【作者】 段忠东；

【导师】 曾令华；

【作者基本信息】 湖南大学 ， 金融学， 2008， 博士

【摘要】 在对相关文献进行回顾和综述的基础上,本文紧紧围绕着房地产价格对货币政策体系的冲击,以及货币政策应对房地产价格波动的政策反应这一中心线索,对一系列重要的理论与实践问题展开了理论分析与实证研究。首先,笔者考察了房地产价格波动及其与宏观经济基本面的关系。基于四象限三市场静态模型与动态资产市场模型的理论分析发现,宏观经济基本面——包括经济景气状况、货币政策与建设成本等——对于均衡房地产价格的决定与波动产生重要的影响。在此基础上,笔者利用1998年-2005年中国14个大中城市的数据,运用面板数据模型实证检验了宏观经济基本面对房地产价格的解释能力。研究结果表明,不考虑房价的自相关影响时,所有宏观经济基本面对房价都具有显著的影响;考虑到房价自相关影响时,宏观基本面对房价的解释能力大大降低,相对于宏观经济基本面,房价的历史信息对本期房价的上涨具有更强的解释力;并且,在2001年以后,房价的上涨逐渐背离了经济基本面,尤其是这种背离从2003年以后进一步加剧,同时房价的正自相关影响也大大增强。这意味着房价的上涨中包含了越来越多的投资甚至投机成分。接下来,笔者开始进入到关于房地产价格波动对货币政策体系冲击的分析部分。在对房地产价格与货币政策最终目标的分析中,笔者首先从理论与实证两个角度考察了房地产价格波动对于通货膨胀与产出的影响。笔者通过一个简单的理论模型和四象限模型分析了房价波动对于物价与产出的影响,结论是:房价通过影响总需求进而对通货膨胀水平产生向上的压力,其中,房价波动对储蓄的边际影响起十分重要的作用。在理论分析的基础上,综合运用相关性分析、协整检验、脉冲响应函数和方差分解等方法检验了我国房地产价格与通货膨胀、产出的关系,实证检验的结论是:短期内,房地产价格波动对通货膨胀与产出的影响十分有限;长期来看,房地产价格对通货膨胀与产出产生重要的影响,并且,在房价与通货膨胀、产出之间存在正反馈作用机制。这意味着在一个平稳的宏观经济环境中,这种正反馈作用可能会引发经济过热和房价泡沫。其次,笔者基于文献综述的视角,考察了房地产价格波动对于金融稳定的影响。研究结果发现,资产价格的大幅度波动与信用的快速大幅度扩张相结合,是引发金融不稳定的重要原因;从引发金融不稳定的条件来看,面对资产价格的波动,良好的金融经济环境、制度环境和政策环境对于维护金融体系稳定性具有重要作用。这对于我国维护金融体系的稳定性具有重要的启示意义。价格波动对于货币供求与市场利率的影响。利用相位图分析技术,笔者证明了在一个包含房价的两市场动态化系统中,存在焦点均衡的稳态,房价对市场均衡利率的最终影响取决于房价对货币供给与货币需求之边际影响的对比,同时受货币政策环境与通胀环境的影响。进一步的理论分析发现,随着房价的高涨,房地产市场将起到扩张性货币政策效力放大器与紧缩性货币政策效力衰减器的作用,这意味着目前我国房价的上涨强化了货币信用的内生创造能力,从而削弱了紧缩性货币政策的效力。实证研究发现,我国房价的外生冲击在改变货币需求稳定性的同时,也增强了货币供给的内生性;长期中房价对市场利率具有显著的反向因果影响,这表明我国房价的高涨成为创造市场流动性的一个重要来源。其次,笔者对房地产价格与银行信贷的关系进行了理论分析与实证检验。结果发现,银行部门通过直接持有房地产资产、为房地产开发建设贷款、为居民购买房地产发放贷款、以房地产资产作为抵押物发放其他各种贷款而与房地产市场相联系。房地产价格波动通过以上四种渠道对银行信贷供给产生影响。笔者运用多变量协整分析技术对我国房地产价格影响银行信贷的效应进行实证检验。结果表明,房地产价格和银行信贷之间在长期内存在互为因果关系,房地产价格波动在短期对银行信贷发放的直接影响十分有限,主要是在长期内对银行信贷增长产生影响;而银行信贷也通过协整关系成为房地产价格短期波动的Granger原因。在对房地产价格与货币政策传导关系的分析中,笔者首先考察了房地产价格传导货币政策的理论基础与国际经验。分析结果表明,房地产价格对于货币政策能够起到一定的传导作用,但具体的影响方向与效果在很大的程度上受制度性因素的影响。在货币政策冲击对房地产市场供求以及房价的影响过程中,经济主体对于利率变动的敏感性、住房抵押贷款的可得性、抵押贷款利率结构与期限、以及交易成本等制度性因素将起到重要的作用。房地产价格对消费的影响方向与效应十分复杂。这是因为受居民居住模式结构、不同经济主体的边际消费倾向等因素的影响,房价波动对于消费的作用方向取决于各类型经济主体的比例与各自的边际消费倾向;另外,房价波动的消费效应在很大程度上受一国抵押市场发达程度、住房与抵押市场制度特征等因素的影响。从理论分析的角度看,房价对于投资的影响方向似乎比消费更为一致,即房价上涨通过托宾Q效应与信贷渠道效应导致投资增长。当然,房价对于投资的影响效应大小受房地产部门作为一个整体在国民经济中的重要性、房地产供给弹性以及一国的信用市场状况等因素的重要影响。接下来,笔者运用反事实模拟、脉冲响应函数与方差分解、协整分析与面板数据模型等计量分析方法,实证检验了我国房价波动对货币政策的传导。对我国货币政策冲击对房地产价格影响的实证研究发现,紧缩性货币政策冲击导致房地产价格的下降,而扩张性政策冲击将导致房地产价格的上涨。并且,相对于利率型货币政策,房地产价格对于货币信贷型货币政策的冲击具有更高的敏感程度。运用反事实模拟技术实证检验我国房价波动对居民消费的影响,结果发现,我国房价上涨在中长期对居民消费产生了轻微的负向影响。基于全国总量数据的协整分析结果也是与反事实模拟的结果一致的。但是,与上述检验结果相反,基于14个城市数据的面板模型检验结果却发现,在大中城市,房价上涨对消费产生了微弱的正向影响。总的来看,我国房地产市场波动通过影响消费对于货币政策的传导效率还比较低下。对于我国房价波动的投资效应进行实证研究,结果发现,我国房价的上涨对固定资产投资与房地产投资都起到了重要的推动作用,并且是投资增长的重要解释原因。因此,在我国房价对货币政策的传导渠道中,房价波动通过影响投资进而对货币政策具有较高的传导效率。最后,笔者探讨了应对房地产价格波动的货币政策反应与调控。首先,笔者基于文献综述的视角,回顾了相关理论与实证研究的前沿。结果发现,由于货币政策当局在决定对房地产价格波动作出反应时还面临着一系列的不确定性和风险,正确的选择可能是一种中性的货币政策反应:即事前积极反应与事后适应性反应在某种程度上的融汇与结合。货币政策与金融监管应该积极协调与配合,同时,货币政策可以更多地运用房地产信贷政策调控房地产市场的供需状况,从而更为有效地抑制房价过大波动。随后,笔者回顾了我国货币政策调控房价的历史实践,针对我国中央银行如何对房价波动进行反应和调控,笔者提出的政策建议包括:一、我国中央银行应该运用中性的货币政策反应方式,在追求物价与产出稳定目标的同时,在一定条件下,对房价波动作出积极灵活的反应;二、在运用货币政策工具对宏观经济进行调控时,货币当局应该充分考虑到房地产市场高涨或萧条对货币政策效力的冲击和影响,积极采用相应的政策措施抵消房地产市场对货币政策效力产生的消极影响;三、在设定货币政策时,货币政策当局应该充分考虑到房地产市场对货币政策的传导作用,尽量避免或抵消房价上涨对消费与投资产生的负面消极作用。四、在对房地产价格进行调控时,货币当局与监管当局应该积极协调与配合,货币政策应该充分运用房地产信贷政策等选择性货币政策工具。更多还原

【Abstract】 Basing on the review and the summary of the related literature, this article is closely revolving the impact of the real estate price to the monetary policy system, as well as the center clue of the response of the monetary policy to the real estate price fluctuations ,and a series of important theories and the practice question is spreaded in theoretical analysis and the empirical study.Firstly, the author inspects the relations between the real estate price fluctuations and the macro economic fundamental plane. the thesis using data of real estate price and macroeconomic fundamentals in China’14 cites for 1998-2005,and empirically testing the explanatory power of fundamental on real estate price。The results are as follows:as far as the house price self-correlation considered,the explanatory power of macroeconomic fundamentals are reduced significantly,and compared with the macroeconomic fundamentals,the history information of house price can further more strongly explain the current house price;In addition,house price inflation has gradually deviated from macroeconomic fundamentals since 2001,especially this trend became even more aggravating since 2003,and the self-correlation of house price greatly enhanced。This also imply that the house price inflation contains more and more investment、even speculative composition。Then, the author starts to analyse the impact of the real estate price fluctuations on the monetary policy system. In the analysis of the real estate price and ultimate objective of the monetary policy, the author first inspected the impact of the real estate price fluctuations to the inflation and the output from the theory and the demonstration angles. With theory model,this thesis analyses the mechanism house prices affecting inflation and output,the conclusion is:house prices exert ascending pressure to inflation through aggregate demand,and the marginal impact of house price bring to saving is very important。Based on this,author tests the relationship among house prices、inflation and output with methods such as correlation analysis、co-integrate test。The conclusion of empirical test is :the effects house prices bring to inflation and output is very limited in short term;but in the long term,the effect is very significant,and there exist positive feedback mechanism among house prices、inflation and output。This means that such mechanism will bring about economic overheating and house price bubbles in a stable macro-economy environment。Next, the author inspected the impact of the real estate price fluctuations to the financial stability based on the the angle of view of the summarizes literature.The findings discovered that the large scale fluctuation of the property price and the credit fast large scale expansion unifies, which were the substantial clause of initiating the financial unstable; In terms of conditions that cause financial instability,facing with asset price volatility , good financial and economic environment、institutional environment and policy environment are very important protecting financial system stability。This has important enlightenment significance to the financial stability of our country.To the analysis of relations between the real estate price and the monetary policy intermediate target, the author first inspected impact of the the real estate price fluctuations to the currency supply and demand and the market rate. With phase graph,the author proves stable state of focus equilibrium existing in a dynamical system of two markets including house price,and the final effects house price exerting on market equilibrium interest rate depends on the comparison between marginal impact house price exerts on money supply with money demand。Theoretical analysis showed that with house price inflation,real estate market will act as a amplifier of the efficacy of expansionary monetary policy,and will play a attenuator role to the efficacy of tight monetary policy,which means house price inflation strengthening the endogenous creation capability of money supply and accordingly weakening the efficacy of tight monetary policy。Empirical research shows that the exogenous shocks of house price changes the stability of money demand,simultaneously strengthens endogeneity of money supply in China;House price has a reverse direction Granger effect on market interest rates in long-term,which shows that house price inflation becomes a important cause of fluidity surplus in China。Next, the author has carried on a theoretical analysis and empirical examination to the relationship between the real estate price and bank credit. The result discovered that the banking sector arises relations with the real estate market through holding the real estate property, making the property development construction loan, providing loan and providing other each kind of loan with the real estate property directly as the pawn. The real estate price fluctuations have the influence through the above four kind of channels on the bank credit supplies. this thesis empirically studies the effection which the real estate price exerts on bank lending with multi-variable Co-integration methodology。The result is as follows:real estate price and bank lending take on mutual cause and effect ;the direct effection real estate price has on bank loan is very limitied,it mainly influnences bank lending in a long run;and bank lending becomes to be the Granger cause of Short-term Fluctuation of real estate price。To the analysis of the relations between the real estate price and the monetary policy conduction , the author first inspected the rationale and the international experience of the real estate price conduction monetary policy. The analysis result indicated that the real estate price can play certain translocation regarding the monetary policy, but the concrete influence direction and effect is greatly enslaved to institutional factor. In impact of the monetary policy shocks to the real estate market supply and demand as well as in the house price influence process, the sensitivity of the economic subject to the change of the interest rate, the acquirability of the home mortgage loan , the rate structure and the deadline of the mortgage loan, as well as transaction cost and so on institutional factors would play an important function. The influence direction and the effect of the real estate price to consumption is very complex. It because that the opposite function of the real estate price flunction to the consumption lied on the proportion of the various types economic subject and the respective boundary expense tendency; Moreover, the consumption effect of the house price is influenced by the developed degree of a country mortgage market, the characteristic of the housing and mortgage market system and so on. Looked from the angle of the theoretical analysis, it is belived the direction of the influence of the house price is more consistent than the consumption regarding to the investment, namely the rising of the house price through a more higher effect of the Tobin Q and the credit channel effect ,which causes the growth of the investment. Certainly, the size of the influence of the house price to the investment lied on the importance of the real estate department in the national economy as a whole, the supply elasticity of the real estate as well as the status of the credit market and so on.Then, the author utilized the counter-fact simulation, the pulse response function, variance decomposes, the Co-integration analysis and the panel data model and so on ,the empirically examined the conduction of the real estate price flunction to the monetary policy .The empirical study about the shocks of our monetary policy to the real estate flunction discovered that, the shock of the constrictive monetary policy causes the real estate price to drop, but the expanding policy would cause the real estate price to rise. Moreover, the real estate price has a higher sensitive degree regarding the shock of currency credit monetary policy relative to the interest rate monetary policy. The thesis empirically examines the effect which house price fluctuation has on the resident consumption with the counter-factual simulation technique ,which discovered the rise of the house price brought a slight negative influence to the resident consumption.The result of Co-integration analysis and the counter-fact simulation also was consistent based on the nation aggregate data.However, being opposite with the above result, it actually discovered that the rise of the house price has had a weak positive influence on the consumption in the big or media-sized cities based on the panel data model with data of 14 urban cities. Generally speaking, the conduction efficiency of the real estate market fluctuation to the monetary policy,which through the consumption is also quite low.Through the empirical study on the investment effect that the real estate price flunction has , it discovered that the house price inflation plays an important part in the investment growth of the fixed assets and the real estate in short term , moreover, is an important explaination reason of investment growth. Therefore, in the conduction channel of the house price to the monetary policy in our country, the house price fluctuation then has the high conduction efficiency through the investment to the monetary policy.Finally, the author discussed the monetary policy response and the regulation to deal with the real estate price fluctuation. Firstly, the author reviewed the correlate theories and the empirical study based on the angle of view of the literature summarizes. The result discovered that the correct choice possibly is one kind of neutral monetary policy responded because the monetary policy authority makes reaction time to the real estate price fluctuation is still facing a series of uncertainty and risk: Namely a certain extent compatibility of the aggressive reaction and the afterward adaptive responding. The monetary policy and the financial supervision should be positively coordinated and the coordination, simultaneously, the monetary policy may regulate the supply and demand status of the real estate market by utilizing the real estate credit policy, thus it can effectively suppresses the house price oversized fluctuation.Afterward, the author reviewed the historical practice which the monetary policy regulated the house price, aim at how to carry on the response and the regulation in view of our country Central Bank to the house price fluctuation, the policy which the author proposed suggests to include: Firstly, the Central Bank should utilize the response way of the neutral monetary policy, during the pursuing the goal of the price and the output, under the controlled condition, make the positive nimble response to the house price fluctuation; Secondly, when carries on the regulation by using the monetary policy tool to the macro economic, the currency authority should consider fully the impact of the real estate market surges upward or the depression to the monetary policy effectivity, use actively the corresponding special operational policy measures to counteract the the negative effect which the real estate market produces to the monetary policy effectivity; Thirdly, when establishes the monetary policy, the monetary policy authority should consider fully the conduction function of the real estate market to monetary policy, avoiding or counteracting the negative influence which the rise of the house price produces to the investment. Fourthly, when carries on the regulation to the real estate price, the currency authority and the regulatory authority should positively coordinate, the monetary policy should utilize selective monetary policy tools such as the real estate credit policy and so on.更多还原