货币政策对资产价格的冲击及资产价格联动——基于中国股票市场和房地产市场的实证分析

The Impact of Monetary Policy on Asset Prices and the Linkage Effect of Asset Prices——Based on the Empirical Analysis of China’s Stock Market and Real Estate Market

在稳健货币政策和强调资产价格有效调控背景下,本文采用非线性Granger检验和时变参数向量自回归(TVP-VAR)模型,分析了货币政策对资产价格、资产价格之间的动态传导机制以及多时点冲击效应。研究结果表明,(1)不同货币政策对不同资产价格的影响程度和持续时间明显不同。其中,利率对资产价格的传导机制存在一定滞后性,且当资产价格处于繁荣期时,利率变动对股价的影响表现出与理论相反的特征。(2)货币政策冲击下,资产价格之间表现出"跷跷板"效应,且具有滞后性和明显的非对称特征。为此,货币政策应持续关注资产价格变动以及二者的联动效应,在结合金融经济状态变化和宏观审慎政策的基础上,对资产价格进行差异化、动态化调控,把握好货币政策操作的方向和力度,以维护资本市场和宏观经济环境的稳定。

In the context of stable monetary policy and emphasis on effective asset price control,this paper uses a nonlinear Granger test and a time-varying parameter vector autoregressive(TVP-VAR) model to analyze the dynamic transmission mechanism between monetary policy and asset prices, as well as multi-time impact effect.The research results show that(1) the degree and duration of different monetary policies on different asset prices arc significantly different.Among them,there is a certain lag in the transmission mechanism of interest rates to asset prices, and when asset prices are in a boom period,the impact of interest rate changes on stock prices exhibits characteristics contrary to theory.(2) Under the impact of monetary policy, asset prices show a "seesaw" effect,with lagging and obvious asymmetric characteristics.To this end,monetary policy should continue to pay attention to changes in asset prices and the linkage effect of the two,and on the basis of combining changes in financial and economic conditions and macro-prudential policies, differentiate and dynamically regulate asset prices and grasp the direction of monetary policy operations and efforts to maintain the stability of the capital market and the macroeconomic environment.