货币政策对住宅价格的影响研究

发布时间：2018-01-15 20:32

本文关键词：货币政策对住宅价格的影响研究　出处：《山西财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：住宅价格的剧烈波动容易引起巨大的经济风险和社会风险，为了维持房价的稳定，政府调控就显得尤为重要，货币政策作为政府调控房价的重要手段，其调控效果也被各界所关注。在张所地教授主持的国家自然科学基金项目《城市不动产动态与预期评估模型研究》的资助下，本文应用了向量自回归模型，对货币政策对住宅价格的影响作了实证研究，主要工作如下：（1）构建了货币政策影响住宅价格的指标体系本文参照周江涛，刘艳丽等学者在研究货币政策与住宅价格关系时选取的指标，并结合Case和Seko等学者在研究宏观经济与住宅价格关系时选取的指标，将宏观经济总量指标GDP引进模型，使得模型更加完善。（2）实证分析了货币政策对住宅价格的影响利用2001-2010年我国住宅价格指数与利率、货币供应量等相关变量的季度数据构建了VAR模型，并进行平稳性检验，，格兰杰因果检验，脉冲响应和方差分解分析。脉冲响应结果表明利率对住宅价格一个正的标准差会对住宅价格指数变化产生负向的影响，并在一年的时候达到最大值；货币供应量对住宅价格一个正的标准差冲击，在一至三季度内对住宅价格指数变化是正向的影响，在三至七季度是负向的影响，长期影响逐渐微弱并消失。方差分解结果表明利率和货币供应量对住宅价格的影响分别在一年时和一年半时达到最大值。实证结果表明，货币政策在短期内对住宅价格影响较大，长期还需要依靠其他调控手段来保持住宅价格的平稳。
[Abstract]:In order to maintain the stability of house prices, government regulation is particularly important, and monetary policy is an important means for the government to regulate housing prices. In the National Natural Science Foundation of China sponsored by the National Natural Science Foundation project "Urban Real Estate dynamic and prospective Evaluation Model" funding, this paper applies the vector autoregressive model. This paper makes an empirical study on the impact of monetary policy on housing prices. The main work is as follows: The index system of monetary policy influencing housing price is constructed. This article refers to Zhou Jiangtao, Liu Yanli and other scholars in the study of monetary policy and housing price relations selected indicators. Combined with the indexes selected by Case and Seko in the study of the relationship between macro economy and housing price, the macro economic aggregate index GDP is introduced into the model, which makes the model more perfect. 2) an empirical analysis of the impact of monetary policy on housing prices Using the quarterly data of China's housing price index, interest rate, money supply and other related variables from 2001-2010 to construct the VAR model, and carry on the smoothness test, Granger causality test. Impulse response and variance decomposition analysis. The results of impulse response show that a positive standard deviation of interest rate on housing price will have a negative impact on the change of housing price index and reach the maximum value in one year. A positive standard deviation impact of money supply on residential prices was positive in the first to third quarters and negative in the third to seventh quarters. The results of variance decomposition show that the effect of interest rate and money supply on housing price reaches its maximum at one year and one and a half years, respectively. Monetary policy has a great impact on housing price in the short term, and it also needs to rely on other control measures to keep housing price stable in the long run.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F293.3;F822.0;F224

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