资产价格、经济杠杆与价格传递——基于国际PVAR模型的实证研究

An Empirical Research on Asset Price, Economic Leverage Ratio and Price Transmission—Based on International PVAR Model

本文基于拓展的三部门货币数量模型,以房地产为代表分析了资产在货币政策价格传递中的作用,并构建PVAR模型,采用系统GMM方法进行估计。发现货币供给对房价和经济杠杆有明显的正向冲击作用,但是对物价作用不显著;房价自身具有惯性,对经济杠杆、物价有正向的冲击,并且房价对自身和经济杠杆的冲击大于对物价的冲击;相比经济杠杆率低的国家,经济杠杆率高的国家房价对物价的影响较小,对经济杠杆的影响却大很多;在实体经济领域,价格由消费领域传递到生产领域,经济杠杆率低的国家表现出反馈作用,但在经济杠杆率高的国家这种反馈不显著。建议在实施货币政策时考虑资产价格和经济杠杆的影响,并建立逆周期监管机制。

Based on the three departments＇ quantity of money equation, this paper analyzes the role of assets represent- ed by real estate in the price transmission of monetary policy, and makes estimate with the method of PVAR. Findings are as followed： First, money supply has a significant and positive impact on housing prices and economic leverage ratio, but the effect on the price level is not significant; Second, the inertia of housing prices has a positive impact on the economic leverage ratio and the price level; Third, the impact on itself and economic leverage ratio is greater than on the price level; Fourth, compared with economies with low economic leverage ratio, housing prices have a smaller effect on the price level in regions with high economic leverage ratio, but much greater impact on the economic leverage ratio; Fifth, in the real economy, as for the price transmission from consumption areas to production areas, there is a feedback in regions with low economic leverage ratio, while not significant in other regions. Therefore, asset price and economic leverage ratio should be considered while im- plementing monetary policy.