我国房地产价格波动与中央银行货币政策调控——来自货币供应量、汇率和利率的证据

The Real Estate Prices' Volatility and the Functioning of Central Bank's Monetary Policy:Empirical Research Based on Money Supply,Exchange Rates and Interest Rates

本文通过VAR-MVGARCH模型研究了我国房地产价格增长率分别与货币供应量、汇率和利率的线性和波动关系。研究结果表明,汇率的变化对房地产价格增长率的变动会产生显著的线性影响,但是货币供应量和利率的变化对房地产价格增长率变动的线性影响不大。本文认为,尽管货币供应量、汇率和利率对房地产价格增长率存在波动溢出效应,但由于它们与房地产价格增长率的相关性波动剧烈,同时考虑到不断变化的货币政策"盯住"房地产价格波动的困难以及有悖于中央银行保持货币政策"连续性和稳定性"的目标,当前最好实施汇率工具盯住房地产价格增长率的均值化,才容易产生显著效果。

This paper, based on a VAR-MGARCH model, analyzes the linear relationship and volatility correlations between the real estate prices and money supply, exchange rates and interest rates. It finds out that changes in the exchange rates have a significant impact on the real estate prices ; but the changes of money supply and interest rates have less linear influence on real estate prices. Although the money supply, exchange rates and interest rates have significant volatility spillover effects on the real estate prices, considering their relationship with the real estate prices＇ growth changes dramatically, and the difficuhies in constantly changing monetary policy in order to ＂peg＂ the real estate prices and contrary to the central bank＇s target on keeping ＂ continuous and smooth ＂ monetary policy, this paper argues that the central bank, at present, should better use the exchange rates to control the real estate prices, then it would easily have effective resuhs.