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72Vol.7No.220054JournalofShanghaiUniversityofFinanceandEconomicsApr.2005:F06115:A:100920150(2005)0220026207李健飞1,史晨昱2(11,200092;21,100089):10,,,,,,,:;;;Hilbersetal(2001),:,;;;;;,10,,,:110,,19937,;1998,,(1):2004209208:(1957-),,,;(1975-),,,,,,,,,,,,,/0(Davis,1993),,(propagation),(CollynsandSenhadji,2002),,,,,,,,(feedback),,(pervasiveincentives)(HerringandWachter,2002),,,;,,,,Hargraves(1993),,,,,,,,,(GDP),,,,,,(Dokko,1999),CollynsSenhadji(2001),DavisZhu(2004),,Gerlach(2004),,,,(2004),2720052,111998,1998120049(SICdata)(rcredit)GDP(rgdp)CPI,,,lspi21,ADF(AugmentedDickeyOFuller)1(lconfidentge)(lcomplete)1,,,,I(1)1ADFADFADFrcredit-01292205(N,2)-116242-21053758(N,2)-119602(5%)lspi-01535031(N,2)-116238-31030000(N,2)-216819rgdp-01764981(N,2)-116238-21581481(N,2)-119583(5%)lcomplete11281772(N,2)-116238-21773511(N,2)-216819lconfident01803401(N,2)-116238-21871748(N,2)-216819rate-11014399(C,2)-216417-21053307(N,1)-119574(5%):N;C5%5%,1%JohansenJohansen225%1%01481117301713182916835165r=0*01426505161279491514120104r[1*011680414104737431766165r[2*:*95%,95%,C0C0=ABc,A(3@1),B(3@1)B;ABcx,,328200523BA1100-01762415(0123583)(-3123288)GDP-31386332(1166854)01008790(0117421)(0105045)-11990170(0196157)-01656079(0173728)(-0188986)lspirgdp,1199017031386332,lspirgdp,76124%,,6516%,GDP0,018%31,Granger(1969),44FPlspircredit19153950104954rcreditlspi01676240170872rgdplspi31077780107084lspirgdp01005130199488rgdprcredit13136860100028rcreditrgdp11464850125739,GDP;,41,,,(1),/0,GDP/0,t/0:rcredit=-01734311-01925539rcredit(-1)+01154517lspi(-1)+01542094rgdp(-1)(-11535876)(71606509)(11510390)(11361592)+017063571012(rate-rate(-1))(11691022)R2=01836183t,2920052(2),t,:lspi=5111307-011152rcredit(-1)-012324[rate-rate(-1)]+01155218lconfident(-1)(319343)(-012176)(-012098)(01457506)-01067625lcomplete-11589866rgdp(-1)(-01507506)(-119419)R2=01417t,GDPGDP,,1998,,,/0(5)5199519961997199819992000200120022003()6787689319786413108271112997191657012819938175237021312977819()334418366618523317779216104081514464141824319622793172871416(%)49128531156615571197801088713911596129614:56(1996~2004),GDP(2)GDP,,,,,,,,,(3),,,,,,,,3020052:2GDP:3,,,,,:2090,20%~30%,(Jao,1994),,,,,,,,3120052:[1]Collyns,CharlesandSenhadji,Abdehak1Lendingboom,RealEstateBubbles,andTheAsianCrisis[J]1IMFworkingpaper,20021[2]Davis,PhilipandHaibinZhu1Banklendingandcommercialpropertycycles:somecross-countryevidence[Z]1BISWorkingPapers,No150,20041[3]Herring,RichardJ1andSusanWachter1BubblesinRealEstateMarkets,Zell/LurieRealEstateCenter[Z]1WorkingPaper,20021[4]Hilbers,P,QLeiandLZacho1Realestatemarketdevelopmentsandfinancialsectorsoundness[Z]1IMFWorkingPaper,20011[5]Jao,Y1C1MoneyandBanking,inTheEconomicSystemofHongKong[M]12nd1,ed1byH1C1Y1Ho(HongKong:AsianResearchServices),19941[6]StefanGerlachandWenshengPeng1BankLendingandPropertyPrices[M]1HKMAQuarterlyBulletin,20041[7]Tversky,AmosandDanielKahneman1Availability:AHeuristicforJudgingFrequencyandProbability[M]1NewYork:CambridgeUniversityPress,19821[8]Wheaton,W1Realestate/cycles0:somefundamentals[Z]1RealEstateEconomics,vol27,19991TheEmpiricalAnalysisofBankLendingandPropertyPriceVolatilityLIJianOfei1,SHIChenOyu2(11SchoolofEconomicsandManagement,TongjiUniversity,Shanghai200092,Chian;21SchoolofEconomics,PekingUniversity,Beijing100089,Chian)Abstract:Overthepastdecadetherehasbeengrowinglinkagebetweenpropertypricevolatilityandbankingcredit1RecentlyinChina,thecontinuousrisingofpropertypricecau2seswidelydebate1Meanwhile,thecoincidenceofcyclesinbankcreditandpropertypriceshavebeenpaidmoreattention1ThispaperexaminestherelationshipbetweenpropertypricefluctuationsandbanklendinginChinaandanalyzethepolicyimplication1Keywords:bank;banklending;realestate;propertyprice(:)3220052