房地产市场波动、经济增长与货币政策反应——基于TVP-VAR模型的实证分析

Real Estate Fluctuation,Economic Growth and Monetary Policy Response——Based on TVP-VAR Model Empirical Analysis

我国住房制度改革以来,房价波动与实体经济以及货币政策之间有着密切联系。本文采用TVP-VAR模型对我国房地产市场波动如何影响实体经济,以及货币政策的介入效率等问题进行了实证分析。结果表明:房价波动对经济增长和通货膨胀的影响具有显著的时变特征。房价上涨的冲击对经济增长影响的长期效应更为明显,而对通货膨胀影响的短期效应更显著。此外,长期实施宽松的货币政策将会显著推高房价,但近期定向降准限制了资金流入房地产市场。基于此结论,本文对货币政策如何应对房地产市场与实体经济波动提出了相应的政策建议。

Real estate fluctuation and has the close relationship between economic and monetary policy since our house reform.This paper makes an empirical analysis on how real estate market fluctuation affects the real economy and the efficiency of monetary policy response using the TVP-VAR model.The result shows that the effects of house price fluctuation on economic growth and the CPI have significant time-varying characteristics.Higher house price has a longterm effect on economic growth but a short-term effect on CPI.Moreover,continual expansionary monetary policy will raise house price,but the recent targeted reduction of reserve limits the capital inflowing into the real estate market and weakens the transmission efficiency of monetary policy.Based on the empirical evidence,this paper gives some policy suggestions on how monetary policy trade off the real estate market volatility and economic fluctuation.