中国房地产市场波动研究--基于贝叶斯估计的两部门DSGE模型  

Research on the Fluctuations of Housing Market in China

作　　者：王云清[1] 朱启贵[1] 谈正达[2] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]中国金融期货交易所,上海200012

出　　处：《金融研究》2013年第3期101-113,共13页Journal of Financial Research

摘　　要：本文构建了一个包含商业和房地产两个部门的新凯恩斯主义DSGE模型,运用贝叶斯估计模型的参数,考察了中国房地产价格和产量(数量)波动的机制。结果显示:(1)货币政策、房地产需求偏好、房地产部门技术、房地产部门工资加成的冲击能够解释大部分房价波动,其中,货币政策冲击能够解释约60%,可见货币政策是我国房地产价格波动的主要来源;(2)房地产部门技术、房地产部门工资加成、货币政策的冲击能够解释约95%房地产产量波动;(3)证明了中国最优货币政策的制定可以采用温和地盯住房地产价格波动的方式。This paper develops a New - Keynesian DSGE of a two - sector model that describes the price and quantity side of the China＇s housing market, using Bayesian method to estimate model parameters. The results displays the following features： first, monetary policy shocks, housing preference shocks, technological shocks in housing sector and wage mark - up shocks account for a large fraction of the fluctuations in house prices, and moreover, monetary policy itself can illustrate about 60 percent, which is the most main sources of the fluctuations in house prices; second, technological shocks in housing sector, wage mark -up shoeks and monetary policy account for about 95 percent of the fluctuations in house quantity; third, the optimal monetary policy in China mildly pegs volatility of housing prices.

关 键 词：房地产市场 货币政策 贝叶斯估计 

分 类 号：F293.3[经济管理—国民经济] F224