住房价格在货币政策传导中的作用效果——基于SVAR模型的反事实模拟研究

The Roles and Effects of Housing Prices in Monetary Policy Transmission——A Counterfactual Simulation Study Based on SVAR

本文运用结构向量自回归模型与反事实模拟方法,实证检验中国房价在货币政策传导过程中的作用效果。研究发现：房价能够对货币政策冲击进行有效传导,但总体效果偏弱,并且,扩张性货币冲击通过房价向消费传导的效果比紧缩性利率政策更加显著;在扩张性货币冲击导致的城镇消费增幅中约有13.2%来自房价上涨的贡献,而紧缩性利率冲击导致的城镇消费降幅中约有5%~5.9%来自房价下降的贡献;另外,在货币冲击推动的居民消费涨幅中,房价上涨导致居民消费缩减了约为7.1%1。对此,政策当局可以侧重运用数量型货币政策工具调控房地产价格,同时对房价萧条可能引致的社会消费缩减风险保持警惕,并通过利率市场化改革、提高居民住房拥有率等途径提升住房价格对货币政策冲击的传导效果。

Utilizing structural vector autoregression model( SVAR) and counterfactual simulation method,this paper empirically tests the roles and effects of China's housing prices in monetary transmission process. The research finds that: housing prices can effectively transmit the shocks of monetary policy,but the overall effects is relatively weak and the transmission effect of expansionary monetary shock on consumption by housing price is more significant than that contractionary interest rate; about 13. 2% of urban consumption growth caused by expansionary monetary shock is from the contribution of housing price rise and about 5%-5.9% of urban consumption fall caused by contractionary interest rate shock is from the contribution of housing price drop. In addition,in the residents' consumption rise pushed by monetary shock,housing price rise makes residents' consumption decrease by about 7. 1%. Therefore,the policy authority can use quantitative monetary policy tool to adjust and control housing price and in the meantime,keep alert against the social consumption decrease risk caused by housing price slump and raise the transmission effects of monetary policy by interest rate marketization reform and raising the house holding rate of residents.