货币政策、杠杆周期与房地产市场价格波动

Monetary Policy,Leverage Cycle and House Price Fluctuation

考虑到货币政策与杠杆周期和房价之间的内生性关系以及货币政策所呈现出来的非线性特征,本文构建了一个关于房价和银行信贷的局部均衡模型,并首次设计了时变参数结构式模型实证分析我国1996年一季度至2016年四季度的货币剩余、利率、杠杆周期与房价之间的内生关系。研究结果表明,价格型和数量型货币政策盯住杠杆目标的政策偏好均存在适时调整迹象;但次贷危机以来两种类型货币政策均具有显著盯住房价目标的政策取向。从政策效果看,数量型货币政策在管控房价和杠杆率上更为有效,央行可以进一步强化数量型货币政策执行力度;同时需要发挥价格型货币政策在去杠杆中的作用,因目前利率通过资金成本影响房价的传导渠道并未顺畅,这也进一步制约了其在管控房价上的功效;而且从长期看,价格型货币政策盯住杠杆目标并未保持永久为正。此外,利率在调控两类目标的政策效果上均只有短期效应,缺乏长期持久性,一个主要原因在于许多政策不具长期连贯性;另外则是由于缺乏引导民众对诸如房价的合理预期。最后,本文提出相应的对策建议。

High asset prices,especially high house prices and high leverage,are two important issues that affect China s future economic growth and financial stability.For this reason,the central bank established macro-prudential monetary policies to stabilize the financial market beginning in the third quarter of 2009.This paper constructs a partial equilibrium model of house prices and credit leverage,then examines and analyzes the dynamic effectiveness of price-and quantity-oriented monetary policy rules on deleveraging and adjusting house prices from a time-varying perspective.Furthermore,due to the strong endogenous relationships between the leverage cycle,house prices,and monetary policy,we propose a time-varying parameter structural vector autoregressive model to effectively capture the feedback relationship between endogenous variables during 1996Q1 to 2016Q4.The estimated results show that the monetary policy preference of quantity versus price rules targeting the leverage cycle adjusted over this period,while both monetary policies had a significant preference for targeting house prices that began during the subprime crisis.Furthermore,quantity-oriented monetary policies were more effective in controlling house prices and leverage rates.Therefore,the central bank should further strengthen the policy enforcement of quantity-oriented monetary policy targeting both the leverage cycle and asset prices,and should also activate the role of price-oriented monetary policy in deleveraging.The transmission channel by which interest rates influence asset prices through capital costs is not effective,which further restricts the role and effectiveness of price-oriented monetary policy in controlling asset prices.In addition,the parameter of price-oriented monetary policy targeting leverage has not always remained positive in the long run.Price-oriented monetary policy has only a short-term effect of regulating and controlling the two types of targets,while it lacks a long-term persistent effect.One major reason is that many policies do not have long-term coherence;another is that authorities lack guidance of people to have reasonable expectations of house prices.Therefore,ensuring that long-term policy remains consistent and cultivating people s rational expectation(even reverse expectation)of house prices are important conditions for improving the transmission effectiveness of monetary policy.Moreover,because quantity-oriented monetary policy is more effective in controlling house prices and leverage,preventing the bursting of the asset price bubble and an outbreak of systemic risk under high leverage which would endanger the real economy requires the central bank to strengthen the quantity-oriented monetary policy of targeting the two types of goals.In addition,the central bank needs to improve the price guidance function of the monetary market,which can further enhance the effectiveness of price-oriented monetary policy in influencing asset prices and the leverage cycle.This paper makes three contributions.First,we construct a partial equilibrium model of house prices and credit leverage to explain the micro-mechanism of quantity-versus price-oriented monetary policies on house price and leverage dynamics.This model can effectively identify and capture the dynamic feedback relationship between endogenous variables.Second,through backstepping from a time-varying parameter vector auto regression model,we can derive a time-varying parameter structural vector auto regression model to accurately estimate the time-varying parameters of both price-and quantity-oriented monetary policies targeting the leverage cycle and asset prices,and then analyze the strengths and evolution of monetary policy in regulating and controlling both types of targets.Third,this paper uses dynamic analysis methods to identify and investigate the targeting degree and effectiveness of both price-and quantity-oriented monetary policies on the leverage cycle and asset prices in different periods in a time-varying framework in China.Finally,we propose several constructive policy suggestions based on our conclusions,which should allow authorities to deal with deleveraging and controlling house prices in different economic stages.