基于时变参数和VAR模型的土地政策和货币政策对房价影响作用机制研究

The Effect Mechanism Research of the Land Policy and Monetary Policy on House Prices——Based on the VAR model

笔者通过考察地价和利率对房价波动的动态影响关系,探讨土地政策和货币政策对房价的作用机制。通过构建状态空间模型,利用卡尔曼滤波进行参数估计,探讨地价和利率对房价影响的变化规律;运用VAR模型中的脉冲响应函数和方差分解,考察地价、利率、房价三者之间的相互作用情况。实证结果表明地价对房价始终有较大的正向影响,而利率对房价的影响作用不明显,房价对地价的冲击当期就会显示出来,而地价对房价的冲击滞后一期才会产生影响。

This paper discusses the effect of land policy and monetary policy on housing price and analyzes dynamic relationship between land price, the interest rates and the housing price by constructing state space model and estimating the parameter with Kalman filtering. It is concluded that the interaction of the land price, interest rates and housing price using the impulse response function and variance decomposition of the VAR model. Empirical results show that land price always has a positive influence on housing price while the influence of interest rate on housing price is not significant. The impact of housing price to land price will be displayed currently while the impact of land price to housing price will be showed with a period lag. Finally it puts forward the policy suggestions of estab- lishing the system of local government＇ s finance and tax, reforming the interest rate decision mechanism, promoting the comprehensive reform real estate tax policy.