我国货币政策的房地产价格传导效应研究
|
摘要
房地产业自1998年开始实行货币化改革以来进入持续繁荣发展状态,迅速成为新的经济增长点和消费热点。房地产业是现代经济社会的重要资产,虽然在带动经济增长方面做出了较大贡献,但房地产价格波动影响金融与经济稳定,也从微观、宏观两方面对社会和经济产生了较大的负面影响。因此,研究我国货币政策对房地产价格的调控效应具有重要意义。
本文结合理论、现状以及实证对货币政策调控房地产价格的效应进行研究。首先,理论部分对我国货币政策涵义及其主要工具进行介绍,分析了房地产价格的特征,就货币政策如何作用于房价,房价如何通过消费和投资影响实体经济以及房地产价格如何影响货币政策最终目标。然后对我国货币政策与房地产价格的现状走势、房价与实体经济的消费、投资还有房地产价格与货币政策最终目标运用相关数据进行梳理。最后采用2000年至2012年的高频月度数据对相关变量运用ADF检验、协整检验、格兰杰检验和AR检验,建立货币政策变量与房地产价格变量、房地产价格变量与实体经济变量、房地产价格变量与货币政策最终目标变量的VAR模型进行脉冲响应模型,对货币政策调控房地产价格的动态影响过程与效应进行相关测度与分析。
结果表明货币政策中的利率、货币供应量与汇率都对房地产价格有一定调节作用,其中货币供应量对房地产价格的冲击最为明显。房地产价格对实体经济的传导效果不太理想。其中房价上升带来的正的消费效应比较弱,相比之下,投资效应比较强。房地产价格与货币政策最终目标的实证关系中发现,房地产价格能够反映部分通货膨胀的信息,但指示作用仍不明显,房地产价格上涨并不一定会导致通货膨胀。房地产价格对经济增长的拉动作用也比较有限。整体来看,货币政策的房地产价格效应不是很显著,也就是我国货币政策通过房地产价格向实体经济的传导存在一定阻碍因素。最后本文根本相关结果结合现实提出对策建议。
Real estate industry start monetization reform since1998which enter into the state of booming development, it quickly became the new economic growth point and consumption hot spots. Real estate industry is an important asset for the modern economic society, while has made a great contribution in promoting economic growth, although has negative impact on financial and economic stability from two aspects between macro and micro, which have big affection. Monetary policy is one of important means in controling macro-economic regulation which includes interest rate, money supply and exchange rate will have far-reaching impact on the real estate market. So the study of monetary policy on controlling housing prices in China is of great significance.
This paper combine with the present situation, theoretical and empirical methods to study the effectiveness of monetary policy on real estate price regulation, from the viewpoint of interest rate, money supply and exchange rate to study monetary policy affect the dynamic process of the price of the house. First of all, the theoretical part introduces the meaning and the main monetary policy tool in China. This paper combined theory with reality, using high-frequency monthly data from2000to2012, the relevant variables then use ADF test, cointegration test, AR test, then t establish monetary policy variables and the real estate price change.
Results showed that the monetary policy of the interest rate, money supply and exchange rate on the real estate price has a role in regulating, which impact on housing prices in the money supply is most obvious. The consumption effect of rising property prices are weaker, in contrast, investment effect is stronger. Real estate prices and monetary policy final goal of empirical relationships found that prices can reflect the information of part of the inflation, but the indication is not obvious, prices will not necessarily lead to inflation. Prices on economic growth pull role is limited. Overall, prices of monetary policy effect is not very significant.
本文结合理论、现状以及实证对货币政策调控房地产价格的效应进行研究。首先,理论部分对我国货币政策涵义及其主要工具进行介绍,分析了房地产价格的特征,就货币政策如何作用于房价,房价如何通过消费和投资影响实体经济以及房地产价格如何影响货币政策最终目标。然后对我国货币政策与房地产价格的现状走势、房价与实体经济的消费、投资还有房地产价格与货币政策最终目标运用相关数据进行梳理。最后采用2000年至2012年的高频月度数据对相关变量运用ADF检验、协整检验、格兰杰检验和AR检验,建立货币政策变量与房地产价格变量、房地产价格变量与实体经济变量、房地产价格变量与货币政策最终目标变量的VAR模型进行脉冲响应模型,对货币政策调控房地产价格的动态影响过程与效应进行相关测度与分析。
结果表明货币政策中的利率、货币供应量与汇率都对房地产价格有一定调节作用,其中货币供应量对房地产价格的冲击最为明显。房地产价格对实体经济的传导效果不太理想。其中房价上升带来的正的消费效应比较弱,相比之下,投资效应比较强。房地产价格与货币政策最终目标的实证关系中发现,房地产价格能够反映部分通货膨胀的信息,但指示作用仍不明显,房地产价格上涨并不一定会导致通货膨胀。房地产价格对经济增长的拉动作用也比较有限。整体来看,货币政策的房地产价格效应不是很显著,也就是我国货币政策通过房地产价格向实体经济的传导存在一定阻碍因素。最后本文根本相关结果结合现实提出对策建议。
Real estate industry start monetization reform since1998which enter into the state of booming development, it quickly became the new economic growth point and consumption hot spots. Real estate industry is an important asset for the modern economic society, while has made a great contribution in promoting economic growth, although has negative impact on financial and economic stability from two aspects between macro and micro, which have big affection. Monetary policy is one of important means in controling macro-economic regulation which includes interest rate, money supply and exchange rate will have far-reaching impact on the real estate market. So the study of monetary policy on controlling housing prices in China is of great significance.
This paper combine with the present situation, theoretical and empirical methods to study the effectiveness of monetary policy on real estate price regulation, from the viewpoint of interest rate, money supply and exchange rate to study monetary policy affect the dynamic process of the price of the house. First of all, the theoretical part introduces the meaning and the main monetary policy tool in China. This paper combined theory with reality, using high-frequency monthly data from2000to2012, the relevant variables then use ADF test, cointegration test, AR test, then t establish monetary policy variables and the real estate price change.
Results showed that the monetary policy of the interest rate, money supply and exchange rate on the real estate price has a role in regulating, which impact on housing prices in the money supply is most obvious. The consumption effect of rising property prices are weaker, in contrast, investment effect is stronger. Real estate prices and monetary policy final goal of empirical relationships found that prices can reflect the information of part of the inflation, but the indication is not obvious, prices will not necessarily lead to inflation. Prices on economic growth pull role is limited. Overall, prices of monetary policy effect is not very significant.
引文
[1]Friedman, M. Atheory of The Consumption Functions [J]. Princeton:Princeton University Press.1957.
[2]Fridman,F. Money and Stock Market[J]. Journal of Political Econmy,1996(2):221-245.
[3]Herring, Richard and W, Susan. "Real Estate Booms and Perspective" The Wharton Financial Institutions Center, WP 1999,9-27.
[4]Goodhart, Charles and Hofmann, Boris, Financial Variables and the Conduct of Monetary Policy [J]. Sveriges Riksbank Working Paper No.112,2000,1-23
[5]Bryan,Michael F.Cecchetti,Stephen G. and O'Sullivan, Roisin, Asset Price in the Measurement of Inflation [J]. NBER Working Paper No.8700,2002,1-38.
[6]Haibin Zhu. "The Importance of Property Markets for Monetary Policy and Financial Stability", BIS Working Papers on "Real estate indicators and financial stability",2005,No.21.
[7]Cotter, J. and S. Stevenson. "Multivariate Modeling of Daily REIT Volatility" [J]. Journal of Real Estate Finance and Economics, Vol.2006,305-325.
[8]Miller, N. and L. Pen."Exploring Metropolitan Housing Price Volatility" [J]. Journal of Real Estate Finance and Economics, Vol.2006(33),5-18.
[9]Mishkin, F., "Housing and The Monetary Transmission Mechanism", paper presented at the Annual Economic Symposium organised by the Kansas City Fed in Jackson Hole2007,.
[10]Plazzi, Alberto, N., Torous, Walter and R.I., Valkanov,2007,"Expected Returns and the Expected Growth in Rents of Commercial Real Estate", Working Paper, UCLA.
[11]Shiller, R. J.,2007," Low Interest Rates and High Asset Prices:An Interpretation in Terms of Changing Popular Models", Cowles Foundation Discussion Paper, No.1632.
[12]Taylor, J.B.,2007, "Housing and Monetary Policy", panel intervention in the Annual Economic Symposium organized by the Kansas City Fed in Jackson Hole.
[13]王维安,贺聪.房地产价格与货币供求：经验事实和理论假说[J].财经研究2005(5)：17-27.
[14]郑岚.基于VAR模型的房地产市场货币政策传导效应研究[D].湖南大学.2006(4)
[15]王来福,郭峰.货币政策对房地产价格的动态影响研究—基于VAR模型的实证研究[J].财经问题研究.2007(11)：16-20.
[16]梁云芳,高铁梅.中国房地产价格波动区域差异的实证分析[J].经济研究2007(8)：133-140
[17]宋勃,高波.国际资本流动对房地产价格的影响—基于我国的实证检验(1998—2006年)[J].财经问题研究.2007(3)：55-61.
[18]刘莉亚.境外“热钱”是否推动了房市、房市的上涨?[J].金融研究2008(10)48-70.
[19]胡莹,潘耀明,仲伟周.房地产价格传导货币政策效果的实证研究[J].货币政策研.2008(11)：50-53.
[20]魏玮.货币政策对房地产市场冲击效力的动态测度[J].当代财经.2008(8)：55-59.
[21]张家平房地产价格与汇率变动相关关系的实证研究[J].房地经济将.2008(10)：35-37.
[22]王擎,韩鑫韬.货币政策能盯住资产价格吗?—来自中国房地产市场的证据[J].金融研究.2009(8)：114-123.
[23]杨兆廷,庞如超.从紧的货币政策对房地产行业投资的影响分析—基于存款准备金率、利率的调控分析[J].上海金融学院学报.2009(1)：49-54.
[24]戴国强张建华.货币政策的房地产价格传导机制研究[J].财贸经济2009(12)：31-47.
[25]胡绘明.货币政策对房地产价格的影响[D].厦门大学.2009(4).
[26]魏玮,王洪卫.房地产价格对货币政策动态响应的区域异质性—基于省际面板数据的实证分析[J].财经研究.2010(6)：123-131.
[27]黄瑜,货币政策对房地产市场供求影响的动态测度—基于状态空间模型的实证[J].经济管理.2010(11)：16-20.
[28]黄飞雪,王云.基于SVAR的中国货币政策的房地产价格传导机制[J].当代经济科学.2010(5)：26-34.
[29]胡浩志.货币政策传导机制中的作用—基于SVAR模型的经验研究[J].宏观经济研究.2010(12)：69-73.
[30]王刚.货币政策调控对房地产市场的影响研究[D].西南财经大学.2010(4)
[31]张耀录.我国货币政策对房地产价格的动态影响研究[D].南京财经大学.2010(5).
[32]冯科.中国房地产市场在货币政策传导机制中的作用研究[J].经济学动态.2011(4)：42-48.
[33]梁斌,李庆云.中国房地产价格波动与货币政策分析—基于贝叶斯估计的动态随机一般均衡模型[J].经济科学.2011(3)：17-31.
[34]袁晓青.货币政策对房地产价格调控的有效性研究[D].华东师范大学.2011(4)
[35]李世美.房地产价格的货币政策传导效应研究[D].中南大学.2011(12)
[36]段忠东.房地产价格与货币政策—理论与实证研究[M]北京：中国社会科学出版社.2011.
[37]王瑾.货币政策的房地产价格传导机制研究—基于VAR模型的实证研究[J].理论研究.2012(9)：31-34
[38]赖一飞,周雅,龙倩倩.货币政策调控房地产市场[J].武汉大学学报.2012(2)：87-89
[39]张丹.我国货币政策通过房地产价格传导的效应研究[D].山东大学.2012(4)
[2]Fridman,F. Money and Stock Market[J]. Journal of Political Econmy,1996(2):221-245.
[3]Herring, Richard and W, Susan. "Real Estate Booms and Perspective" The Wharton Financial Institutions Center, WP 1999,9-27.
[4]Goodhart, Charles and Hofmann, Boris, Financial Variables and the Conduct of Monetary Policy [J]. Sveriges Riksbank Working Paper No.112,2000,1-23
[5]Bryan,Michael F.Cecchetti,Stephen G. and O'Sullivan, Roisin, Asset Price in the Measurement of Inflation [J]. NBER Working Paper No.8700,2002,1-38.
[6]Haibin Zhu. "The Importance of Property Markets for Monetary Policy and Financial Stability", BIS Working Papers on "Real estate indicators and financial stability",2005,No.21.
[7]Cotter, J. and S. Stevenson. "Multivariate Modeling of Daily REIT Volatility" [J]. Journal of Real Estate Finance and Economics, Vol.2006,305-325.
[8]Miller, N. and L. Pen."Exploring Metropolitan Housing Price Volatility" [J]. Journal of Real Estate Finance and Economics, Vol.2006(33),5-18.
[9]Mishkin, F., "Housing and The Monetary Transmission Mechanism", paper presented at the Annual Economic Symposium organised by the Kansas City Fed in Jackson Hole2007,.
[10]Plazzi, Alberto, N., Torous, Walter and R.I., Valkanov,2007,"Expected Returns and the Expected Growth in Rents of Commercial Real Estate", Working Paper, UCLA.
[11]Shiller, R. J.,2007," Low Interest Rates and High Asset Prices:An Interpretation in Terms of Changing Popular Models", Cowles Foundation Discussion Paper, No.1632.
[12]Taylor, J.B.,2007, "Housing and Monetary Policy", panel intervention in the Annual Economic Symposium organized by the Kansas City Fed in Jackson Hole.
[13]王维安,贺聪.房地产价格与货币供求：经验事实和理论假说[J].财经研究2005(5)：17-27.
[14]郑岚.基于VAR模型的房地产市场货币政策传导效应研究[D].湖南大学.2006(4)
[15]王来福,郭峰.货币政策对房地产价格的动态影响研究—基于VAR模型的实证研究[J].财经问题研究.2007(11)：16-20.
[16]梁云芳,高铁梅.中国房地产价格波动区域差异的实证分析[J].经济研究2007(8)：133-140
[17]宋勃,高波.国际资本流动对房地产价格的影响—基于我国的实证检验(1998—2006年)[J].财经问题研究.2007(3)：55-61.
[18]刘莉亚.境外“热钱”是否推动了房市、房市的上涨?[J].金融研究2008(10)48-70.
[19]胡莹,潘耀明,仲伟周.房地产价格传导货币政策效果的实证研究[J].货币政策研.2008(11)：50-53.
[20]魏玮.货币政策对房地产市场冲击效力的动态测度[J].当代财经.2008(8)：55-59.
[21]张家平房地产价格与汇率变动相关关系的实证研究[J].房地经济将.2008(10)：35-37.
[22]王擎,韩鑫韬.货币政策能盯住资产价格吗?—来自中国房地产市场的证据[J].金融研究.2009(8)：114-123.
[23]杨兆廷,庞如超.从紧的货币政策对房地产行业投资的影响分析—基于存款准备金率、利率的调控分析[J].上海金融学院学报.2009(1)：49-54.
[24]戴国强张建华.货币政策的房地产价格传导机制研究[J].财贸经济2009(12)：31-47.
[25]胡绘明.货币政策对房地产价格的影响[D].厦门大学.2009(4).
[26]魏玮,王洪卫.房地产价格对货币政策动态响应的区域异质性—基于省际面板数据的实证分析[J].财经研究.2010(6)：123-131.
[27]黄瑜,货币政策对房地产市场供求影响的动态测度—基于状态空间模型的实证[J].经济管理.2010(11)：16-20.
[28]黄飞雪,王云.基于SVAR的中国货币政策的房地产价格传导机制[J].当代经济科学.2010(5)：26-34.
[29]胡浩志.货币政策传导机制中的作用—基于SVAR模型的经验研究[J].宏观经济研究.2010(12)：69-73.
[30]王刚.货币政策调控对房地产市场的影响研究[D].西南财经大学.2010(4)
[31]张耀录.我国货币政策对房地产价格的动态影响研究[D].南京财经大学.2010(5).
[32]冯科.中国房地产市场在货币政策传导机制中的作用研究[J].经济学动态.2011(4)：42-48.
[33]梁斌,李庆云.中国房地产价格波动与货币政策分析—基于贝叶斯估计的动态随机一般均衡模型[J].经济科学.2011(3)：17-31.
[34]袁晓青.货币政策对房地产价格调控的有效性研究[D].华东师范大学.2011(4)
[35]李世美.房地产价格的货币政策传导效应研究[D].中南大学.2011(12)
[36]段忠东.房地产价格与货币政策—理论与实证研究[M]北京：中国社会科学出版社.2011.
[37]王瑾.货币政策的房地产价格传导机制研究—基于VAR模型的实证研究[J].理论研究.2012(9)：31-34
[38]赖一飞,周雅,龙倩倩.货币政策调控房地产市场[J].武汉大学学报.2012(2)：87-89
[39]张丹.我国货币政策通过房地产价格传导的效应研究[D].山东大学.2012(4)