房价、通货膨胀与货币政策绩效

Housing Prices, Inflation and Monetary Policy Performance

综合运用协整理论、向量误差修正模型、脉冲响应函数以及方差分解技术,考察了2005年8月至2019年6月期间,我国货币当局运用数量型工具和价格型工具对房价和通货膨胀进行调控的效果以及房价与通货膨胀之间的交互影响。经验结果显示,从长期均衡关系来看,各政策工具均能在方向上实现对房价的调控,其中汇率的调控力度最大,货币供应量次之,而贷款和利率的作用相对较小,且房价与通货膨胀之间存在正向反馈机制;从短期动态关系来看,经济系统对短期波动存在自动纠正机制,房价对货币供应量和汇率的冲击响应最强,同时二者对房价变动的贡献也是最大的,而利率的影响最小,房价对通货膨胀的短期影响尤为明显。此外,基于稳健性检验结果,以上经验结论得到了进一步支持。

Using co-integration test,vector error correction model,impulse response function and variance decomposition technique,this paper investigates the effect of quantity tools and price tools on housing price and inflation and the interaction between housing price and inflation in China from August 2005 to June 2019.Empirical results show:Firstly,from the perspective of long-term equilibrium,the policy tools can achieve the regulation of housing price in the direction,and the effect of exchange rate is the largest,the money supply takes second place,the loan and interest rate are relatively small.Besides,there is a positive feedback mechanism between housing price and inflation.Secondly,from the perspective of short-term dynamics,the economic system has an automatic correction mechanism for short-term fluctuations,and the response of housing price to monetary supply and exchange rate is not only the strongest,but also the two is the biggest contribution to the fluctuation of housing price,the impact of interest rates is the lowest,and the short-term impact of housing price on inflation is particularly marked.In addition,the above empirical conclusions are further supported by robustness test.