金融冲击与中国房价波动——基于动态随机一般均衡模型的考察

Financial Shocks and Housing Price Fluctuations in China——Analysis Based on Dynamic Stochastic General Equilibrium Model

构建包含金融冲击的动态随机一般均衡(HDSGE)模型,考察金融冲击对我国房价波动的影响,研究发现:包含金融冲击的模型相对于未包含金融冲击的模型更好地拟合了我国经济的现实;金融冲击对我国房地产市场具有显著的冲击效应,并且积极的金融冲击在增加房地产部门投资的同时降低了其他部门的投资;同时,金融冲击具有扩大货币政策冲击效应的"加速器"作用。进一步对房价波动进行贝叶斯冲击分解,分析表明:在短期和中期,金融冲击是推动我国房价波动最为重要的因素;而在中长期和长期,货币政策冲击仍是我国房价波动的主要推动力。因此,货币政策和金融政策都是房地产市场调控的重要手段。政府应积极利用货币政策冲击和金融冲击的效应稳定房地产市场,不过在利用金融冲击时需要注意其对国民经济其他部门产生的负面效应。

In this paper,we consider a Dynamic Stochastic General Equilibrium（ DSGE） model with financial shocks,and investigate the effects of financial shocks on China＇s housing price fluctuations. The result shows that the model with financial shocks better fits for China＇s economic reality than the model without financial shocks,that financial shocks have significant shock effect on the housing market of China,and furthermore,the positive financial shocks decrease the investment of other sectors but increase the investment of housing sector. The result of model comparison argues that financial shocks amplify the effect of monetary policy shocks,which is the effect of accelerator. Further,the result of housing price Bayesian decomposition shows that,in the short and medium term,financial shocks is the most important driving force of housing price fluctuations,but in the long-run,monetary policy shocks is the most important factor for housing price volatility. Therefore,both monetary policy and financial policy are the important instrument of housing market regulations,governments should actively use monetary policy shocks and financial shocks to stabilize the housing market but the government should pay attention to the negative effect of financial shocks on other sectors of national economy.