实际房价的长期趋势与短期波动:基于两部门货币模型的分析
发布时间：2018-10-19 08:32
【摘要】：1998-2015年间,我国货币增发速度超过名义房价上涨速度,后者又超过了通货膨胀率。对我国狭义货币(M1)供给增长率、实际GDP和实际房价进行结构性向量自回归(SVAR)分析发现,M1增长率冲击与实际GDP冲击两者均会对实际房价产生即期为正且逐渐衰减的影响。本文通过构建一个两部门货币模型来解释上述现象。模型的理论结论是:实际房价的长期上涨趋势只受部门之间全要素生产率(TFP)增长速度差异的影响,而与货币因素无关;可持续经济增长意味着长期总体物价上涨速度一定慢于货币增发速度;M1增长率冲击、部门TFP冲击都会影响短期房价,但影响会逐渐衰减。模型数值分析的结论表明:本文至少在定性的意义上"解释"了中国M1、实际GDP以及实际房价等有关变量的短期波动行为。由此,我们还深入分析了M1和部门TFP冲击等因素对实际GDP和短期房价的影响机制。
[Abstract]:Between 1998 and 2015, China's currency issuance outpaced nominal house prices, and the latter outpaced inflation. Based on the structural vector autoregressive (SVAR) analysis of real GDP and real house price, it is found that both M1 growth rate shock and real GDP impact have a positive and gradual attenuation effect on real housing prices. This paper explains the above phenomenon by constructing a two-sector monetary model. The theoretical conclusion of the model is as follows: the long-term rising trend of real house prices is only affected by the difference of (TFP) growth rate among departments, but not by monetary factors; Sustained economic growth means that the long-term overall price rise will be slower than the increase in currency issuance; M1 growth rate shocks, sector TFP shocks will affect short-term house prices, but the impact will gradually fade. The conclusion of the model numerical analysis shows that this paper, at least qualitatively, "explains" the short-term fluctuation behavior of China's M1, actual GDP and real house prices. Therefore, we also analyze the impact mechanism of M1 and TFP impact factors on real GDP and short-term housing prices.
【作者单位】： 北京大学经济学院;
【基金】：国家自然科学基金面上项目(项目编号:71073033、71273012) 教育部哲学社会科学研究重大课题攻关项目(项目编号:12JZD036) 教育部人文社会科学青年基金项目(项目编号:14YJC790041)的资助
【分类号】：F822.2;F299.23
[Abstract]:Between 1998 and 2015, China's currency issuance outpaced nominal house prices, and the latter outpaced inflation. Based on the structural vector autoregressive (SVAR) analysis of real GDP and real house price, it is found that both M1 growth rate shock and real GDP impact have a positive and gradual attenuation effect on real housing prices. This paper explains the above phenomenon by constructing a two-sector monetary model. The theoretical conclusion of the model is as follows: the long-term rising trend of real house prices is only affected by the difference of (TFP) growth rate among departments, but not by monetary factors; Sustained economic growth means that the long-term overall price rise will be slower than the increase in currency issuance; M1 growth rate shocks, sector TFP shocks will affect short-term house prices, but the impact will gradually fade. The conclusion of the model numerical analysis shows that this paper, at least qualitatively, "explains" the short-term fluctuation behavior of China's M1, actual GDP and real house prices. Therefore, we also analyze the impact mechanism of M1 and TFP impact factors on real GDP and short-term housing prices.
【作者单位】： 北京大学经济学院;
【基金】：国家自然科学基金面上项目(项目编号:71073033、71273012) 教育部哲学社会科学研究重大课题攻关项目(项目编号:12JZD036) 教育部人文社会科学青年基金项目(项目编号:14YJC790041)的资助
【分类号】：F822.2;F299.23
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