宏观共同因子、特质因子以及货币政策对中国各线城市房价的影响——基于FAVAR模型

发布时间：2018-03-28 14:20

本文选题：货币政策　切入点：房价　出处：《技术经济》2017年07期

【摘要】：运用FAVAR模型,将中国各线城市房价分离出宏观共同因子和特质因子部分,研究了各因子及货币政策对房价的影响。研究发现:大城市的房价更易受宏观共同因子和地区特质因子的影响,且变动的持续性更大;共同因子可在很大程度上解释房价变动的持续性和波动性;共同因子对房价的影响较为持久,而地区特质因子只在短期内影响房价;利率和货币供应量可以有效地影响房价;相比利率,货币供应量对一线和二线城市房价水平的影响更大,对各线城市房价波动的影响更为持久;一线城市的房价水平及其波动对货币政策冲击的敏感度较高,二线城市的敏感度居中,三线城市的敏感度较低;未发现货币政策的"价格之谜"现象,表明本文模型设定的合理性较强。
[Abstract]:By using the FAVAR model, we separate out the macro common factor and the special factor part of the housing price of the cities in China. The effects of various factors and monetary policies on house prices are studied. The results show that the housing prices in large cities are more susceptible to the influence of macro common factors and regional characteristics factors, and the changes are more persistent; The common factors can explain the persistence and volatility of house prices to a large extent, the common factors have a lasting effect on house prices, while the regional idiosyncratic factors affect house prices only in the short term, interest rates and money supply can effectively affect house prices. Compared with the interest rate, the money supply has more influence on the housing price level of the first-tier and second-tier cities, and has a more lasting effect on the fluctuation of the housing prices in the cities of the first tier, which is more sensitive to the impact of monetary policy on the price levels and fluctuations of the first-tier cities. The sensitivity of the second-tier cities is lower than that of the third-tier cities, and the "price mystery" phenomenon of monetary policy has not been found, which indicates that the model set in this paper is more reasonable.
【作者单位】：清华大学经济管理学院;
【分类号】：F224;F299.23;F822.0

【相似文献】