实际房价的长期趋势与短期波动:基于两部门货币模型的分析  

Real Housing Price in A Monetary Multi-sector Model

作　　者：陈仪[1] 张鹏飞[1] 

机构地区：[1]北京大学经济学院

出　　处：《浙江社会科学》2016年第11期4-17,27,共15页Zhejiang Social Sciences

基　　金：国家自然科学基金面上项目(项目编号:71073033;71273012);教育部哲学社会科学研究重大课题攻关项目(项目编号:12JZD036);教育部人文社会科学青年基金项目(项目编号:14YJC790041)的资助

摘　　要：1998-2015年间,我国货币增发速度超过名义房价上涨速度,后者又超过了通货膨胀率。对我国狭义货币(M1)供给增长率、实际GDP和实际房价进行结构性向量自回归(SVAR)分析发现,M1增长率冲击与实际GDP冲击两者均会对实际房价产生即期为正且逐渐衰减的影响。本文通过构建一个两部门货币模型来解释上述现象。模型的理论结论是:实际房价的长期上涨趋势只受部门之间全要素生产率(TFP)增长速度差异的影响,而与货币因素无关;可持续经济增长意味着长期总体物价上涨速度一定慢于货币增发速度;M1增长率冲击、部门TFP冲击都会影响短期房价,但影响会逐渐衰减。模型数值分析的结论表明:本文至少在定性的意义上"解释"了中国M1、实际GDP以及实际房价等有关变量的短期波动行为。由此,我们还深入分析了M1和部门TFP冲击等因素对实际GDP和短期房价的影响机制。From 1998 to 2015, the yoy growth rates of narrowly defined money(M1), nominal housing price and CPI in China were 13.87%, 6.85% and 1.87%, respectively. That nominal housing price grew at a faster rate than CPI implies that the real housing price was growing over time. Moreover, as shown by the SVAR evidence we provide, a shock to either money supply or real GDP tended to have a positive, persistent impact on the real housing price in China. We build a monetary two-sector DSGE model to rationalize these empirical findings. Our model predicts that as long as TFPs of both sectors keep growing and TFP of the manufacturing sector grows faster than that of the housing sector, which undoubtedly holds for China,then in the long run nominal housing price would grow faster than CPI and slower than M1. We also parameterize the model to generate impulse responses of the real housing price to monetary and productivity shocks.The theoretical impulse responses are close to those obtained from Chinese data.

关 键 词：实际房价 全要素生产率 货币政策 两部门模型 

分 类 号：F822.2[经济管理—财政学] F299.23