我国房地产价格与通货膨胀的关系研究
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摘要
我国从1998年开始在制度上建立市场化住房体制,并提出了要把房地产业培育成为国民经济的支柱产业。自此房地产业开始进入快速发展时期,与之相伴,房价也呈现出一路飙升的势头。同时,随着资本市场的不断膨胀,房地产也已不再仅仅是消费品,更成了重要的投资品。
文章从分析房地产与通货膨胀的相关关系入手,研究了房地产行业对国民经济的带动效用、房地产作为一种资产自身的保值功能,同时通过详尽考察房地产价格波动对企业投资、消费以及货币供求的影响,揭示房地产价格波动影响通货膨胀的机制和渠道。这部分的分析为实证研究奠定了理论基础。
进一步,论文对改革开放后我国房地产市场化的发展历程进行了回顾,对这段时期国内出现的几次通货膨胀及其表现、成因、治理进行了一一分析,并简单阐述了我国现阶段的物价状况。
本文要解决的问题就是弄清房地产价格中是否包含通货膨胀变化的信息,房价波动与通货膨胀变化具有怎样的关系,进而为货币当局积极应对房地产价格波动、资产价格波动提出合理化建议。因此,通过选取1998年至2007年间中国的相关数据,运用向量自回归和向量误差修正模型进行研究,最后证明,中国房地产价格波动在短期内对通货膨胀的影响十分有限,在长期则对通货膨胀具有较为显著的影响,而且,在房价与通货膨胀之间存在着正反馈作用机制。这意味着在一个平稳的宏观经济环境中,这种正反馈可能会引发经济过热和房价泡沫。
论文一方面吸收了国内外学者研究中的有益成果,另一方面,也有自己的独到之处。在实证分析中,首先通过逐步回归法来确定关系显著的变量,而不是简单地将所有相关变量放入模型中;同时在利用向量自回归模型和误差修正模型研究房价与通货膨胀关系时,将其放在了更大的背景下,这样的做法提高了实证分析的有效性。
Housing system reform has begun institutional since 1998 in China, and real estate was aimed to be the mainstay industry of national economy. From then on, real estate is in a rapid growth stage while the housing price is sky-rocketing accordingly. At the same time, real estate is not only consumer goods, but also important investment item with the ever-expanding of the capital market.
On one hand, with the analysis of correlation between real estate and inflation, this paper studies the driving effects of real estate on national economy and the hedging function of real estate. On the other hand, it brings to light the mechanism and channel that how the fluctuation of housing prices works on inflation through investigating the impacts of fluctuation of housing prices on the investors, the consumers and the financial institutes. Then we got the theoretical basic of the empirical research.
Furthermore, the paper reviews the development of real estate market in China from 1978 when the policy of reform and opening started, and analyzes the performances, the reasons and the measures of the inflations during these stages. It gives a simple description about the present price level in China.
The aim of the paper is to clarify whether we can get the information of inflation change from housing price and what is the relationship between fluctuation of housing price and inflation change? Thus we could propose reasonable suggestions to the monetary department so that they can take active measures accordingly. The author makes use of the relative data of China from 1998 to 2007, and carries on vector autoregressive model and vector error correction model in the empirical analysis. It finally proves that the effect of housing price on inflation is very limited in short term, but significant in the long run. And a positive feedback mechanism exits between housing prices and inflation which means that such mechanism would make economy-overheating and housing price-foam in a stable macro-economy environment.
Although this paper assimilates home and abroad scholars' achievements, it also has some innovation. In the process of empirical analysis, the paper firstly used the stepwise regression method to choose the remarkable variables, and then put the research of the correlation between the housing prices fluctuation and the inflation under a large background which makes the empirical analysis workable.
文章从分析房地产与通货膨胀的相关关系入手,研究了房地产行业对国民经济的带动效用、房地产作为一种资产自身的保值功能,同时通过详尽考察房地产价格波动对企业投资、消费以及货币供求的影响,揭示房地产价格波动影响通货膨胀的机制和渠道。这部分的分析为实证研究奠定了理论基础。
进一步,论文对改革开放后我国房地产市场化的发展历程进行了回顾,对这段时期国内出现的几次通货膨胀及其表现、成因、治理进行了一一分析,并简单阐述了我国现阶段的物价状况。
本文要解决的问题就是弄清房地产价格中是否包含通货膨胀变化的信息,房价波动与通货膨胀变化具有怎样的关系,进而为货币当局积极应对房地产价格波动、资产价格波动提出合理化建议。因此,通过选取1998年至2007年间中国的相关数据,运用向量自回归和向量误差修正模型进行研究,最后证明,中国房地产价格波动在短期内对通货膨胀的影响十分有限,在长期则对通货膨胀具有较为显著的影响,而且,在房价与通货膨胀之间存在着正反馈作用机制。这意味着在一个平稳的宏观经济环境中,这种正反馈可能会引发经济过热和房价泡沫。
论文一方面吸收了国内外学者研究中的有益成果,另一方面,也有自己的独到之处。在实证分析中,首先通过逐步回归法来确定关系显著的变量,而不是简单地将所有相关变量放入模型中;同时在利用向量自回归模型和误差修正模型研究房价与通货膨胀关系时,将其放在了更大的背景下,这样的做法提高了实证分析的有效性。
Housing system reform has begun institutional since 1998 in China, and real estate was aimed to be the mainstay industry of national economy. From then on, real estate is in a rapid growth stage while the housing price is sky-rocketing accordingly. At the same time, real estate is not only consumer goods, but also important investment item with the ever-expanding of the capital market.
On one hand, with the analysis of correlation between real estate and inflation, this paper studies the driving effects of real estate on national economy and the hedging function of real estate. On the other hand, it brings to light the mechanism and channel that how the fluctuation of housing prices works on inflation through investigating the impacts of fluctuation of housing prices on the investors, the consumers and the financial institutes. Then we got the theoretical basic of the empirical research.
Furthermore, the paper reviews the development of real estate market in China from 1978 when the policy of reform and opening started, and analyzes the performances, the reasons and the measures of the inflations during these stages. It gives a simple description about the present price level in China.
The aim of the paper is to clarify whether we can get the information of inflation change from housing price and what is the relationship between fluctuation of housing price and inflation change? Thus we could propose reasonable suggestions to the monetary department so that they can take active measures accordingly. The author makes use of the relative data of China from 1998 to 2007, and carries on vector autoregressive model and vector error correction model in the empirical analysis. It finally proves that the effect of housing price on inflation is very limited in short term, but significant in the long run. And a positive feedback mechanism exits between housing prices and inflation which means that such mechanism would make economy-overheating and housing price-foam in a stable macro-economy environment.
Although this paper assimilates home and abroad scholars' achievements, it also has some innovation. In the process of empirical analysis, the paper firstly used the stepwise regression method to choose the remarkable variables, and then put the research of the correlation between the housing prices fluctuation and the inflation under a large background which makes the empirical analysis workable.
引文
[1]本公式参考张伟,李汉文.住房市场动态变化分析[J].财贸经济,2006,(5).
[1]这部分的分析框架和研究方法是参考洪涛.房地产价格波动与消费增长[J].南京社会科学,2006,(5).
[1]Alchian.A.,Klein.B.On a Correct Measure of Inflation[J].Journal of Money,1973,Vol.5,(1):173-181.
[2]Shibuya,H.Dynamic Equilibrium Price Index:Asset price and Inflation[J].Bank of Japan Monetary and Economic Study,1992,Vol.10,(1):95-101.
[3]Smets,F.Finanal Asset Prices and Monetary Policy:Theory and Evidence[C].CEPR Discussion Paper,1997,No.1751.
[4]Goodhart C.A.,Hofmann B.Do Asset Prices Help to Predict Consumer Price Inflation[J].Manchester School Journal,2000,Vol.68,(Supplement):122-140.
[5]J.Rubens,M.Bond and J.Webb.The Inflation-Hedging Effectiveness of Real Estate[J].Journal of Real Estate Research,1989,Vol.4,(2):153-168.
[6]Lawrence H.Summers.Inflation,the Stock Market and Owner-Occupied Housing[J].American Economic Review,1981,Vol.71,(2):429-434.
[7]Greg Tkacz.Carolyn Wilkins.Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices[J].Bank of Canada Working Paper,2006,Vol.25,(7):237-245.
[8]David C.Ling,Andy Naranjo.The Integration of Commercial Real Estate Markets and Stock Markets[J].Real Estate Economics,1999,Vol.27,(3):483-515.
[9]Ann Dougherty.Robert Van Order.Inflation,Housing Costs,and the Consumer Price Index[J].The American Economic Review,1982,Vol.72,(1):154-164.
[10]Charles Goodhart.What Weight Should be Given to Asset Prices in the Measurement of Inflation[J].The Economic Journal,2001,Vol.111,(472):335-356.
[11]Bernanke Ben S.Mark Gertler.Should central banks respond to movement in Asset Prices?[J].Journal of Money,Credit and Banking,1971,(2):173-193.
[12]钱小安.资产价格变化对货币政策的影响[J].经济研究,1998,(1):70-76.
[13]李强.度量通货膨胀的指标研究[J].金融研究,1999,(7):12-15.
[14]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60-67.
[15]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.
[16]王维安.贺聪.房地产价格与通货膨胀预期[J].财经研究,2005,(12):64-76.
[17]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):17-28.
[18]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[J].财经研究,2006,(12):53-64
[19]王国军.刘水杏.房地产对相关产业的带动效应研究[J].经济研究,2004,(8):38-47.
[20]Wurtzebach.Charles H.Glenn R.Mueller and Donna Machi.the Impact of Inflation and Vacancy of Real Estate Returns[J].the Journal of Real Estate Research,1991,Vol.6,(2):153-168.
[21]刘洪玉.郑思齐.住宅资产:居民家庭资产组合中的重要角色[J].经济与管理研究,2003,(4):39-41.
[22]Hoffmaister.Alexander W and Garry J Schinasi.Asset prices,Financial liberalization and Inflation in Japan[C].IMF Occasional Paper,1995,No.124.
[23]张伟.李汉文.住房市场动态变化分析[J].财贸经济,2006,(5):17-21.
[24]洪涛.房地产价格波动与消费增长--基于中国数据的实证分析及理论解释[J].南京社会科学,2006,(5):54-58.
[25]张尧.邝小燕.资产价格变动的财富效应分析[J].中国物价,2004,(10):21.
[26]陈楠东.房地产市场宏观调控的理性思维[J].中南财经政法大学学报,2006,(3):22.
[27]易宪容.浅析CPI指数与房价的关系[J].中国勘察设计,2007,(11):41-43.
[28]王军平.住房价格上涨对CPI的传导效应[J].经济学家,2006.(6):78-82.
[29]赵留彦.王一鸣.蔡婧.中国通胀水平与通胀不确定性-马尔柯夫域变分析[J].经济研究,2005,(8):60-72.
[30]齐建国.2005-2006年宏观经济调控政策分析--兼对中央政府和地方政府关系的思考[J].学习与探索,2007,(1):126-130.
[31]经朝明.谈有花.中国房地产价格与通货膨胀的关系--基于计量模型的实证分析[J].中国物价,2006,(2):55-64.
[32]夏海燕.董春.徐彩霞.几种度量通货膨胀的常用价格指数比较[J].统计与信息论坛,2000,(5):31-33.
[33]程建伟.通货膨胀预测的几种方法.价格理论与实践[J].2006,(3):48-49.
[34]汪小亚.代鹏.房地产价格与CPI相关性:实证分析[J].中国金融,2005,(2),17-18.
[35]李力.杨柳.对1996_2005年间我国通货膨胀成因的实证分析[J].理论月刊,2006,(1),97-99.
[36]李亚培.房地产价格与通货膨胀:基于我国的实证研究[J].海南金融,2007,(4):10-14.
[37]阙水深.王骏.居民消费价格指数上涨不等于经济通胀[J].北京统计,2004,(6):13-14.
[38]易宪容.当前房地产市场的形势、问题及对策[J].理论前沿,2007,(11):5-9.
[39]徐强.CPI编制中的几个基本问题探析[J].统计研究,2007,(8):30-35.
[40]贺聪.房地产价格与货币政策之间的关系协调[J].金融理论与实践,2007,(3):22-25.
[41]符淼.我国房地产市场和宏观金融数据的协整分析[J].生产力研究,2007,(4):94-96.
[42]余明.资产价格、金融稳定与货币政策[M].北京:中国金融出版社,2003.
[43]黄陈.张敬国.1994年我国通货膨胀问题研究述评[J].金融研究,1995,(7):73-82.
[44]徐强.GDP缩减指数是测试通货膨胀的可靠指标吗[J].经济研究,2006,(5):7-14.
[45]方军武.中国房地产业发展统计分析[J].商场现代化,2007,(10):255-257.
[1]这部分的分析框架和研究方法是参考洪涛.房地产价格波动与消费增长[J].南京社会科学,2006,(5).
[1]Alchian.A.,Klein.B.On a Correct Measure of Inflation[J].Journal of Money,1973,Vol.5,(1):173-181.
[2]Shibuya,H.Dynamic Equilibrium Price Index:Asset price and Inflation[J].Bank of Japan Monetary and Economic Study,1992,Vol.10,(1):95-101.
[3]Smets,F.Finanal Asset Prices and Monetary Policy:Theory and Evidence[C].CEPR Discussion Paper,1997,No.1751.
[4]Goodhart C.A.,Hofmann B.Do Asset Prices Help to Predict Consumer Price Inflation[J].Manchester School Journal,2000,Vol.68,(Supplement):122-140.
[5]J.Rubens,M.Bond and J.Webb.The Inflation-Hedging Effectiveness of Real Estate[J].Journal of Real Estate Research,1989,Vol.4,(2):153-168.
[6]Lawrence H.Summers.Inflation,the Stock Market and Owner-Occupied Housing[J].American Economic Review,1981,Vol.71,(2):429-434.
[7]Greg Tkacz.Carolyn Wilkins.Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices[J].Bank of Canada Working Paper,2006,Vol.25,(7):237-245.
[8]David C.Ling,Andy Naranjo.The Integration of Commercial Real Estate Markets and Stock Markets[J].Real Estate Economics,1999,Vol.27,(3):483-515.
[9]Ann Dougherty.Robert Van Order.Inflation,Housing Costs,and the Consumer Price Index[J].The American Economic Review,1982,Vol.72,(1):154-164.
[10]Charles Goodhart.What Weight Should be Given to Asset Prices in the Measurement of Inflation[J].The Economic Journal,2001,Vol.111,(472):335-356.
[11]Bernanke Ben S.Mark Gertler.Should central banks respond to movement in Asset Prices?[J].Journal of Money,Credit and Banking,1971,(2):173-193.
[12]钱小安.资产价格变化对货币政策的影响[J].经济研究,1998,(1):70-76.
[13]李强.度量通货膨胀的指标研究[J].金融研究,1999,(7):12-15.
[14]瞿强.资产价格与货币政策[J].经济研究,2001,(7):60-67.
[15]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.
[16]王维安.贺聪.房地产价格与通货膨胀预期[J].财经研究,2005,(12):64-76.
[17]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):17-28.
[18]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[J].财经研究,2006,(12):53-64
[19]王国军.刘水杏.房地产对相关产业的带动效应研究[J].经济研究,2004,(8):38-47.
[20]Wurtzebach.Charles H.Glenn R.Mueller and Donna Machi.the Impact of Inflation and Vacancy of Real Estate Returns[J].the Journal of Real Estate Research,1991,Vol.6,(2):153-168.
[21]刘洪玉.郑思齐.住宅资产:居民家庭资产组合中的重要角色[J].经济与管理研究,2003,(4):39-41.
[22]Hoffmaister.Alexander W and Garry J Schinasi.Asset prices,Financial liberalization and Inflation in Japan[C].IMF Occasional Paper,1995,No.124.
[23]张伟.李汉文.住房市场动态变化分析[J].财贸经济,2006,(5):17-21.
[24]洪涛.房地产价格波动与消费增长--基于中国数据的实证分析及理论解释[J].南京社会科学,2006,(5):54-58.
[25]张尧.邝小燕.资产价格变动的财富效应分析[J].中国物价,2004,(10):21.
[26]陈楠东.房地产市场宏观调控的理性思维[J].中南财经政法大学学报,2006,(3):22.
[27]易宪容.浅析CPI指数与房价的关系[J].中国勘察设计,2007,(11):41-43.
[28]王军平.住房价格上涨对CPI的传导效应[J].经济学家,2006.(6):78-82.
[29]赵留彦.王一鸣.蔡婧.中国通胀水平与通胀不确定性-马尔柯夫域变分析[J].经济研究,2005,(8):60-72.
[30]齐建国.2005-2006年宏观经济调控政策分析--兼对中央政府和地方政府关系的思考[J].学习与探索,2007,(1):126-130.
[31]经朝明.谈有花.中国房地产价格与通货膨胀的关系--基于计量模型的实证分析[J].中国物价,2006,(2):55-64.
[32]夏海燕.董春.徐彩霞.几种度量通货膨胀的常用价格指数比较[J].统计与信息论坛,2000,(5):31-33.
[33]程建伟.通货膨胀预测的几种方法.价格理论与实践[J].2006,(3):48-49.
[34]汪小亚.代鹏.房地产价格与CPI相关性:实证分析[J].中国金融,2005,(2),17-18.
[35]李力.杨柳.对1996_2005年间我国通货膨胀成因的实证分析[J].理论月刊,2006,(1),97-99.
[36]李亚培.房地产价格与通货膨胀:基于我国的实证研究[J].海南金融,2007,(4):10-14.
[37]阙水深.王骏.居民消费价格指数上涨不等于经济通胀[J].北京统计,2004,(6):13-14.
[38]易宪容.当前房地产市场的形势、问题及对策[J].理论前沿,2007,(11):5-9.
[39]徐强.CPI编制中的几个基本问题探析[J].统计研究,2007,(8):30-35.
[40]贺聪.房地产价格与货币政策之间的关系协调[J].金融理论与实践,2007,(3):22-25.
[41]符淼.我国房地产市场和宏观金融数据的协整分析[J].生产力研究,2007,(4):94-96.
[42]余明.资产价格、金融稳定与货币政策[M].北京:中国金融出版社,2003.
[43]黄陈.张敬国.1994年我国通货膨胀问题研究述评[J].金融研究,1995,(7):73-82.
[44]徐强.GDP缩减指数是测试通货膨胀的可靠指标吗[J].经济研究,2006,(5):7-14.
[45]方军武.中国房地产业发展统计分析[J].商场现代化,2007,(10):255-257.