货币政策与资产价格波动：理论模型与中国的经验分析

Monetary Policy and Asset Price Volatility:Theoretical Model and Empirical Study in China

本文以中国房地产市场为例,通过当前央行货币政策的终极目标和中央政府与地方政府在房地产市场的博弈分析引出本文的命题推断。运用BEKK模型和GARCH均值方程模型实证检验了房地产价格、货币供应量与经济增长的波动相关性以及它们的各种波动对经济增长率影响的命题假设。研究发现:房价的波动以及房价与货币供应量的联动对GDP增长速度有显著影响,会导致GDP增长率的下降;但房价的波动对经济增长的波动没有显著影响,而且货币供应量与房价的联动变化非常剧烈,房价与经济增长的联动对经济增长的波动影响也不显著;此外货币政策对不同城市房价的调控效果也不同。这说明应该控制房价波动,但是目前中央银行没有必要动用货币政策去直接干预房地产价格,当前正确处理中央政府和地方政府在房地产市场的博弈关系是提高房地产调控有效性的重要内容。

Through the ultimate goal of the current monetary policy of the central bank and the game relationship between the central government and local governments in the real estate market, this paper deduces four inferences in article. Based on the BEKK model and the GARCH mean-value equation model, this paper empirically analyzes the volatility correlations among real estate price, money supply and economic growth, and examines the impact of various volatilities on economic growth. It has been found that the volatility of real estate price and the co-movement between real estate price and money supply have significant impacts on GDP growth rate, and furthermore lead to decline of GDP growth rate. The volatility of real estate price growth rate does not significantly affect economic growth rate volatility, while the co-movement between money supply and real estate price changes sharply, and the co-movement between real estate growth rate and economic growth rate does not show significant influence on economic growth rate＇s volatility. Furthermore, monetary policy has different controlling effect on real estate price in different cities. The conclusion is that the volatility of real estate price should be controlled, but currently it is not necessary for the central bank to directly intervene in real estate price. To deal correctly with the game relationship between central government and local government in the real estate market is the main content to improve the efficiency of real estate management.