| 货币冲击、房地产收益波动与最优货币政策选择 |
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| 引用本文： | 陈鹄飞,陈鸿飞,郑琦.货币冲击、房地产收益波动与最优货币政策选择[J].财经研究,2010(8). |
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| 作者姓名： | 陈鹄飞 陈鸿飞 郑琦 |
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| 作者单位： | 上海财经大学金融学院;广发证券股份有限公司;上海财经大学会计学院 |
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| 摘 要： | 与传统资产定价模型中风险收益权衡关系相悖,我国房地产市场存在投资异象和波动长记忆性特征。文章利用泰勒规则(Taylor Rule)的利率缺口,在剔除市场预期之后测度了中国市场的货币政策冲击,并基于房地产投资回报的时序数据波动聚集性和时变性特征构建GARCH(1,1)-M模型,以此度量我国房地产市场投资收益的波动演变路径,解释了央行实施加息的货币政策后当期房价反而上涨的投资现象。文章还立足于房地产市场参与人的投资特征,从行为金融学的全新研究视角出发,建立包含行为资产定价的动态模型经济系统,研究资产价格波动与最优货币政策选择问题,求得相应闭型解,为实施关注资产价格波动的最优货币政策提供理论基础。
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| 关 键 词： | 最优货币政策 行为资产定价 投资异象 长记忆性 |
Monetary Shocks,Volatility of Real Estate Returns and the Choice of Optimal Monetary Policy |
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| CHEN Hu-fei,CHEN Hong-fei,ZHENG Qi.Monetary Shocks,Volatility of Real Estate Returns and the Choice of Optimal Monetary Policy[J].The Study of Finance and Economics,2010(8). |
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| Authors: | CHEN Hu-fei CHEN Hong-fei ZHENG Qi |
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| Institution: | CHEN Hu-fei1,CHEN Hong-fei2,ZHENG Qi3(1.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China,2.GF Securities Co.,Ltd.,Guangzhou 510600,3.School of Accountancy,China) |
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| Abstract: | Inconsistent with risk-return trade-offs,real estate market in China is featured by investment anomaly and long memory.Based on Taylor rule and the elimination of market expectation,the paper calculates monetary policy shocks.Then on the basis of the characteristics of aggregation and time-varying of time-series data of real estate investment returns,it establishes a GARCH(1,1)-M model to measure the volatility of investment returns in real estate market and successfully explain why during the period of str... |
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| Keywords: | optimal monetary policy behavioral asset pricing investment anomaly long memory |
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