基于SVAR模型的房价对货币政策传导的区域效应——中国4个直辖市的反事实模拟

Regional Effects of Housing Prices in Monetary Policy Transmission Based on SVAR

运用基于结构向量自回归模型的反事实模拟技术,实证检验中国4个直辖市房价变动对货币政策的传导效应。研究发现:各直辖市房价对货币政策传导具有区域差异,在房价高涨城市,扩张性货币冲击通过房价对居民消费的传导效果优于紧缩性利率政策,而紧缩性利率政策不能有效抑制房价上涨;在扩张性货币冲击推动的居民消费增幅中,北京、上海与天津房价上涨"挤出"的居民消费占比分别约为32%、56%与9.5%;在利率冲击导致的居民消费波幅中,北京、天津房价上涨"挤出"的居民消费占比分别约为9.1%、20.6%,上海房价下跌"提升"的消费占比约为5.5%;重庆房价始终对居民消费产生促进效果。对此,政府部门应侧重运用数量型货币政策工具调控房市高涨,充分考虑货币政策传导区域差异,同时对全国城市房价分化走势风险保持警惕。

Utilizing counterfactual simulation based on structural vector autoregression model, this thesis empirically tests the roles of the housing prices in China＇s four municipalities in monetary transmission mechanism. The results are as follows： the monetary policy transmission from housing prices in the four municipalities varies with regional difference, and in cities with housing price hikes, expansionary monetary shocks to consumption is more significantly felt through housing price hikes than contractionary interest rate policy, the latter being unable to curb rising housing prices effectively. Of the growth in consumer spending following the expansionary money shocks, rising housing prices in Beijing, Shanghai and Tianjin have crowded out about 32%, 56% and 9. 5% of consumption respectively. Of the fluctuation in consumer spending caused by interest rate shocks, rising housing prices in Beijing and Tianjin have crowded out about 9. 1% and 20. 6% of consumption, falling housing prices in Shanghai have promoted about 5. 5% of consumption, and house prices in Chongqing have constantly promoted consumer spending. Therefore, policy authorities should exploit quantitative monetary policy tools to suppress real estate price hikes, take into full account regional differences of monetary policy transmission, and stay cautious about the potential risks in widened housing price gaps between cities in China.