摘要
本文应用向量自回归模型的脉冲响应函数和预测方差分解的方法,对我国货币政策影响房价的外部时滞进行分析。利用2004年1月至2008年6月的月度数据测算出的结果是:信贷规模、狭义货币供应量和利率对房价的作用时滞分别为7个月、3个月和11个月。信贷规模和利率水平度对房价的冲击效应较小,而货币供应量对房价的冲击效应较为明显。央行在制定货币政策时应综合考虑货币工具的特点、作用时滞、经济形势和理性预期的影响。
This paper analyzes the impact from external time-lag of monetary on the price of real estate by vector autore- gressive model and forecast variance decomposition. Based on monthly figures from January,2004 to June,2008, it is concluded that the time lags of credit scale, narrow money supply, and interest level are respectively 7 months, 3 months and l lmonths.Pounding effects of credit scale and interest level are comparatively weak, while that of narrow money supply is notable. Central bank should take the impact of features of instruments,time lag,economic situation and rational expectation into account when working out monetary policy.
出处
《海南金融》
2008年第11期9-12,26,共5页
Hainan Finance
关键词
货币政策
外部时滞
房价
脉冲响应
方差分解
Monetary Policy
External Time Lag
Price of Real Estate
Impulse Response
Variance Decomposition
