货币政策对房地产价格的影响研究——基于预期与非预期视角的分析

Research on the Impact of Monetary Policy on Real Estate Price ——Based on the Analysis of Expected and Unexpected Perspectives

利用2000年1月至2018年12月的月度数据为样本,基于ARIMA模型将货币供应量、利率以及外汇占款分解为预期与非预期两个成分,借助VAR模型、脉冲响应分析以及方差分解方法,分别研究其总量、预期成分与非预期成分对房地产价格的影响并比较其差异。结果表明:首先,三个变量的预期成分与非预期成分均对房地产价格产生显著影响,但是非预期成分易引起房地产价格波动;其次,货币供应量和利率对房地产价格的影响基本是单向影响,而外汇占款与房地产价格具有相互影响的效应;再次,相比于货币供应量,房地产价格对利率的反应更敏感。因此,央行实施货币政策要考虑房地产价格的变化与市场预期因素,通过利率来调控房地产价格以及密切关注外汇占款的变动情况。

The sample was obtained by using monthly data from January 2000 to December 2018.Based on the ARIMA model,the money supply,interest rate and foreign exchange account are decomposed into expected and unexpected components.The VAR model,impulse response analysis and variance decomposition method are used to study the impact of total,expected and unexpected components to the real estate price,and compare the differences.The results show that:Firstly,the expected and unexpected components of the three variables have a significant impact on real estate prices,but the unintended components are likely to cause real estate price fluctuations.Secondly,the impact of money supply and interest rates on real estate prices is basically a one-way impact,while foreign exchange holdings and real estate prices have an interactive effect.Thirdly,the real estate prices are more sensitive to interest rate than money supply.Therefore,the central bank’s implementation of monetary policy should consider the changes in real estate prices and market expectations,regulate real estate prices by interest rates,and pay close attention to changes in foreign exchange holdings.