货币政策对房价及其波动的动态影响——基于协整关系的面板GARCH模型

Dynamic Effect of Monetary Policy on House Price and Volatility——Panel GARCH model based on cointegration relationship

利用全国五大地区房价及相关数据,建立面板均值回归模型和面板GARCH模型,研究了货币政策对房价及其波动的影响.实证表明:在控制房价方面,信贷控制手段有效,但在购房者预期没有改变时,利率手段无效;在房价波动方面,所有地区的房价波动都受前期波动的的正向影响,不同地区的房价波动区别很大,珠三角和长三角房价波动最大,而环渤海地区的波动较小,中西部地区波动最小.最后,对实证结果进行经济分析并提出相应对策建议.

Based on the house price and other related data of the five regions, this article establishes a panel mean regression model and panel GARCH model, and investigates the dynamic effect of monetary policy on house price and volatility. Through empirical analysis, this article draws conclusions as follow： Credit control means is effective to control house price yet interest rate means is invalid if property buyers＇ expectation on market have no change; Early volatility has positive influence on the current volatility in all regions, yet there are great difference among different region. Among them, the volatility of Yangtze River Delta region and Pearl River Delta region is the largest and one of Bohai region is less, the least one is of the middle and western regions.