我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.

Studies on Relation between Our Country Asset Price Fluctuation and Monetary Policy

Along with the financial liberalization and increasing capital stock market.This not only reflects the degree of financial deepening and improving,but also means that the stable relation between money supply and main economic indicators is becoming weaken.Asset price will produce profound effect on the formulation and implementation of monetary policy.The prices of shares and real estate play a more important role in the transmission mechanism of monetary policy.This article constructs a VAR model to test the relations among our asset price,monetary policy and monetary policy goals.The results can be concluded as follows: there is a longterm co-integration relation asset price among asset prices,monetary policy and monetary policy target.Asset prices have positive impact on output.The stock market obviously affects inflation,real estate not.Asset price is remarkably influenced by monetary policy.The impulse response of the stock market to monetary policy was significantly greater than the real estate market.