房地产价格变动对通货膨胀预期的影响研究
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摘要
从1998年我国住房改革以来,房地产市场得到迅猛发展。房地产市场规模不断扩大,房地产价格也稳步上升,房地产产业已经成长为我国的重要产业。在房价以及股价等资产价格的带动下,近几年我国的物价总水平也开始逐渐上升,到2009年年尾我国房地产价格和物价指数还继续在双提升。同时随着资本市场的不断膨胀,房地产作为一种商品也开始具有实物资产和金融资产的双重属性。那么怎样在消费物价水平稳定的基础上合理健康地发展房地产市场,如何利用房地产价格中所包含的经济信息来比较准确的预测未来通货膨胀趋势,在通过这种适度的提前预测来有效提高我国货币政策执行的正确性和及时性,从而实现金融稳定和经济增长的远期目标?这个问题对于我国学者和政府来说都具有很好的理论和现实意义。
本文在借鉴国内外研究成果的基础上,对这一问题进行了理论探索和实证分析。本文首先介绍了房地产市场相关概念和我国房地产的发展情况。再次介绍通货膨胀预期的相关理论和我国通货膨胀情况,并分析通货膨胀预期和实际通货膨胀的关系。然后从理论上分析了房地产价格波动对通货膨胀预期的影响机制。在实证检验中运用计量经济学中的相关系数分析、平稳性检验、VEC模型中的协整分析、长短期格兰杰因果检验等方法对我国的数据进行了实证检验；从实证结果分析来看：在样本区间内我国房地产价格与通货膨胀预期和通货膨胀之间存在长期协整关系,而且它们之间是正向的协整关系。房地产价格和货币供应量、信贷总量、以及国民生产总值之间也存在正向的协整关系。另外可以看出房地产价格和利率呈负向的协整关系。格兰杰因果检也表明房地产价格与通货膨胀、通货膨胀预期的互为长期的格兰杰原因。
最后本文从建立包含房地产价格的CPI指数、合理引导公众通货膨胀预期、完善房地产市场体系和货币市场利率体系合理引导房价等几个方面向我国中央银行提出了政策建议。
Since 1998 chinese housing reform, the real estate market has been developing rapidly. the scale of the real estate market got continuous expandationg, real estate prices have increased steadily, the real estate industry has grown to an important industry in China. With the impact of house prices and stock prices and other asset prices, the general level of prices in China began to rise, To the second half of 2009 the house prices and prices index are still rise, at the same time,the capital market continuously expandding eventuallycause the real estate maket have the double Property of Physical assets and faniancial assets of Commodity. So, how to healthy development on the basis of reasonable real estate market in the stable consumer price level; how to use real estate prices which contain information to accuratly predict future inflation trends, then correctly and timely improving Monetary policy implementation through this modest prediction in advance, thereby achieving long-term financial stability and economic growth target? This question have a good theoretical and practical significance for Chinese scholars and government
This paper study real estate price impaction to Inflation expectations in theoretical and empirical on the basis of research at home and abroad, first introduced the theory of our real estate-related and state of real estate development.second, I introduced the theory of inflation expectations and the situation of inflation in China, then analyzed Relationship between the actual inflation expectations and inflation expectations. We also theoretically analyzed mechanismof real estate price volatility impactiong on the expected inflation, In the empirical test we use econometric analysis of correlation coefficients, stability test, VEC model cointegration, long and short term methods such as Granger causality to study our question through chinese data. From the empirical results we concluded that:the real estate prices and inflation expectations and inflation exist long term Cointegration relationship in the sample interval, Furthermore cointegration relationship is positive. Real estate prices with money supply, credit volume, and gross national product also have positive cointegration relationship. In addition we can see that real estate prices and interest rates were negative in the cointegration relationship. Granger test also shows that real estate prices and inflation exist long term two-way Granger causality
Finally, we put aforward policy to the People's Bank of China from the aspect of the establishment of the CPI index includes real estate prices, a reasonable guide public inflation expectations, improving real estate market system and money market interest rate system, a reasonable guide to the price and so on.
本文在借鉴国内外研究成果的基础上,对这一问题进行了理论探索和实证分析。本文首先介绍了房地产市场相关概念和我国房地产的发展情况。再次介绍通货膨胀预期的相关理论和我国通货膨胀情况,并分析通货膨胀预期和实际通货膨胀的关系。然后从理论上分析了房地产价格波动对通货膨胀预期的影响机制。在实证检验中运用计量经济学中的相关系数分析、平稳性检验、VEC模型中的协整分析、长短期格兰杰因果检验等方法对我国的数据进行了实证检验；从实证结果分析来看：在样本区间内我国房地产价格与通货膨胀预期和通货膨胀之间存在长期协整关系,而且它们之间是正向的协整关系。房地产价格和货币供应量、信贷总量、以及国民生产总值之间也存在正向的协整关系。另外可以看出房地产价格和利率呈负向的协整关系。格兰杰因果检也表明房地产价格与通货膨胀、通货膨胀预期的互为长期的格兰杰原因。
最后本文从建立包含房地产价格的CPI指数、合理引导公众通货膨胀预期、完善房地产市场体系和货币市场利率体系合理引导房价等几个方面向我国中央银行提出了政策建议。
Since 1998 chinese housing reform, the real estate market has been developing rapidly. the scale of the real estate market got continuous expandationg, real estate prices have increased steadily, the real estate industry has grown to an important industry in China. With the impact of house prices and stock prices and other asset prices, the general level of prices in China began to rise, To the second half of 2009 the house prices and prices index are still rise, at the same time,the capital market continuously expandding eventuallycause the real estate maket have the double Property of Physical assets and faniancial assets of Commodity. So, how to healthy development on the basis of reasonable real estate market in the stable consumer price level; how to use real estate prices which contain information to accuratly predict future inflation trends, then correctly and timely improving Monetary policy implementation through this modest prediction in advance, thereby achieving long-term financial stability and economic growth target? This question have a good theoretical and practical significance for Chinese scholars and government
This paper study real estate price impaction to Inflation expectations in theoretical and empirical on the basis of research at home and abroad, first introduced the theory of our real estate-related and state of real estate development.second, I introduced the theory of inflation expectations and the situation of inflation in China, then analyzed Relationship between the actual inflation expectations and inflation expectations. We also theoretically analyzed mechanismof real estate price volatility impactiong on the expected inflation, In the empirical test we use econometric analysis of correlation coefficients, stability test, VEC model cointegration, long and short term methods such as Granger causality to study our question through chinese data. From the empirical results we concluded that:the real estate prices and inflation expectations and inflation exist long term Cointegration relationship in the sample interval, Furthermore cointegration relationship is positive. Real estate prices with money supply, credit volume, and gross national product also have positive cointegration relationship. In addition we can see that real estate prices and interest rates were negative in the cointegration relationship. Granger test also shows that real estate prices and inflation exist long term two-way Granger causality
Finally, we put aforward policy to the People's Bank of China from the aspect of the establishment of the CPI index includes real estate prices, a reasonable guide public inflation expectations, improving real estate market system and money market interest rate system, a reasonable guide to the price and so on.
引文
[1]周小川.中国货币政策与全球化赛跑.国际金融报,2007,(12)：11
[2]Fisher, "The Debt-deflation Theory of Great Depressions"[J] Econometrics, 1933,1(10):337-357
[3]Friedman, Milton. "A Theory of the Consumption Function"[M].Princeton NJ: Princeton University Press.,1957
[4]F Modigliani "Utility analysis and the consumption function" [M]. Kurihara, New Brunswick:Rutgers university press Modigliani,1963
[5]Alchian; A Klein,B. On a Correct Measure of Inflation [J] Journal of Money, 1973,(1):173-191
[6]Smets, F. Financial Asset Prices and Monetary Policy:Theory and Evidence, CEPR Discussion Paper,1997,1751
[7]Kent, Christopher, Philip lowe. Asset-Price Bubbles and Monitory Policy. [R]. Reserve Bank of Australia. Research Discussion Paper,1997
[8]Stock, J. H.Watson, M. W" Forcasting Output and Inflation:The Role of Asset Prices"[R]. NBER Working,2001,81880
[9]Cecchetti, S.G, Genberg, H.&Wadhwani, S." Asset Prices in a Flexible Inflation Targeting Framework"[R] NBER,8970,2002,8970
[10]Shiratsuka. Dynamic Equilibrium Price Index:Asset Price and Inflation[J], 1999
[11]Goodhart and Hofmann.,Financial Variables and the Conduct of Monetary Policy[J]. Sveriges Riks bank,2000, (11)
[12]Gilchrist, s. Leahy, J.V, "Monetary Policy and Asset Prices"[J]. Joumalof Monetary Economics,2002,49(1):75-97
[13]Coodhart, Charles and Boris Hofmann, Do Asset Prices Help to Predict Consumer Price Inflation? [R]. The Manchester School Supplement,2000
[14]Tkacz. wilkins "Inflation and Rates of Return on Common Stocks[J]. Journal of Finance,31(2):471-483
[15]H.Theil. On the Time Shape of Economic Micro variables and the Munich Business Test[J].1 Revue de LpInstitut International de Statistiques,1952, 20(2):105-120
[16]Carlson, J1 A1 & J1M1 Parkin. Inflation Expectations[J]1 Economica,1975, (42):123-1381
[17].M.Berk. Measuring Inflation Expectations:a Survey Data Approach[J].1 Applied Economics,1999,3(11):1467-1480
[18]钱小安.“资产价格变化对货币政策的影响”.经济研究,1998,(1)：39
[19]瞿强.“资产价格与货币政策”.经济研究,2001,(7)：28
[20]王子明.泡沫与泡沫经济.[M]：北京大学出版社,2002,121-150
[21]成家军.资产价格与货币政策[M].北京社会科学文献出版社,2004,(12)
[22]王玉宝.金融形势指数(FCI)的中国实证.上海金融,2005,(8)：29-32
[23]中国人民银行房地产金融分析小组.2004中国房地产金融报告[R].中国金融(www.zgjrw.com),2005-8-16
[24]汪恒.资产价格对核心通货膨胀指数的修正[CJ].数量经济技术经济研究,2007,(2)
[25]封北麟,王贵民.金融状况指数FCI与货币政策反应函数经验研究.财经研究,2006,(12)：142-150
[26]张红,章辉赞.通货膨胀与商品住宅价格关系的实证分析。清华大学学报(自然科学版)2008,48(3)
[27]杨灿.关于资产价格与通货膨胀若干问题的研究厦门大学学报2009,(5)
[28]张红.房地产经济学(M).北京：清华大学出版社,2005.8：6,15
[29]G Mankiw. D·Romer, Asymmetric Price Adjustment in the Small, New Keynesian Economics,1991, (1)
[30]Cagan, Phillip. Determinants and Effects of Changes in the Stock of Money, 1875-1960. New York:Columbia University Press,1965
[31]Muth, John F. Rational Expectations and the Theory of Price Movements. Econometrical,1961,29(3):315-335
[32]Lucas, R. Expectations and the neutrality of money. Studies in Business Cycle Theory, Basil Blackwell,1972. reprinted in Lucas,1981
[33]Barro, R.J. Unanticipated Money Growth and Unemployment in the United States:Reply. American Economic Review,1979,69(5)
[34]陈学彬.宏观金融博弈分析.上海：上海财经大学出版社,1998
[35]Kozichi, Sharon, and Peter A. Tinsley. Survey-Based Estimates of the Term Structure of Expected U.S. Inflationk. Bank of Canada Workong Paper 2006,46
[36]Gurkaynak, Refet s..Andrew T. Levin,Eric T. Swason. Does Inflation Targeting Anchor Long-Run Inflation expectations? Evidence from Long-Term Bond Yields in the US, UK, and Sweden. CEPR Working,2006, 5806
[37]Svensson, L. E. What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules. Journal of Economic Literature 2003,41:426-477
[38]C.A.Sims Macroecomomics and Realidy,Ecomometrica,1980,48:148
[39]高铁梅.计量经济分析方法与建模——Eviews应用及实例.北京：清华大学出版社,2008,249-276
[40]牛凤瑞,李景国.中国房地产发展报告NO.5.北京：社会科学文献出版社,2008，2-10
[41]许光建.我国近期通货膨胀的特点、成因和治理.中国国情国力,2008,(5)：26-32
[2]Fisher, "The Debt-deflation Theory of Great Depressions"[J] Econometrics, 1933,1(10):337-357
[3]Friedman, Milton. "A Theory of the Consumption Function"[M].Princeton NJ: Princeton University Press.,1957
[4]F Modigliani "Utility analysis and the consumption function" [M]. Kurihara, New Brunswick:Rutgers university press Modigliani,1963
[5]Alchian; A Klein,B. On a Correct Measure of Inflation [J] Journal of Money, 1973,(1):173-191
[6]Smets, F. Financial Asset Prices and Monetary Policy:Theory and Evidence, CEPR Discussion Paper,1997,1751
[7]Kent, Christopher, Philip lowe. Asset-Price Bubbles and Monitory Policy. [R]. Reserve Bank of Australia. Research Discussion Paper,1997
[8]Stock, J. H.Watson, M. W" Forcasting Output and Inflation:The Role of Asset Prices"[R]. NBER Working,2001,81880
[9]Cecchetti, S.G, Genberg, H.&Wadhwani, S." Asset Prices in a Flexible Inflation Targeting Framework"[R] NBER,8970,2002,8970
[10]Shiratsuka. Dynamic Equilibrium Price Index:Asset Price and Inflation[J], 1999
[11]Goodhart and Hofmann.,Financial Variables and the Conduct of Monetary Policy[J]. Sveriges Riks bank,2000, (11)
[12]Gilchrist, s. Leahy, J.V, "Monetary Policy and Asset Prices"[J]. Joumalof Monetary Economics,2002,49(1):75-97
[13]Coodhart, Charles and Boris Hofmann, Do Asset Prices Help to Predict Consumer Price Inflation? [R]. The Manchester School Supplement,2000
[14]Tkacz. wilkins "Inflation and Rates of Return on Common Stocks[J]. Journal of Finance,31(2):471-483
[15]H.Theil. On the Time Shape of Economic Micro variables and the Munich Business Test[J].1 Revue de LpInstitut International de Statistiques,1952, 20(2):105-120
[16]Carlson, J1 A1 & J1M1 Parkin. Inflation Expectations[J]1 Economica,1975, (42):123-1381
[17].M.Berk. Measuring Inflation Expectations:a Survey Data Approach[J].1 Applied Economics,1999,3(11):1467-1480
[18]钱小安.“资产价格变化对货币政策的影响”.经济研究,1998,(1)：39
[19]瞿强.“资产价格与货币政策”.经济研究,2001,(7)：28
[20]王子明.泡沫与泡沫经济.[M]：北京大学出版社,2002,121-150
[21]成家军.资产价格与货币政策[M].北京社会科学文献出版社,2004,(12)
[22]王玉宝.金融形势指数(FCI)的中国实证.上海金融,2005,(8)：29-32
[23]中国人民银行房地产金融分析小组.2004中国房地产金融报告[R].中国金融(www.zgjrw.com),2005-8-16
[24]汪恒.资产价格对核心通货膨胀指数的修正[CJ].数量经济技术经济研究,2007,(2)
[25]封北麟,王贵民.金融状况指数FCI与货币政策反应函数经验研究.财经研究,2006,(12)：142-150
[26]张红,章辉赞.通货膨胀与商品住宅价格关系的实证分析。清华大学学报(自然科学版)2008,48(3)
[27]杨灿.关于资产价格与通货膨胀若干问题的研究厦门大学学报2009,(5)
[28]张红.房地产经济学(M).北京：清华大学出版社,2005.8：6,15
[29]G Mankiw. D·Romer, Asymmetric Price Adjustment in the Small, New Keynesian Economics,1991, (1)
[30]Cagan, Phillip. Determinants and Effects of Changes in the Stock of Money, 1875-1960. New York:Columbia University Press,1965
[31]Muth, John F. Rational Expectations and the Theory of Price Movements. Econometrical,1961,29(3):315-335
[32]Lucas, R. Expectations and the neutrality of money. Studies in Business Cycle Theory, Basil Blackwell,1972. reprinted in Lucas,1981
[33]Barro, R.J. Unanticipated Money Growth and Unemployment in the United States:Reply. American Economic Review,1979,69(5)
[34]陈学彬.宏观金融博弈分析.上海：上海财经大学出版社,1998
[35]Kozichi, Sharon, and Peter A. Tinsley. Survey-Based Estimates of the Term Structure of Expected U.S. Inflationk. Bank of Canada Workong Paper 2006,46
[36]Gurkaynak, Refet s..Andrew T. Levin,Eric T. Swason. Does Inflation Targeting Anchor Long-Run Inflation expectations? Evidence from Long-Term Bond Yields in the US, UK, and Sweden. CEPR Working,2006, 5806
[37]Svensson, L. E. What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules. Journal of Economic Literature 2003,41:426-477
[38]C.A.Sims Macroecomomics and Realidy,Ecomometrica,1980,48:148
[39]高铁梅.计量经济分析方法与建模——Eviews应用及实例.北京：清华大学出版社,2008,249-276
[40]牛凤瑞,李景国.中国房地产发展报告NO.5.北京：社会科学文献出版社,2008，2-10
[41]许光建.我国近期通货膨胀的特点、成因和治理.中国国情国力,2008,(5)：26-32