货币政策效果区域异质性、房价溢出效应与房价对通胀的跨区影响

Regional Heterogeneous Impacts of Monetary Policy,Housing Prices Spillovers and the Trans-regional Impact of Housing Price on Inflation

本文详细探讨了现有文献较少涉及的货币政策效果区域异质性、城市间房价的溢出效应以及房价对通货膨胀的跨区影响。利用最新发展出的全局向量自回归(GVAR)模型,本文验证了中国35个城市的房价和CPI受单个城市房价冲击和货币供应量冲击后的异质性反应。结果显示:1)货币供应量冲击对一线城市和东部城市房价有较大的正向影响,但对中西部城市房价影响较弱。货币供应量冲击对各城市CPI的影响均很微弱。2)房价冲击对自身和其它城市房价均有较为明显的正向影响,并且一线城市和东部城市的房价冲击带来的影响更大。3)房价冲击对CPI的正向影响相对较小。本文亦对导致这些实证研究结果的理论机制进行了详细论证并提出了有针对性的政策建议。

Through recently developed Globe Vector Autoregression （GVAR） model, this paper empirically studies the regional heterogeneous responses of housing prices and CPIs among China＇ s 35 major cities to the housing price shock and money supply shock. The results show that, 1 ） Money supply shock has strong influence on the housing price of first - tier cities and eastern cities, while weak influence on that of central and western cities. However, CPIs are hardly influenced by money supply shock. 2） The housing price shocks, especially the shocks in first - tier cities and eastern cities, have strong positive influence on domestic housing price dynamics and housing prices of other cities. 3） The housing price shocks have weakly positive influence on CPIs. This paper also supports theoretical explanation for the empirical result and proposes some policy recommendations for stabilizing housing price.