房地产价格波动、货币政策与中国经济波动

发布时间：2017-12-31 18:05

本文关键词：房地产价格波动、货币政策与中国经济波动　出处：《华中科技大学》2013年博士论文　论文类型：学位论文

【摘要】：本文主要的研究目的是采用理论与经验研究相结合的办法考察房地产价格波动、货币政策与中国经济波动之间的关系。基于这一研究目的,本文首先构建了一个包含房地产市场和普通消费品市场等两个市场的新凯恩斯主义随机动态一般均衡模型,并基于国内外关于中国经济的理论与经验研究中获得的结构性参数对本文多部门新凯恩斯主义模型进行了校准。在校准的基础上,本文考察了外生技术冲击、偏好冲击、货币政策冲击以及短暂的一次性房价加成冲击对于普通消费品产出、住宅产出、通货膨胀、住宅通胀、实际工资与失业等变量的影响。本文发现相对于技术冲击与偏好冲击,货币政策冲击和一次性房价加成冲击对于产出、就业、通胀以及房价通胀等主要宏观经济变量具有更大且持续性更长的效应。这一结论意味着货币政策对于稳定房地产市场价格波动可能具有重要的作用,政府可以采用相应的货币政策稳定房价进而稳定宏观经济；政府可以尝试通过对房价加成的控制来达到抑制房地产市场“非理性繁荣”现象,进而实现稳定房地产市场和稳定宏观经济的目的；而房价加成来源于房地产市场的垄断势力,因此,这一结论意味着打破房地产市场上的垄断势力将有利于稳定房价,进而有助于稳定宏观经济。在模型理论对于外生冲击影响房价、货币政策以及宏观经济稳定等变量的传导机制的分析的基础上,本文进一步采用多元ARCH模型和多元GARCH模型对中国现实中房价波动、广义货币供给增长率、经济周期性波动等变量的特征以及三者之间的互动性特征进行了考察。研究的结果发现房地产交易价格指数与广义货币供给增长率、GDP增长率等变量之间存在较好的互动性关系。为了更好地了解外生冲击对于现实中国房价波动、经济增长率波动以及广义货币供给增长率等变量的冲击性效应,本文构建了一个包含以上变量的三变量向量自回归模型,并求解外生冲击的脉冲响应函数和进行方差分解。研究的结果发现房地产交易价格指数冲击不利于中国经济增长,而广义货币供给增长率冲击对于中国经济增长存在较小的显著作用,广义货币供给增长率冲击显著性推动了房地产交易价格指数的上升。由于向量自回归模型的缺陷以及货币政策传导机制本身的原因,本文采用贝叶斯方法对本文的向量自回归模型重新进行了估计。研究的结果发现贝叶斯向量自回归模型贝叶斯脉冲响应函数反映的变量之间相互作用机制与向量自回归模型的脉冲响应函数之间存在一定的差异,原因在于贝叶斯方法更加科学地将货币政策的决策过程看做是一个“贝叶斯决策过程”。本文的贝叶斯脉冲响应函数分析显示出房价冲击最开始推动了经济增长但房价持续上涨的结果反而降低了经济增长；广义货币供给的持续增加是造成房价不断上升的主要推手之一。在以上理论模型研究与经验估计的基础之上,本文认为中国持续的宽松货币政策导致了房价不断攀升,而房价攀升将导致经济增长的波动甚至有可能在将来阻碍中国经济的持续增长。基于这一分析,本文认为通过制度改革、降低房地产市场垄断程度；完善房地产市场监管法律法规、对空置住宅征收高额管理费用；转变观念、坚持对房地产市场调控的政策原则不动摇；通过严格盯住通货膨胀的货币政策规则来实现稳定的货币供给,进而实现房价的稳定或控制在社会可以承受的范围内。这一切将有利于实现我国经济的稳定和持续增长。
[Abstract]:The main purpose of this study is to examine the real estate price fluctuation by theoretical and empirical research method of combining, the relationship between monetary policy and Chinese economic fluctuation. Based on this aim, this paper constructs the new Keynes doctrine of stochastic dynamic general equilibrium model with a real estate market and consumer goods markets two market and, based on the structural parameters obtained at home and abroad on the China economic theory and empirical study in the calibration of the multi sector model. In this paper a new Keynes doctrine on the basis of calibration, this paper examines the impact of exogenous technology shocks, preferences, monetary policy shocks and price markup shocks disposable short for ordinary consumer goods output. Residential housing output, inflation, inflation, real wage and unemployment variables. This paper found that compared to the technology shock and the preference shock, goods The impact of monetary policy and price markup shocks for one-time output, employment, inflation and price inflation and other major macroeconomic variables have a greater effect and sustained longer. This conclusion means that monetary policy may play an important role in stabilizing the price volatility of real estate market, the government can use monetary policy to stabilize prices and the corresponding stability macro economy; government can try to control prices plus to suppress the real estate market "irrational exuberance" phenomenon, so as to realize the stability of the real estate market and macroeconomic stabilization purposes; while the price bonus from the real estate market monopoly power, therefore, this conclusion means that the real estate market break the monopoly power will be conducive to the stability of prices, and then contribute to macroeconomic stability.
In model theory for the exogenous shocks affect prices, based on Mechanism of stable monetary policy and macroeconomic variables on the further multivariate ARCH model and multivariate GARCH model to price fluctuations China reality, broad money supply growth rate, the characteristics of interaction between the characteristics of economic cyclical fluctuation variables and three who was also studied. The results showed that the real estate price index and the broad money supply growth rate, there are interactive relationship between high GDP growth rate.
In order to better understand the external impact for real price fluctuations Chinese impact effect, the fluctuation of economic growth rate and the broad money supply growth rate, this paper constructs a vector that contains more than three variable variable auto regression model, impulse response function and variance decomposition for solving exogenous shocks. The research results show that the real estate the transaction price index impact Chinese is not conducive to the economic growth, and the broad money supply growth rate on the impact of significant effects of Chinese economic growth, the broad money supply growth rate shocks significantly push up the real estate transaction price index.
Due to the vector auto regression model and the defects of the transmission mechanism of monetary policy itself, this paper uses the Bias method of the vector autoregressive model to estimate. The research results show that the Bias Bias vector auto regression model impulse response differences between the function reflect the interaction mechanism with variable vector auto regression model impulse response function, reason is that the Bias method more scientific decision-making process of monetary policy as a Bias decision process. The Bias pulse response function analysis showed that the impact of the housing prices began to promote economic growth but prices continued to rise the result of reduced economic growth; increasing the broad money supply is caused one of the main drivers of rising prices.
In the above theory research foundation and empirical model estimation, this paper thinks that loose monetary policy continued Chinese led to prices rising, and rising prices will lead to the fluctuation of economic growth in the future may even hinder the sustained growth of Chinese economy. This analysis is based on the reform of the system, reduce the real estate market monopoly the degree of the real estate market; improving the regulatory laws and regulations, impose high management costs of vacant residential; change the concept, unswervingly adhere to the principle of policy regulation of the real estate market; monetary policy on inflation through strict rules to achieve a stable supply of money, thus achieving price stability or control in socially acceptable range. All this will be conducive to the realization of China's economic stability and sustained growth.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F299.23;F822.0;F124.8

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