时变视角下货币政策对房地产市场价格影响的研究

Research on the Impact of Monetary Policy on Real Estate Price from the Perspective of Time-Varying

本文通过构建时变参数向量自回归(TVP-VAR)模型,采用脉冲响应函数测度货币政策工具在不同时间间隔期和不同时点对于房地产价格的时变影响,利用20002018年我国房地产市场的月度数据进行测算与分析。研究发现:(1)货币供应量和利率等货币政策工具对房地产价格的影响较显著。以货币供应量为主的数量型货币政策短期对房价的影响效果较好,此时增加货币供应量会引起房地产市场价格上升,但是中长期而言,数量型货币政策调控房价无效。以利率为主的价格型货币政策在短期和中期都能发挥作用,但是对长期来说是无效的;(2)从不同时点的脉冲响应来看:数量型货币政策对房地产价格影响存在部分负效应,但总体而言,具有正向影响;而价格型货币政策对房地产价格影响在当期存在部分正效应,随后各期存在持续的负效应,且作用效果较为缓慢。最后提出在强调房住不炒的背景下,央行应综合考虑不同货币政策工具的优劣势相机抉择,以维护房地产市场健康发展。

This paper applies the time-varying parameter vector autoregressive(TVP-VAR)and the impulse response function analysis to measure the time-varying impact of monetary policy tools on real estate prices at different time intervals and at different time points.The monthly data of China’s real estate market from 2000 to 2018 is used for empirical analysis.Research Findings:(1)Monetary policy instruments such as money supply and interest rate have a significant impact on real estate prices.The quantitative monetary policy with money supply as the main factor has a positive effect on real estate price in the short term.Furthermore,the increase of money supply will cause the real estate price to rise.However,in the medium and long term,the quantitative monetary policy is ineffective in controlling house price.The price oriented monetary policy with interest rate as the main factor can play a role in both the short and medium term,but it is ineffective in the long run.(2)From the impulse response at different time points,the quantitative monetary policy has a partial negative effect on the real estate price.But on the whole,it has a positive effect;while the price based monetary policy has a partial positive effect on the real estate price in the current period.There is a sustained negative effect in the subsequent periods,and the effect is relatively slow.Under the background of emphasizing that real estate is for living,not for speculation,monetary authorities should combine the advantages and disadvantages of different monetary policy tools,and choose monetary policy tools according to their own discretion,so as to maintain the stable development of real estate market and macro-economy.