宏观共同因子、特质因子以及货币政策对中国各线城市房价的影响——基于FAVAR模型

宏观共同因子、特质因子以及货币政策对中国各线城市房价的
影响——基于FAVAR模型
杨思群;董美
【期刊名称】《技术经济》
【年(卷),期】2017(036)007
【摘要】This paper separates house prices in different tier cities in China into macroeconomic common factors and specific factors by using a factor-augmented vector autoregression(FAVAR) model,and analyzes the impact of these two factors and monetary policy on house price.The results show as follows:house price in big cities is more likely to be affected by common factors and specific factors,and the persistence of house price in big city changes is longer;common factors could largely account for the persistence and volatility of house price;the effects of common factors on house price last long,while the effects of specific factors exist in short periods;interest rate and monetary supply could affect house price effectively;compared with interest rate,the effects of the monetary supply on house price level in the first-tier and second-tier cities are bigger,and the effect of the duration of monetary supply on the volatility of house price in all types of cities is longer;the sensitivity of house price level and its fluctuation to monetary policy in first-tier cities is the biggest,followed by second-tier cities and third-tier cities;the phenomenon of "price puzzle" of monetary policy are not be find,so the
model is reasonably designed.%运用FAVAR模型,将中国各线城市房价分离出宏观共同因子和特质因子部分,研究了各因子及货币政策对房价的影响.研究发现:大城市的房价更易受宏观共同因子和地区特质因子的影响,且变动的持续性更大;共同因子可在很大程度上解释房价变动的持续性和波动性;共同因子对房价的影响较为持久,而地区特质因子只在短期内影响房价;利率和货币供应量可以有效地影响房价;相比利率,货币供应量对一线和二线城市房价水平的影响更大,对各线城市房价波动的影响更为持久;一线城市的房价水平及其波动对货币政策冲击的敏感度较高,二线城市的敏感度居中,三线城市的敏感度较低;未发现货币政策的"价格之谜"现象,表明本文模型设定的合理性较强.
【总页数】11页(P117-127)
【作者】杨思群;董美
【作者单位】清华大学经济管理学院,北京 100084;清华大学经济管理学院,北京100084
【正文语种】中文
【中图分类】F822.2
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