不确定性会影响货币政策对房价的调控效应吗？——基于LT-TVP-VAR模型的实证检验

财经论丛 ›› 2018, Vol. 34 ›› Issue (10): 35-44.

不确定性会影响货币政策对房价的调控效应吗？——基于LT-TVP-VAR模型的实证检验

刘金全¹, 毕振豫²

1.吉林大学数量经济研究中心,吉林长春130012;
2.吉林大学商学院,吉林长春130012

收稿日期:2018-03-13 出版日期:2018-10-10 发布日期:2018-10-10
作者简介:刘金全(1964-),男,黑龙江密山人,吉林大学数量经济研究中心教授,长江学者特聘教授;毕振豫(1992-),男,河南新乡人,吉林大学商学院博士生。
基金资助:
国家社会科学基金重大项目(15ZDC008);教育部人文社会科学重点研究基地项目(16JJD790014)

Can Uncertainty Affect the Effect of Monetary Policy on Housing Prices?——An Empirical Analysis Based on LT-TVP-VAR Model

LIU Jinquan¹, BI Zhenyu²

1.Quantitative Research Center of Economics,Jilin University,Changchun 130012,China;
2.Business School,Jilin University,Changchun 130012,China

Received:2018-03-13 Online:2018-10-10 Published:2018-10-10

摘要/Abstract

摘要： 我国房地产市场素有“政策市”之称,而频繁的宏观调控不可避免地会产生政策不确定性的问题。本文在经济政策不确定性的视角下,通过LT-TVP-VAR模型研究了货币政策对房地产价格的调控效应以及不确定性对房价的溢出效应。研究结果显示,货币政策对房价的调控效果具有显著的时变特征与非对称性,经济政策不确定性会削弱货币政策对房价的调控效果。同时,不确定性本身也会对房价产生明显的溢出效应。为此,政府应当加强预期管理,保持政策的连贯性与一致性,以降低经济政策不确定性对货币政策以及房地产市场的影响。

关键词: 经济政策不确定性, 货币政策, 房地产价格, LT-TVP-VAR模型

Abstract: From the perspective of economic policy uncertainty, this paper studies the effect of the monetary policy on real estate prices and the spillover effect of uncertainty on housing prices through LT-TVP-VAR model. The results show that the monetary policy has significant time-varying and asymmetric effects on the control of housing prices. Economic policy uncertainty will weaken the effect of the monetary policy on housing prices. At the same time, uncertainty itself can have a significant spillover effect on house prices. Therefore, the government should strengthen the expectation management and maintain the coherence and consistency of policies, so as to reduce the impact of economic policy uncertainty on the monetary policy and the real estate market.

中图分类号:

F224.0

刘金全, 毕振豫. 不确定性会影响货币政策对房价的调控效应吗？——基于LT-TVP-VAR模型的实证检验[J]. 财经论丛, 2018, 34(10): 35-44.

LIU Jinquan, BI Zhenyu. Can Uncertainty Affect the Effect of Monetary Policy on Housing Prices?——An Empirical Analysis Based on LT-TVP-VAR Model[J]. , 2018, 34(10): 35-44.

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