基于VAR模型的居民杠杆率与住房价格关系研究

基于我国居民杠杆率快速攀升，以及房价持续上涨的现象，采用2005~2017年我国经验数据，以VAR模型为基础，借助Granger因果检验、脉冲响应函数及方差分解等方法，实证检验了居民杠杆率与住房价格之间的互动关系。结果表明:购房信贷对居民杠杆率具有单向Granger因果关系，购房信贷扩张导致居民杠杆率上升；居民杠杆率与住房价格之间存在双向Granger因果关系，两者循环互推、螺旋上升。结果可能会加剧我国房价泡沫风险，据此提出了加强住房市场的预期管理、分散居民加杠杆在住房买卖市场的集中度以及加强信贷管理等对策建议。

Research on the Relationship Between Resident Leverage Ratio and Housing Price Based on VAR Model

Based on the phenomenon of the rapid rise of resident leverage ratio and the continuous rise of housing price in China，this paper empirically tested the relation between resident leverage ratio and housing price using the empirical data in China from 2005 to 2017 based on the VAR model，Granger causality test，impulse response function，variance decomposition and other methods. The results show that the housing purchase credit has a one-way Granger causality on the residents’ leverage ratio，the expansion of housing purchase credit leads to the increase of the residents’ leverage ratio；and there is a two-way Granger causality between residents’ leverage ratio and housing price，and they push each other in cycles and spiral upward. This may increase the risks of housing bubble. This paper suggests that the expectation management of the housing market should be strengthened，the concentration of residents plus leverage in the housing market should be decentralized，and credit management should be strengthened.