资产价格波动对宏观经济影响的SVAR分析

SVAR Analysis of the Impact of the Asset Price Fluctuation on Macroeconomic Situation

作为金融脆弱性标志的资产价格波动是否应纳入货币政策制定考虑因素,成为近期政策制定者和学者们关注的焦点,而资产价格波动纳入货币政策制定考虑因素的前提是资产价格波动会显著影响宏观经济。本文重点考察中国资产价格对宏观经济的影响程度,选取中国1998年1月-2011年12月的数据建立SVAR模型,同时考虑到2005年前后中国资产市场所发生的大变革,以2005年为分界点进行分段对比研究。实证分析表明,随着中国资产市场化程度的提高,资产价格(股价和房价)对宏观经济的影响越来越显著。为了保证宏观经济稳定增长,中国货币当局应密切关注资产价格波动,将其波动控制在合理范围内。

Whether incorporating asset prices fluctuations, a sign of financial fragility, in monetary policy considerations, has recently been the focus of policy makers and scholars. However, the premise of incorporating asset prices fluctuations in monetary policy considerations is that asset prices fluctuations will significandy influence macroeconomic situation. So this paper focuses on whether fluctuations in asset prices will have significant effect on macroeconomic situation. This paper selects the data of asset prices and macroeconomic situation of the period from January, 1998 to December, 2011 to establish a SVAR model. Considering significant change in China＇s asset market in 2005, this paper takes 2005 as the cut - off point to make comparative study. The empirical result shows that with the development of China＇s asset market and improvement of the degree of marketization of asset market, the impact of asset prices fluctuations （ stock price and housing price） on the macro economy has become more significant. In order to ensure the stable growth of macro economy, the Chinese authorities should pay attention to the fluctuations of asset prices closely, and maintain it within reasonable limit.