货币政策、产出冲击对房地产市场影响机制——基于经济发展新常态时期的分析

The Influence Mechanism of Monetary Policy and Output Shock on the Real Estate Market——An Analysis Based on the New Normal Period of Economic Development

本文对房地产市场的货币政策传导机制,以及经济发展新常态时期名义利率零下限约束下货币政策的有效性进行了理论分析,在此基础上,通过构建国房景气指数、产出增速与货币供给增速的平滑迁移向量自回归模型(STVAR),考察了中国房地产市场、实际产出与货币政策之间的非线性动态关联机制。结果发现,国房景气指数、产出增速与货币供给增速之间的作用机制与传导机制存在显著的非线性特征。在经济发展新常态时期,货币政策与产出冲击对房地产市场具有显著影响,但与经济发展"旧常态"时期相比,货币政策对房地产市场的影响强度较弱、持续时期较短,表明在经济发展新常态时期,单独依靠货币政策调控房地产市场将面临较大难度,这与目前相对宽松的货币政策环境并未对房地产市场产生显著影响相吻合。同时,本文还检验了经济发展新常态时期货币政策和产出冲击对房地产市场影响的非对称效应。结果发现,货币政策对房地产市场的影响存在冲击规模上的非对称性,规模较大的反向货币政策冲击具有更强的效应。

On the basis of theoretical analysis of the monetary policy transmission mechanism through the real estate market and the effectiveness of monetary policy in the new normal period of economic development,we investigate the nonlinear dynamic mechanism of monetary policy, output and the real estate market,through constructing a smooth transition vector auto-regression model of real estate prosperity index, year-on-year growth rate of GDP, and monetary supply. We find that the relationship of them is nonlinear. The effect of monetary policy and output shock on the real estate market is significant in the new normal,but the effect of monetary policy on the real estate market is relatively weaker, and the duration of effect is relatively shorter,compared with the previous period. So it is difficult that monetary policy is regarded as the only macro-control measure of the real estate market in the new normal, and this is in agreement with the effect of positive monetary policy on the real estate market is weak. At the same time, we also examine the asymmetric effect of monetary policy and output shock on the real estate market. We find the effect of monetary policy on the real estate market is asymmetric, the negative monetary policy shock which owns larger size has a stronger effect on the real estate market.