资产价格波动与货币政策反应:基于投资性货币与交易性货币框架

The Fluctuation of Asset Prices and the Reaction of Monetary Policy:Based on the Perspective of Investment-money and Transaction-money

本文通过区分流向股市的投资性货币和流向房市的交易性货币,结合BEKK模型和GARCH均值方程模型,分析了两种货币供应量、资产价格(股价和房价)与经济增长的波动相关性以及它们的各种波动对经济增长率的影响。研究发现:股市和房市的三个变量之间均存在波动溢出效应,而且从操作层面看,中央银行通过调控流向两种资产的货币增长率的变动,比较容易控制资产价格增长率的变动,进而调控经济增长率的波动。但是除了经济增长率自身滞后项外,股市上的各种波动对经济增长率的大小没有任何显著影响,只有房地产价格增长率的波动以及流向房市的货币增长率与房地产价格增长率的联合波动对GDP增长率的大小有显著影响,并且这些波动的增加会导致GDP增长率的下降。这说明中央银行有能力控制资产价格波动,但考虑到要同时实现经济"平稳"和"较快"增长,可以选择调控房地产价格。

This paper distinguishes investment-money flowing to the stock market and transaction-money flowing to the real estate market from M2 at first. Then based on the BEKK model and the GARCH mean-value equation model, this paper analyzes the linear relationship and volatility correlations among two kinds of money supply, asset prices（ price of stock and price of real estate） and economic growth, and examines the impact of various volatilities on economic growth. It has been found out that three variables, in stock market and real estate market, have significant volatility spillover effects on each other. And on terms of operation, the central bank can regulate changes of asset prices and volatility of economic growth through controlling changes in money supply growth rate. But in addition to lagging item of economic growth rate itsetf, all kinds of volatilities in stock market have no significant impact on the economic growth rate; only do volatility of the real estate and the co-movement between growth rate in money flowing to the real estate market and real estate price＇ s growth rate have significantly negative influences on economic growth rate. The conclusion is that the central bank has the ability to control the volatility of asset prices, but considering the ＂stable and rapid＂ growth rate of economy, the central bank can choose to intervene in real estate prices.