货币政策冲击与房价波动:基于PVAR模型的量化分析
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摘要
文中运用PVAR模型从货币政策价格型效应和数量型效应两方面对房价的冲击反应进行了分析。首先通过面板个体固定效应模型分别对货币政策的价格型效应和数量型效应的显著性进行了检验,检验结果显示,货币政策与房地产价格存在显著的正相关关系。其后,文章构建了PVAR模型,并检验了其稳定性,根据脉冲响应图和方差分解,表明货币政策价格型效应冲击短期内对房价具有较大的正影响,而数量型效应冲击短期内对房价具有较大的负影响,但两者都具有一定的时滞性。
This paper uses PVAR model to analyze the impacts of price and quantitative effects of monetary policy on housing price fluctuation. The panel individual fixed effect model is used to test the significances of price and quantitative effects of the monetary policy. The results show that there is a significant positive correlation between the monetary policy and the housing price. After that, the PVAR model is constructed and its stability is tested. According to the impulse response map and the variance decomposition, in the short term, the price effect of monetary policy has a great positive impact on house price, while the quantitative effect of monetary policy has a great negative effect on house price.However, both of them have a certain time delay.
This paper uses PVAR model to analyze the impacts of price and quantitative effects of monetary policy on housing price fluctuation. The panel individual fixed effect model is used to test the significances of price and quantitative effects of the monetary policy. The results show that there is a significant positive correlation between the monetary policy and the housing price. After that, the PVAR model is constructed and its stability is tested. According to the impulse response map and the variance decomposition, in the short term, the price effect of monetary policy has a great positive impact on house price, while the quantitative effect of monetary policy has a great negative effect on house price.However, both of them have a certain time delay.
引文
[1]顾海峰,张元姣.货币政策与房地产价格调控:理论与中国经验[J].经济研究,2014(增1):41-42.
[2]谭政勋,王聪.房价波动、货币政策立场识别及其反应研究[J].经济研究,2015(1):70-71.
[3]Bernanke B,Gertler M.Should central bank respond to movements in asset prices?[J].The American Economic Review,2001,91(2):253-257.
[4]Benigno,Pierpaolo.Optimal Monetary Policy in a Currency Area[J].Journal of International Economics,2004(63):293-320.
[5]Eusepi S.,B.Hobijn and A.Tambalotti.CONDI:a Cost-of-nominal Distortions Index[J].Amercian Economic Journal:Macroeconomics,2011,3(3):53-91.
[6]Robert Barsky,Christopher L.House and Miles Kimball.Sticky Price Models and Durable Goods[J].American Economic Review,2007,97(3):984-998.
[7]Cecchetti S.,H.Genberg,J.Lipsky,and S.Wadhwani.Asset Prices and Central Bank Policy[R].Working Paper,Geneva Report on the World Economy,2000,No.1222.
[8]Borio.C.,and P.Lowe.Asset Prices,Financial and Monetary Stability:Exploring the Nexus[R].BIS Working Papers,2002,No.114.
[9]Bean C.Asset Prices,Financial Imbalances and Monetary Policy:Are Inflation Targets Enough?[R].BIS Working Paper,2003,No.140.
[10]Kau J B,Donald C K.The Theory of Housing and Interest Rates[J].Journal of Financial and Quantitative Analysis,1980,58(4):833-847.
[11]Deokho,Cho,Ma Seungryu.Dynamic Relationship between Housing Values and Internet Rates in the Korean Housing Market[J].Journal of Real Estate Finance and Economics,2006(32):169-184.
[12]廖湘岳,戴红菊.商业银行贷款与房地产价格的关系研究[J].上海经济研究,2007(11).
[13]C Goodhart,B Hofmann.House prices,money,credit,and the macroeconomy[J].Oxford Review of Economic Policy,2008,24(1):180-205.
[14]许小年.房价为何还会涨?[N].经济参考报,2010-04-02(2).
[15]Koivu T.Monetary Policy,Asset Prices and Consumption in China[J].Economic Systems,2012,36(2):307-325.
[16]Frederic S.Mishkin.Understanding Financial Crises:ADeveloping Country Perspective[J].Nber Working Papers,1996:29-62.
[17]侯成琪,龚六堂.货币政策应该对住房价格波动作出反应吗[J].金融研究,2014(10):18-30.
[18]余华义,黄燕芬.货币政策效果区域异质性、房价溢出效应与房价对通胀的跨区影响[J].金融研究,2015(2):111.
[19]龙少波,陈璋,胡国良.货币政策、房价波动对居民消费影响的路径研究[J].金融研究,2016(6):53-55.
[20]汪潘义,李长花,胡小文,徐龙斌.数量型还是价格型货币政策比较:基于利率市场化角度的分析[J].华东经济管理,2014,28(09):90-98.
[2]谭政勋,王聪.房价波动、货币政策立场识别及其反应研究[J].经济研究,2015(1):70-71.
[3]Bernanke B,Gertler M.Should central bank respond to movements in asset prices?[J].The American Economic Review,2001,91(2):253-257.
[4]Benigno,Pierpaolo.Optimal Monetary Policy in a Currency Area[J].Journal of International Economics,2004(63):293-320.
[5]Eusepi S.,B.Hobijn and A.Tambalotti.CONDI:a Cost-of-nominal Distortions Index[J].Amercian Economic Journal:Macroeconomics,2011,3(3):53-91.
[6]Robert Barsky,Christopher L.House and Miles Kimball.Sticky Price Models and Durable Goods[J].American Economic Review,2007,97(3):984-998.
[7]Cecchetti S.,H.Genberg,J.Lipsky,and S.Wadhwani.Asset Prices and Central Bank Policy[R].Working Paper,Geneva Report on the World Economy,2000,No.1222.
[8]Borio.C.,and P.Lowe.Asset Prices,Financial and Monetary Stability:Exploring the Nexus[R].BIS Working Papers,2002,No.114.
[9]Bean C.Asset Prices,Financial Imbalances and Monetary Policy:Are Inflation Targets Enough?[R].BIS Working Paper,2003,No.140.
[10]Kau J B,Donald C K.The Theory of Housing and Interest Rates[J].Journal of Financial and Quantitative Analysis,1980,58(4):833-847.
[11]Deokho,Cho,Ma Seungryu.Dynamic Relationship between Housing Values and Internet Rates in the Korean Housing Market[J].Journal of Real Estate Finance and Economics,2006(32):169-184.
[12]廖湘岳,戴红菊.商业银行贷款与房地产价格的关系研究[J].上海经济研究,2007(11).
[13]C Goodhart,B Hofmann.House prices,money,credit,and the macroeconomy[J].Oxford Review of Economic Policy,2008,24(1):180-205.
[14]许小年.房价为何还会涨?[N].经济参考报,2010-04-02(2).
[15]Koivu T.Monetary Policy,Asset Prices and Consumption in China[J].Economic Systems,2012,36(2):307-325.
[16]Frederic S.Mishkin.Understanding Financial Crises:ADeveloping Country Perspective[J].Nber Working Papers,1996:29-62.
[17]侯成琪,龚六堂.货币政策应该对住房价格波动作出反应吗[J].金融研究,2014(10):18-30.
[18]余华义,黄燕芬.货币政策效果区域异质性、房价溢出效应与房价对通胀的跨区影响[J].金融研究,2015(2):111.
[19]龙少波,陈璋,胡国良.货币政策、房价波动对居民消费影响的路径研究[J].金融研究,2016(6):53-55.
[20]汪潘义,李长花,胡小文,徐龙斌.数量型还是价格型货币政策比较:基于利率市场化角度的分析[J].华东经济管理,2014,28(09):90-98.