需求结构、异质性预期和房价波动——兼论限购限贷政策与货币政策效果

Demand Structure,Heterogeneous Expectation and House Price Fluctuation:An Agent-Based New Keynesian Analysis

借鉴基于Agent计算经济模型异质性和自适应特点以及动态随机一般均衡模型的分析框架,本文构建了一个包含公众异质性预期的基于Agent的新凯恩斯(AgentBasedNewKeynesian,ABNK)模型。根据ABNK模型,本文研究了我国居民异质性住房需求对房价波动的作用机制,进一步评估限购与限贷政策的效果,测度货币政策对房价波动福利损失的调节作用。本文结果发现,我国经济中刚需型、投资型以及投机型家庭占比分别为55%、41%与4%;投机型家庭占比增加会造成房价波动幅度增大,同时增加经济的不稳定;限购政策有效果但较微弱,限贷政策无法降低房价,反而造成波动幅度轻微增加。本文模型捕捉到由于公众异质性预期和不间断学习造成的产出、消费与房价的内生性波动,纠正了预期内生性造成的估计偏误。

Based on the heterogeneity and adaptability of agent-based model(ABM)and the New Keynesian DSGE model,this paper constructs an agent-based New Keynesian model(ABNK). Based on the ABNK model,this paper studies the mechanism of housing price fluctuation caused by residents’ heterogeneous demand,and evaluates the effect of propertypurchasing limitation,and measures the regulatory effect of monetary policy on welfare loss caused by house price fluctuation. This paper designs the solution algorithm and estimation methods suitable for the ABNK model,and obtains some research conclusions:(1)From the perspective of expectation,it is found that the proportion of rigid demand,investment and speculative families in China’s economy is 55%,41% and 4% respectively.(2)Through dynamic simulation,it is found that the increase of the proportion of households with investment models will lead to large fluctuations and increase the instability of the economy.(3)The ABNK model can capture the endogenous fluctuations of output,consumption and housing prices caused by heterogeneous expectations and continuous learning of the public,and corrects the estimation bias caused by expectation endogenous.(4)The limited policy is effective but weak. The credit limit policy can not reduce the housing price,but cause a slight increase in the fluctuation range.