基于FAVAR模型的货币政策的房价传导机制研究

Transmission Mechanism of Monetary Policy on Housing Price in China Based on FAVAR Model

货币政策的房价传导机制近年来备受各界关注。本文采集了从2000年第1季度到2009年第3季度的152个变量的间序列数据,构建房价对货币政策传导效应的FAVAR模型,对房价在货币政策传导机制中的有效性进行了理论和实证研究。研究发现,在我国存在货币政策的房价传导机制。具体表现为:①相较于货币供应量而言,利率对房价的影响较为明显,利率和房价呈反向关系。②房价的投资效应强于财富效应,房价短期内存在挤出效应,长期才显示出微弱的财富效应,不同类型房屋价格的投资效应和财富效应有所差异;③房价通过消费渠道对货币政策的传导较为通畅。

This paper conducts an empirical analysis on the transmission mechanism of monetary policy on housing price based on factor-augmented vector autoregression(FAVA) with data comprising 152 quarterly series through 2000-2009.The results show that interest rate has significantly negative impact on housing price,that the investment effect is stronger than the wealth effect and housing price has spill-over effect in the short term and minor wealth effect in the long term while the effects of investmen and wealth for different types of housing prices are different,and that housing price effect through sonsumption is evident.