy, the real estate industry has gradually become the leading industry of residents' consumption, which is increasing the national economy. The expansion of employment and the improvement of residents' consumption level have significant pull effect. The development of real estate industry can not be separated from the support of finance. Financial stability is also inseparable from the healthy development of real estate industry. The development of China's real estate industry is closely related to the financial industry. Whether the development of the real estate industry is stable or not will be directly related to the stability of the financial system and the prosperity of the national economy. The bursting of the real estate market bubble will lead to national financial risks, even endanger the stability of the national financial system, and then affect the development of the whole national economy. The purpose of this paper is to study the mutual influence mechanism of real estate price, bank credit and bank stability. In the introduction, it introduces the background, significance and current situation of the research at home and abroad. This paper systematically discusses and demonstrates the relationship between real estate price, bank credit and bank stability from both theoretical and empirical aspects. In theory, this paper first discusses the real estate market in China. Bank credit and bank stability are outlined; Then the paper comprehensively expounds the interaction mechanism between house price fluctuation, bank credit and bank stability. In the empirical aspect, this paper based on the time series data to the price fluctuation. The relationship between bank credit and bank stability is analyzed empirically, and the multivariate GARCH model is used to describe the fluctuation of bank credit and real estate prices over time. Based on the above research, this paper draws a conclusion: the rise of real estate price and the expansion of bank credit are driven by each other in both directions; The fluctuation of house price, the fluctuation of bank credit and the joint fluctuation of both have very strong GARCH effect, that is, the fluctuation of house price, the impact of fluctuation of bank credit is long-term, and once the fluctuation of house price and loan occurs, the fluctuation of house price and loan occurs. Such fluctuations will not be suppressed in the short term; The main factors that cause the bank instability in China are the fluctuation of house price, the fluctuation of bank credit and the joint fluctuation driven by each other. But the bank feedback mechanism causes the credit contraction and the capital contraction effect is not obvious. After theoretical analysis and empirical verification, the paper puts forward some suggestions on real estate market and bank real estate credit.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F299.23;F832.4

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本文編號(hào)：1493161