城市住宅价格与宏观经济变量的关系分析 —— 基于VAR 模型的实证研究

通过分析选取住宅价格指数（HPI）、国内生产总值增长率（GDP）、1-3 年期银行贷款利率（IR）作为内生变量，滞后两期的广义货币供应量（M2）作为外生变量，建立了向量自回归模型。并在此基础上，运用协整分析、脉冲响应函数、方差分解和格兰杰因果检验等研究方法对住宅价格指数与宏观经济变量之间的动态相关关系进行了研究。研究结果表明，我国的住宅价格与所选用的宏观经济变量之间存在一定交互响应作用，并就此提出了相关建议。

Empirical Research on the Relationship between Housing Price and Macro-Economic Variables Based on VAR Model

The paper selected the Housing Price Index (HPI)，growth rate of Gross Domestic Product (GDP)，1-3-year bank Lending Rate（LR）as the endogenous variables，two-stage lagged broad money supply (M2) as the exogenous variable，and established a Vector Auto Regression (VAR) model. Based on the VAR model，this paper conducted an empirical study on the dynamics relationship between the HPI and macro-economic variables by using the Granger causality test，impulse response analysis，and variance decomposition analysis. The analysis results indicate that a long run equilibrium relationship exist among HPI，GDP，and IR. Some policy suggestions were put forward．