利率扭曲、房产价格与汇率波动

发布时间：2018-01-20 06:43

本文关键词： 利率扭曲房产价格汇率波动 NOEM-DSGE模型 MS-VAR模型　出处：《世界经济研究》2017年10期 　论文类型：期刊论文

【摘要】：文章在构建一个包含信贷约束、价格粘性和工资粘性的新开放经济动态随机一般均衡(NOEM-DSGE)模型的基础上,运用贝叶斯方法估计模型中的结构参数,考察抵押率冲击、技术冲击和利率冲击对我国房产价格及实际汇率的动态影响。研究发现,一方面,正向的抵押率冲击使得房价上涨,汇率先贬值而后升值,而负向的利率冲击则使得房价上涨,汇率贬值,另一方面,正向的技术冲击则使得房价上涨和汇率升值;此外,我们进一步构建了MS-VAR模型实证研究了自2005年"汇改"以来利率、房价和汇率之间的动态关系。实证结果表明:扭曲的利率冲击导致了房价上涨和汇率贬值同时存在,因此,推动利率市场化改革对于实现我国经济长期均衡健康发展十分必要。
[Abstract]:This paper constructs a new open economy dynamic stochastic general equilibrium model with credit constraint, price stickiness and wage stickiness on the basis of NOEM-DSGE model. Using Bayesian method to estimate the structural parameters of the model, the impact of mortgage rate impact, technology impact and interest rate impact on the real estate prices and real exchange rates in China is investigated. The positive mortgage rate impact makes the house price rise, the exchange rate depreciates first and then the appreciation, while the negative interest rate shock causes the house price to rise, the exchange rate depreciates, on the other hand. Positive technological shocks have led to a rise in house prices and an appreciation in the exchange rate; In addition, we further construct the MS-VAR model to empirically study the interest rate since the "exchange rate reform" in 2005. The dynamic relationship between house prices and exchange rates. The empirical results show that the distorted interest rate shocks lead to both the rise of house prices and exchange rate depreciation, so. It is necessary to promote the reform of interest rate marketization in order to realize the long-term balanced and healthy development of our economy.
【作者单位】：南京农业大学金融学院;南京晓庄学院;
【基金】：国家自然科学基金项目“基于市场比较法的商业银行存款保险定价理论和实证研究,”(项目号:71373114) 江苏高校哲学社会科学重点项目“江苏经济中的资源错配:金融摩擦还是政策扭曲”(项目号:2017ZDIXM067)
【分类号】：F299.23;F832.6
【正文快照】： (1)2005年7月,我国进行了历史性的汇率制度改革,将原有的固定汇率制度,改为有管理的浮动汇率制度。(2)原始数据来自国家统计局官方网站及wind数据库,最终结果由笔者计算得出。一、引言房产价格和汇率波动无疑是我国目前宏观经济运行的两大热点问题。自“汇改”(1)以来,房产价

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