房地产价格传导货币政策效果的实证研究

货币政策作为调控宏观经济的重要政策手段,它的经济效果需要通过诸多渠道传导来得到体现。国内外学者关于房地产价格对货币政策传导的研究还处于起步阶段,特别是国内的研究还存在着较大的争议。为了进一步检验房地产价格对我国货币政策传导的效果,本文选取2001年3月至2005年12月的月度数据,运用Johansen协整检验、格兰杰因果检验、向量自回归模型(VAR)、脉冲响应函数和预测方差分解检验等多种计量方法,对我国房地产价格传导的货币政策效果进行实证分析,结果表明房地产价格传导我国货币政策存在着阻碍,并没有表现出显著的财富效应和投资效应,利率也不能充分发挥对房地产市场的调节作用,为完善房地产价格对货币政策的传导提供了理论依据。

Empirical Study on the Transmitting Effect of Real Estate Price in Monetary Policy Carryout

As the important tool of macro-economic management, monetary policy takes effects through many channels. Up-to-date researches, especially domestic research, on the transmitting effect of real estate price in mone- tary policy carryout are still in early stage. This article selects monthly data from March, 2001 to Dec., 2005, applies methods including Johansen co-integration test, Granger causality test, vector auto regression (VAR), impulse response function, and variance decomposition. The result indicates that in our country, real estate price is not an effective channel to carry out monetary policy. The transmission mechanism is absent, and the wealth effect and investment ef- fect of real estate price are not significant. Interest rate cannot play a good regulatory role in real estate market.