房价波动、货币政策与中国社会福利损失

中国管理科学 ›› 2014, Vol. 22 ›› Issue (5): 42-50.

房价波动、货币政策与中国社会福利损失

陈利锋¹, 范红忠²

1. 中共广东省委党校经济学教研部, 广东广州 510053;
2. 华中科技大学经济学院, 湖北武汉 430074

收稿日期:2012-08-20 修回日期:2014-01-29 出版日期:2014-05-20 发布日期:2014-05-14
作者简介:陈利锋（1982-），男（汉族），湖北黄冈人，中共广东省委党校经济学教研部，副教授，研究方向：货币理论与货币政策、结构宏观计量经济学.
基金资助:
国家社科重大招标项目（08&ZD037）；教育部人文社科规划基金项目（11YJA790026）

Housing Price Fluctuation, Monetary Policy and the Social Welfare Loss in China

CHEN Li-feng¹, FAN Hong-zhong²

1. Department of Economics, Party School of Guangdong Provincial Committee, Guangzhou 510053, China;
2. School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China

Received:2012-08-20 Revised:2014-01-29 Online:2014-05-20 Published:2014-05-14

摘要/Abstract

摘要： 本文建立并采用贝叶斯方法估计了一个包含普通消费品部门与房地产部门的多部门NKMP-DSGE模型，运用脉冲响应函数与贝叶斯冲击分解研究了外生冲击对于产出、通胀以及房价膨胀的影响。研究表明，宽松的货币政策在推动我国房价上涨中扮演了主要作用。基于Woodford^[1]的方法，本文通过政策试验分析了不同政策机制的社会福利损失，结果发现同时对房地产供给以及房价做出反应的政策机制具有相对较小的社会福利损失，因此在房地产市场调控中同时增加房地产供给和抑制房价过快上涨可能具有更好的效果。最后，基于我国现实数据，本文估算了通胀与房价膨胀背景下中国真实的社会福利损失，估算的结果对于进一步考察通胀与房价膨胀背景下中国最优货币政策具有重要的现实意义。

关键词: 通胀, 房价膨胀, 社会福利损失

Abstract: A dynamic stochastic general equilibrium (DSGE) model including ordinary consumption goods and housing sector is constructed to analyze the housing price inflation and the welfare loss in China. The result of impulse response function and Bayesian shock decomposition shows that monetary policy plays the most significant role in promoting the housing price fluctuation in China. The Based on the social welfare loss function with is introduced by the method of Woodford^[1],policy experiment is carried out. The result reveals that the policy regime targeting housing sector supply and housing price inflation may cause much less welfare loss, that is, increase the housing supply and regulate the housing price, which is helpful for the regulation of housing market. Furthermore, the actual social welfare loss is computed, which may be useful to quest for the optimal policy for regulating the housing market.

Key words: inflation, housing price inflation, social welfare loss

中图分类号:

F830
F015

陈利锋, 范红忠. 房价波动、货币政策与中国社会福利损失[J]. 中国管理科学, 2014, 22(5): 42-50.

CHEN Li-feng, FAN Hong-zhong. Housing Price Fluctuation, Monetary Policy and the Social Welfare Loss in China[J]. Chinese Journal of Management Science, 2014, 22(5): 42-50.

参考文献

[1] Woodford M.Interest and price[M].Princeton:Princeton University Press, 2003.

[2] Wei Shangjin, Zhang Xiaobo. The competitive saving motive: Evidence from rising sex ratios and savings rates in China[J]. Journal of Political Economy, 2011, 119 (3): 511-564.

[3] Kimura T, Kurozumi T. Optimal monetary policy in a micro-founded model with parameter uncertainty[J].Journal of Economics Dynamic and Control, 2007, 31: 399-431.

[4] Benigno P, Woodford M. Linear-quadratic approximation of optimal policy problems[J]. Journal of Economic Theory, 2011, 147(1): 1-42.

[5] 王君斌, 王文甫. 非完全竞争市场、技术冲击和中国劳动就业 [J]. 管理世界, 2010, 1: 23-36.

[6] 周京奎. 货币政策、银行贷款与住宅价格—对中国4个直辖市的实证研究[J].财贸经济, 2005,5:22-27.

[7] Iacoviello M. Housing prices, borrow constraints and monetary policy in the business cycle[J].The American Economic Review, 2005, 95(3): 739-764.

[8] Bernanke B, Gertler M. Should central bank respond to movements in asset prices?[J]. The American Economic Review, 2001, 91(2): 253-257.

[9] Finnocchiaro D, von Heideken V. Do central banks react to housing prices?[J]. Journal of Money, Credit and Banking, 2013, 45(8): 1659-1683.

[10] 王擎, 韩鑫韬. 货币政策能盯住资产价格吗? [J]. 金融研究, 2009, 8: 114-123.

[11] 肖争艳, 彭博. 住房价格与中国货币政策规则[J]. 统计研究, 2011, 28(11): 40-49.

[12] Iacoviello M, Neri S. Housing market spillovers: Evidence from an estimated DSGE models[J]. American Economic Journal: Macroeconomics, 2010, 2(2): 125-164.

[13] Faia E. Ramsey monetary policy with capital accumulation and nominal rigidities[J]. Macroeconomic Dynamics, 2008, 12(S1): 90-99.

[14] Coibion O, Gorodnichenko Y, Wieland J. The optimal inflation rate in new keynesian models: Should central banks raise their inflation targets in light of the zero lower bound?[J]. Review of Economic Studies, 2012, 79(4): 1371-1406.

[15] Calvo G A. Staggered prices in a utility-maximizing framework[J]. Journal of Monetary Economics, 1983, 12(3): 983-998.

[16] 陆军, 钟丹.泰勒规则在中国的协整检验[J]. 经济研究, 2003, 8: 76-86.

[17] 邓创, 石柱鲜. 泰勒规则与我国货币政策反应函数 [J]. 当代财经, 2011,1: 64-73.

[18] He Dong, Wang Wenlang, Shek J. How efficient has been China's investment? Empirical evidence from national and provincial data[J]. Pacific Economic Review, 2007, 12(5): 596-617.

[19] 黄勇峰, 任若恩, 刘晓生. 中国制造业资本存量永续盘存法估计[J]. 经济学( 季刊), 2002, 1(2): 377-396.

[20] Sa F, Wieladek T. Monetary policy, capital inflows, and the housing boom[R]. CWPE Working Paper, 2011.

[21] 谭正勋,王聪.中国信贷扩张、房价波动的金融稳定效应研究 [J]. 金融研究, 2011, 8: 57-71.

[22] 郑挺国,王霞.中国产出缺口的实时估计及其可靠性研究[J]. 经济研究, 2010, 10: 129-142.

[23] 武康平,胡谍.房地产价格在宏观经济中的加速器作用研究[J]. 中国管理科学, 2011, 19(1): 29-35.