流动性、资产价格波动的隐含信息和货币政策选择——基于中国股票市场与房地产市场的实证分析

Liquidity,Implicit Information of Asset Prices and Monetary Policy Choice:Evidence from Housing Market and Stock Market in China

本文实证分析了1998—2011年期间中国资产价格极度繁荣与极度萧条时期的流动性特征、资产价格波动的隐含信息和不同货币政策工具调控资产价格的效果及其宏观经济影响。结果表明:流动性在资产价格极度繁荣与极度萧条时期扮演着重要角色;股票、房地产价格波动均隐含了一定程度的未来产出和通货膨胀信息;样本期间中国货币政策事实上对资产价格作出了某种程度的反应;货币总量和信贷总量分别对股票价格和房地产价格的调控效果较好,信贷总量调控能在成功抑制资产价格的同时较好地维持宏观经济稳定。本文认为中国货币政策在必要时应干预资产价格,在条件完备时甚至可以盯住房地产价格,应使用货币总量和信贷总量分别对股票价格和房地产价格进行差异化调控,但需要注意工具之间的协调以及总量与价格调控在不同时期各有侧重。

The paper empirically analyzes the liquidity characteristics of asset price boom-busts, the implicit information of asset prices, the macro-control effect of various monetary instruments on asset prices during the period 1998--2011 in China. The results indicate that liquidity plays an important role in asset price cycles, the movements of housing price and stock price contain specific information of future output and inflation, the monetary policy actually responds to asset prices by some degree, monetary regulation and credit control could effectively restrain stock price and housing price respectively, and credit control outperforms other instruments in sustaining macroeconomic stability and curbing asset prices simultaneously. Therefore, Chinese monetary policy should intervene in asset prices when in need, even targeting housing price as conditions permit. Besides, monetary regulation and credit control should be used to restrain stock price and housing price separately. However, it is necessary to coordinate the implementation of various monetary policy tools.