Credit Expansion,Housing Price and Financial Stability:A DSGE model
通过多元GARCH和DSGE模型，研究中国信贷扩张与房价对金融稳定性的影响机制，发现房价和信贷波动及其组合具有强GARCH效应，而银行反馈机制导致的信贷和资本紧缩是重要因素。
The paper examines the mechanism of Credit Expansion and Housing Price on Financial Stability using Multivariate GARCH and builds the dynamic stochastic general equilibrium model to explain the mechanism of China.The simulations of DSGE are basically consistent with the mechanism of multivariate GARCH.Factors affecting the banking stability include:housing prices,credit fluctuations,and their combination; credit and capital tightening which are caused by feedback mechanisms of banks;Macroeconomic volatility. Price fluctuations,credit fluctuations,and their combination have a strong GARCH effect.However,the policy stripping of non-performing loans has no continuity.