数量型与价格型货币工具对房地产市场价格的影响机制研究
|
摘要
使用非线性边限(NARDL)模型探索数量型和价格型货币政策工具对房地产市场的影响.结果显示无论数量型货币政策和还是价格型货币政策都会对房地产价格产生非对称性效应.对于数量型货币政策来说,紧缩的货币政策和宽松的货币政策都会显著影响房地产价格.相对而言紧缩的货币政策对房地产市场的影响效果更明显.对于价格型货币政策来说,利率变动对房地产价格的影响在长端呈现非对称特征,而在短期则无此效应.降低利率水平能够推动房地产价格的提升,而提高利率无法有效地约束房地产价格的上涨.
We use the NARDL Model to analysis how monetary policy affects the real estate market in China,the results show that both quantitative and price monetary policy tools have asymmetric effect on house prices.For the quantitative monetary policy,the tighten and loose monetary policy can influence the price of house price,however,compared with the loose monetary policy,the tighten money policy could play a more obvious effect on house price.For the price monetary policy,the influence of interest rate has the asymmetric effect in the long term,but there does not exist the asymmetric effect in the short term.Decreasing rate can promote the prosperity of the real estate market,raising the rate could not prevent the increasing of house price.
We use the NARDL Model to analysis how monetary policy affects the real estate market in China,the results show that both quantitative and price monetary policy tools have asymmetric effect on house prices.For the quantitative monetary policy,the tighten and loose monetary policy can influence the price of house price,however,compared with the loose monetary policy,the tighten money policy could play a more obvious effect on house price.For the price monetary policy,the influence of interest rate has the asymmetric effect in the long term,but there does not exist the asymmetric effect in the short term.Decreasing rate can promote the prosperity of the real estate market,raising the rate could not prevent the increasing of house price.
引文
[1]VARGASSILVA C.The Effect of Monetary Policy on Housing:a Factor-augmented Vector Autoregression(FAVAR)Approach[J].Applied Economics Letters,2008,15(10):749-752.
[2]沈悦,周奎省,李善燊.基于FAVAR模型的货币政策的房价传导机制研究[J].当代经济科学,2011,33(3):50-58.
[3]GUPTA R,JURGILAS M,KABUNDI A,MILLER S M.Monetary Policy and Housing Sector Dynamics in a Large-scale Bayesian Vector Autoregressive Model[J].International Journal of Strategic Property Management,2012,16(1):1-20.
[4]王敏,时鹏,余劲.货币政策工具对房地产价格影响的动态研究[J].华中农业大学学报(社会科学版),2014,33(2):121-128.
[5]SIMO-KENGNE B D,BALCILAR M,REID M,AYE G C.Is The Relationship Between Monetary Policy And House Prices Asymmetric In South Africa?Evidence From A MarkovSwitching Vector Autoregressive Model[J].Economic Modelling,2013,32(2):161-171.
[6]涂红,徐春发,余子良.货币政策对房价影响的区域差异:来自多层混合效应模型的新证据[J].南开经济研究,2018(5):41-56.
[7]GIULIODORI M.Monetary Policy Shocks and the Role of House Prices Across European Countries[J],Scottish Journal of Political Economy,2005,52(4):519-543.
[8]陈晓川,陈兰荪.利率与住房价格关系的实证研究:2000-2014[J].数学的实践与认识,2018(1):1-9.
[9]SHI S,JOU J,TRIPE D.Can Interest Rates Rreally Control House Prices?Effectiveness and Implications for Macroprudential Policy[J].Journal of Banking &Finance,2014(10):15-28.
[10]孙斌艺,余倩妮.房价变动的利率和限购政策混合效应研究[J].华东师范大学学报(哲学社会科学版),2018(6):92-99.
[11]龙威,刘金全.货币政策对房地产价格影响机制的区域异质性特征检验[J].当代经济研究,2019(1):102-112.
[12]刘金全,张龙.中国数量型和价格型货币政策的价格时变效应——基于CPI与PPI“虚假背离”的分析[J].财经理论与实践,2018,39(6):22-28.
[13]SHIN Y,YU B.GREENWOOD-NIMMO,M.Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework[M].SSRN Electronic Journal,2014:281-314.
[2]沈悦,周奎省,李善燊.基于FAVAR模型的货币政策的房价传导机制研究[J].当代经济科学,2011,33(3):50-58.
[3]GUPTA R,JURGILAS M,KABUNDI A,MILLER S M.Monetary Policy and Housing Sector Dynamics in a Large-scale Bayesian Vector Autoregressive Model[J].International Journal of Strategic Property Management,2012,16(1):1-20.
[4]王敏,时鹏,余劲.货币政策工具对房地产价格影响的动态研究[J].华中农业大学学报(社会科学版),2014,33(2):121-128.
[5]SIMO-KENGNE B D,BALCILAR M,REID M,AYE G C.Is The Relationship Between Monetary Policy And House Prices Asymmetric In South Africa?Evidence From A MarkovSwitching Vector Autoregressive Model[J].Economic Modelling,2013,32(2):161-171.
[6]涂红,徐春发,余子良.货币政策对房价影响的区域差异:来自多层混合效应模型的新证据[J].南开经济研究,2018(5):41-56.
[7]GIULIODORI M.Monetary Policy Shocks and the Role of House Prices Across European Countries[J],Scottish Journal of Political Economy,2005,52(4):519-543.
[8]陈晓川,陈兰荪.利率与住房价格关系的实证研究:2000-2014[J].数学的实践与认识,2018(1):1-9.
[9]SHI S,JOU J,TRIPE D.Can Interest Rates Rreally Control House Prices?Effectiveness and Implications for Macroprudential Policy[J].Journal of Banking &Finance,2014(10):15-28.
[10]孙斌艺,余倩妮.房价变动的利率和限购政策混合效应研究[J].华东师范大学学报(哲学社会科学版),2018(6):92-99.
[11]龙威,刘金全.货币政策对房地产价格影响机制的区域异质性特征检验[J].当代经济研究,2019(1):102-112.
[12]刘金全,张龙.中国数量型和价格型货币政策的价格时变效应——基于CPI与PPI“虚假背离”的分析[J].财经理论与实践,2018,39(6):22-28.
[13]SHIN Y,YU B.GREENWOOD-NIMMO,M.Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework[M].SSRN Electronic Journal,2014:281-314.