基于VAR模型的货币政策对房价影响的研究

发布时间：2018-05-01 17:24

本文选题：货币政策 + 房价　；参考：《大连理工大学》2014年硕士论文

【摘要】：房地产业自改革以来不仅自身蓬勃发展,作为国民经济的支柱产业,也促进了中国经济的增长。虽然房地产业带来了可观的经济效益,但近年来,房地产价格持续快速增长,也带来了严重的社会问题。目前,房价已经成为全国人民关注的焦点话题,如何抑制房地产价格的快速增长也是国家调控宏观经济的重要内容。货币政策是影响房地产业发展的一项重要因素,为了维护房地产市场的稳定性,中央银行多次调整存贷款利率和货币供应量,以此来对房价进行宏观调控。因此,在现阶段研究货币政策对房价的影响具有很重要的意义,可以为国家制定相关政策提供一定的参考价值。本文通过文献研究发现,VAR模型作为一种动态模型,主要通过实际经济数据而非经济理论来确定经济系统的动态结构,逐渐替代了以理论为导向构建的经典计量经济模型,在利用时间序列数据预测宏观经济变量相互关系中得到了广泛的应用,在此利用向量自回归模型,对货币政策与房价的关系进行具体分析。本文在总结国内外学者对货币政策影响房地产价格的研究和我国对房地产市场实施的货币政策的基础上,从微观经济学的供需理论出发,分析货币政策与房价的关系。根据我国货币政策对房价影响的传导渠道,选取利率和货币供应量作为本文研究的货币政策指标,构建货币政策与房价关系的研究体系。以辽宁省为例,搜集了2003至2013年的季度数据,利用EVIEWS7.0软件建立了5年以上贷款利率、货币供应量、城镇居民可支配收入和房屋销售价格的向量自回归(VAR)模型,进行实证研究。在对VAR模型的分析中,通过脉冲响应函数确定各指标对房地产价格的影响,通过方差分解方法比较各指标对房地产价格影响的贡献率。通过研究发现,5年以上贷款利率对房价存在正向影响,但是这种影响比较微弱；货币供应量对房价具有长期的正向作用；居民可支配收入对于房价同样具有长期正向作用,并且前期波动较大。对房价影响贡献度最大的是居民可支配收入,其次是货币供应量,5年以上贷款利率的贡献度最小。以上结论可以证明,降低货币供应量的供给,可以降低辽宁省房价,货币供应量调控是有效的；5年以上贷款利率对辽宁省房价有微弱的正向作用,采取加息政策,房价仍然会上涨,调控基本失效。
[Abstract]:The real estate industry has not only developed vigorously since the reform, but also promoted China's economic growth as a pillar industry of the national economy. Although the real estate industry has brought considerable economic benefits, in recent years, the real estate prices continue to grow rapidly, but also bring serious social problems. At present, housing prices have become the focus of attention of the people in the country, how to restrain the rapid growth of real estate prices is also an important part of national macroeconomic control. Monetary policy is an important factor that affects the development of real estate industry. In order to maintain the stability of real estate market, the central bank adjusts the interest rate of deposit and loan and the money supply many times to carry on the macro-control to the house price. Therefore, it is of great significance to study the influence of monetary policy on house price at the present stage, which can provide a certain reference value for the country to formulate relevant policies. This paper finds that the VAR model, as a dynamic model, mainly determines the dynamic structure of the economic system through the actual economic data rather than the economic theory, and gradually replaces the classical econometric model based on the theory. It is widely used to predict the relationship between macroeconomic variables using time series data. In this paper, the relationship between monetary policy and house price is analyzed by using vector autoregressive model. On the basis of summing up the domestic and foreign scholars' research on the influence of monetary policy on real estate prices and the monetary policies implemented in China's real estate market, this paper analyzes the relationship between monetary policy and house prices from the point of view of the theory of supply and demand of microeconomics. According to the transmission channel of the influence of monetary policy on house price in our country, interest rate and money supply are selected as the monetary policy indexes of this paper, and the research system of the relationship between monetary policy and house price is constructed. Taking Liaoning Province as an example, the quarterly data from 2003 to 2013 are collected, and the vector autoregressive regression model of loan interest rate, money supply, disposable income of urban residents and housing sales price is established by using EVIEWS7.0 software to carry out empirical research. In the analysis of VAR model, the impact of each index on real estate price is determined by impulse response function, and the contribution rate of each index to real estate price is compared by variance decomposition method. Through the study, it is found that there is a positive effect on housing prices by the interest rate of loans for more than 5 years, but this effect is weak; money supply has a long-term positive effect on house prices; the disposable income of residents also has a long-term positive effect on housing prices. And the early period fluctuates greatly. The most important contribution to housing price is the disposable income of residents, followed by money supply, and the contribution of interest rate of loans over 5 years is the least. The above conclusions can prove that reducing the supply of money supply can reduce the housing prices in Liaoning Province, and the money supply control is effective; the loan interest rate for more than five years has a weak positive effect on the housing prices in Liaoning Province, and the policy of raising interest rates is adopted. Housing prices will still rise, regulation and control is basically ineffective.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F299.23;F224

【参考文献】