基于SVAR的中国货币政策的房价传导机制  

Transmission Mechanism of Monetary Policy on Real Estate Prices in China Based on SVAR

作　　者：黄飞雪[1] 王云[1] 

机构地区：[1]大连理工大学经济系,辽宁大连116024

出　　处：《当代经济科学》2010年第3期26-35,共10页Modern Economic Science

基　　金：教育部人文社会科学研究项目基金资助(09YJC790025);大连理工大学软件+X研究基金(DUT842301)

摘　　要：本文采用2005年7月到2009年9月宏观经济数据构建SVAR模型,分别从货币供给的利率传导机制,现金余额效应,汇率传导机制以及房地产价格对货币供给的反馈机制四个角度进行实证分析,发现:货币量的增加和汇率上升都会带来房价的大幅上涨,而利率提高所带来的房价下降程度很小,房价的上涨会引起物价和消费上涨。结论:当今房地产市场中,存在着货币政策的房价传导机制,其中利率机制对房价影响较小;在汇率机制传导过程中,中央银行为了稳定币值和升值预期引起的国际资本流入导致货币供应量被动增加,从而直接导致了房地产价格上涨。因此提出货币政策应当关注房地产价格,既要防止形成房地产价格泡沫,又要避免温水煮青蛙。This paper conducts an empirical analysis on the effect of monetary supply on interest rate,on cash balance effect,exchange rate effect and monetary policy on real estate prices based on data through 2005-2009.We find that increase in monetary supply and exchange rate would cause sharp increase in real estate prices,while increase in interest rate would result in very limited decrease in real estate prices.We conclude that monetary policy has transmission effect to real estate prices while interest rate has insignificant effect on real estate price,that foreign exchange rate directly cause increase in real estate due to an inflow of international capital in the expect of appreciation of RMB.

关 键 词：结构向量自回归模型(SVAR) 短期冲击 房价传导机制 财富效应 

分 类 号：F822.0[经济管理—财政学]