房价失调、房价惯性与货币政策非线性反应--基于双变量区制转移模型的实证研究

House Price Misalignment,House Price Inertia and Nonlinear Response of Monetary Policy:An Empirical Study Based on a DVSTR Model

本文基于区制转移视角,采用双变量区制转移模型,通过将房价失调和房价惯性引入货币政策反应方程,实证分析了价格型货币政策工具对房价失调与房价惯性的非线性反应的区制转移效应。研究表明:价格型货币政策工具对预期房价失调与房价惯性具有间接反应,在理性预期房价失调与适应性预期房价失调方面,价格型货币政策工具更加偏向稳定适应性预期房价失调,在预期房价失调与房价惯性方面,价格型货币政策工具更加偏向稳定预期房价失调;在高区制时段,价格型货币政策工具累计调整幅度相对较高,在低区制时段,价格型货币政策工具累计调整幅度相对较低,且在房地产价格下降阶段的调整幅度大于房地产价格上涨阶段的调整幅度。整体而言,中国价格型货币政策正在由直接反应向间接反应转变,价格型货币政策工具对房地产价格的间接反应逐渐增强,且这种间接反应是非线性和非对称的,非线性反应具有显著的高区制与低区制的区制转移效应,非对称性则体现为价格型货币政策工具在房价下跌阶段的调控力度偏大,在房价上涨阶段的调控力度偏小。

This paper empirically analyzes the regime switching effects of the nonlinear responses of price-based monetary policy instruments to house price misalignment and house price inertia by introducing house price misalignment and house price inertia into the monetary policy response equation based on a regime switching perspective and using a DVSTR model.The study shows that price-based monetary policy instruments have indirect responses to expected house price misalignment and house price inertia,with price monetary policy instruments being more biased toward stabilizing adaptive expected house price misalignment in terms of rational expected house price misalignment and adaptive expected house price misalignment,and more biased toward stabilizing expected house price misalignment in terms of expected house price misalignment and house price inertia;in high regimes time periods,price-based the cumulative adjustment of price-based monetary policy instruments is relatively high in the high regimes and relatively low in the low regimes,and the adjustment is greater in the declining phase than in the rising phase of real estate prices.On the whole,China’s price-based monetary policy is changing from a direct response to an indirect response,and the indirect response of price-based monetary policy instruments to real estate prices is gradually increasing,and this indirect response is non-linear and asymmetric,with the non-linear response having a significant regime switching effect between the high and low regimes,and the asymmetry is reflected in the fact that price-based monetary policy instruments are more aggressive in the phase of falling house prices and less aggressive in the phase of rising house prices.