论文标题:货币供给与房地产价格：理论假说与经验检验
论文作者
论文导师 倪鹏飞,论文学位 硕士,论文专业 金融学
论文单位 中国社会科学院研究生院,点击次数 183,论文页数 79页File Size755K
2008-04-01论文网 http://www.lw23.com/lunwen_1713147/
Housing Price;; Money Supply;;“Stock-Flow”Model;; IS-LM Model;; Empirical Test
如何实现货币市场均衡,维持各种价格,包括消费品价格和资产价格稳定历来都是主流经济学家所关注的宏观金融学领域的核心问题。各国的历史,特别是美国20世纪90年代的经验表明,低通货膨胀率对于实现资产价格的适度水平而言并不是充分条件。从实际情况来看,近年资产价格膨胀成为普遍关注的热点,尤其是进入21世纪后,房地产价格高涨成为各界争论的焦点和政府关注的重点。流动性过剩和资产价格膨胀(尤其是房地产价格)是当前我国宏观经济中乃至全球经济的两个突出问题。实际上,二者之间可能存在紧密的联系,因此,作为流动性和货币市场均衡的关键因素货币供应量,和作为资产价格的重要组成部分房地产价格,二者之间的关系成为本文研究的内容。 本文在对货币政策与资产价格这一更大范围的文献综述的基础上,通过对理论模型的推导和实际数据的检验对货币供给与房地产价格的关系进行了研究。 本文首先对房地产市场的概念和分类特征进行了分析,并对Hanusheck和Quigle(y1979)提出的住房“存量—流量”模型进行了修正,得到了由房地产价格和存量的决定方程组成的模型系统。通过求解房地产均衡价格和均衡存量,发现对于外生给定的任意利率和收入的值,住房价格和存量的均衡解总是存在的。在其他变量保持不变的条件下,住房价格随着收入的增加而增加,随着利率的增加而减少。如果均衡价格升高,均衡存量也会随之升高。 然后,在对货币供给与房地产价格相互影响的传导机制的定性分析的基础上,本文将房地产市场纳入到“IS—LM”模型中,对模型进行了修正,并分别就外生货币供给和内生货币供给的情形进行了讨论。由讨论结果可以看到,尽管在不同的情形下,货币市场与房地产市场的动态调整过程不同,但最终总会存在均衡的利率、货币供给存量、房地产价格和房地产供给存量。也就是说,长期来看货币市场与房地产市场存在稳定的均衡关系,并且货币供给对房地产价格有着正向的影响,而房地产资产收益率的提高也会增加货币供应量。 对中国数据的实证研究印证了理论模型的结论。实证结果表明,我国的货币供应量M2是内生的,不能由中央银行完全控制,货币乘数受到房地产价格和房地产资产收益率的影响。货币供应量M0和M2都与房地产价格之间存在长期正向的均衡关系,房地产价格和房地产资产收益率也都与货币乘数K之间存在长期正向影响的均衡关系。另外,本文利用误差修正模型得到了货币供给与房地产价格之间的短期动态调整关系。最后,根据理论和实证结论,本文提出了一些政策建议。
How to realize the equilibrium of the money market, and keep kinds of price steady, including consumable price and assets price, has been the key problem of macro-finance. The history of many countries, especially the experience of the U.S. in 1990’s indicated that low inflation rate was not the sufficient condition to keep the asset price at suitable level. In recent years, the inflation of asset price, especially the inflation of real estate price has attracted much attention. There may be some relationship between liquidity and asset price. So, the relationship between money supply and housing price has been the object of this research. This paper first analyzes the feature of the concept and classification of housing market, and amends the“Stock-Flow”model which was brought by Hanusheck and Quigley (1979), then gets the equations which are used to determine the housing price and stock. The solution of the equations shows that, for any exogenous interest rate and aggregate income, it always exits the equilibrium housing price and stock, and if other factors keep constant, the equilibrium housing price will rise if the interest rate decreases and aggregate income increases. If the equilibrium price rises, the equilibrium stock will rise as well. Then, after the qualitative analysis on the interaction mechanism of housing price and money supply, the author considers the real estate market into“IS-LM”model and amends the model. The author discusses the model under two conditions: exogenous money supply and endogenetic money supply. Although the dynamic adjusting processes of money market and housing market under different condition are vary, finally there are equilibrium interest rate, money supply stock, housing price and housing stock. This means, there is an equilibrium relationship between money supply and housing price in the long term, and the interaction between them is positive. The yield of housing increase will lead the money supply increase. The empirical test on Chinese data justifies the theory. The result of the empirical test indicates that Chinese money supply, M2, is endogenetic, it cannot completely controlled by the Central Bank, and the money multiplier is influenced by the yield of housing. It exits a long term positive equilibrium relationship between money supply (M0, M2) and housing price. Such relationship also exits between yield of housing and money multiplier. Moreover, this paper creates the VEC model to get the short term dynamic relationship between money supply and housing price. At last, the author gives some policy suggestions.
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