我国货币政策资产价格传导渠道的非对称性研究

发布时间：2018-11-16 14:41

【摘要】：本文把资产价格传导渠道分解为两条传导路径来验证资产价格传导渠道的非对称性,分别构建了一个经济体的结构后视模型与包含城镇消费、收入以及资产价格的均衡模型,并纳入通胀预期变量。在此基础上采取季度数据,通过SVAR模型与马尔科夫区制转换下的脉冲响应模型对我国货币政策资产价格传导的非对称性进行实证分析,并且运用状态空间模型等方法对不同资产的边际消费倾向时变特征进行了刻画。实证结果表明：第一、货币政策利率传导机制对股价的影响要远远大于对房价的影响,对股价对利率传导的负响应集中在-0.03与-0.0033之间,而房价对利率传导的负响应集中在-0.00159与-0.0002之间,第房地产市场对实体经济的促进作用不明显,自身存在泡沫成分,第三、货币政策对资产价格传导在不同通胀区制下同样具有非对称性。第四、房地产在短期具有较强的正向财富效应,但在长期具有减弱的趋势。股票资产在短期具有财富效应,但长期财富效应消失。第五、不同资产的财富效应具有非对称性,房地产的财富效应要远远大于股票资产,因此,本文认为,货币政策对资产价格应该有保有压,对房地产市场应该采取关注而不是盯住的政策,顺畅货币政策的利率传导渠道,为公租房与廉租房建设要提供融资平台,提高股票市场的“晴雨表”作用,增加城镇居民资产性收入,带动全社会消费。
[Abstract]:In this paper, the asset price transmission channel is decomposed into two transmission paths to verify the asymmetry of the asset price transmission channel, and the structural afterlooking model and the equilibrium model including urban consumption, income and asset price are constructed respectively. And the inflation expectation variable is included. On the basis of the quarterly data, this paper makes an empirical analysis of the asymmetry of monetary policy asset price conduction in China by using the SVAR model and the impulse response model under the Markov region system transformation. The time-varying characteristics of marginal propensity to consume of different assets are described by using state-space model. The empirical results show that: first, the monetary policy interest rate transmission mechanism has a much greater impact on the stock price than on the housing price, and the negative response to the interest rate transmission of the stock price is concentrated in the range of -0.03 and-0.0033. The negative response of house prices to interest rate conduction is concentrated between-0.00159 and-0.0002. The promotion of real estate market to the real economy is not obvious, and there is a bubble component in the real estate market itself. Third, Monetary policy has asymmetry in asset price transmission under different inflation zones. Fourth, real estate has a strong positive wealth effect in the short term, but a weakening trend in the long run. Stock assets have a short-term wealth effect, but long-term wealth effects disappear. Fifth, the wealth effect of different assets is asymmetric, and the wealth effect of real estate is far greater than that of stock assets. Therefore, this paper argues that monetary policy should have a pressure on asset prices. We should pay attention to the real estate market instead of a fixed policy, smooth the channel of interest rate transmission of monetary policy, provide a financing platform for the construction of public rental housing and low-rent housing, and enhance the "barometer" role of the stock market. We will increase the asset income of urban residents and promote social consumption.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F293.3;F832.51;F822.0;F224

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