貨幣政策與地方房價的動態外溢效果分析: 以中國大陸一線城市為例

Time-varying Spillovers across monetary policy and local housing prices: Evidence from first-tier cities in China

徐郁鈞(YU-CHUN HSU)

指導教授 ： 姜樹翰

中原大學/商學院/財務金融學系/碩士(2022年)

https://doi.org/10.6840/cycu202201067

摘要

本文主要探討中國六個一線城市(北京、上海、廣州、深圳、重慶、天津)的房價與貨幣政策之間的關係，並利用Diebold與Yilmaz (2009, 2012, 2014) 所提出的量化外溢效果衡量方法，以此計算地方房價與貨幣政策之間外溢效果影響的強度與方向。
藉由使用2000年至2021年的中房指數系統中的住宅指數與中國貨幣供給量M2月資料，作為地方房價欲貨幣政策的指標。本研究首先發現，中國貨幣政策和地方住宅市場之外溢效果，短期較長期來的明顯。其次，房市對貨幣政策的影響領先且高於貨幣政策對於房市之影響，表示住宅市場的地位在中國有極高的重要性，使得政府在做出貨幣政策的決策上必須將地方住宅市場之間的熱絡程度考量進去。最後，根據研究結果可知貨幣政策及六大城市之間的關係，可以發現深圳是影響地方房價的主要來源城市，能夠連接貨幣政策及各城市住宅市場，成為其他住宅市場外溢效果的傳遞者。換言之，若是中國的貨幣政策可以通過對深圳住宅市場產生最大的影響，一定也可以對其他城市的住宅市場產生不小的影響。透過本研究可以進一步了解貨幣政策與地方房市之間動態的傳播關係，以維護整個金融體系。

關鍵字

貨幣政策 ； 房價 ； 外溢效果 ； 中國 ； 一線城市

並列摘要

The purpose of this study is to investigate the relationship between housing prices of first-tier cities and monetary policy in China. We adopt quantitative method by Diebold and Yilmaz (2009, 2012, 2014) to calculate the strength and direction of the spillover effect between local housing prices and monetary policy over time.
By use of six-city housing prices from the CREIS database to obtain plus national money supply (M2) as an indicator of monetary policy, we can obtain three critical conclusions. First, it is obvious that the spillover effects between China's monetary policy and the local housing markets are more pronounced in the short term rather than in the long term. Secondly, the impacts of the local housing markets are ahead and higher than monetary policy, indicating that the status of the housing market is extremely important in China. In other words, the government must take the local housing market into account when making monetary policy decisions. Finally, we can further explore the relationship between monetary policy and the six first-tier cities to show that. Shenzhen is our target housing market by connecting monetary policy with local housing markets due to Shenzhen as a main provider of spillover effects to other housing market
Based on the above, this study can help us know more about the time-varying mechanism of transmission between monetary policy and local housing market in order to stabilize the entire financial system.

並列關鍵字

Monetary policy ； Housing prices ； Diebold-Yilmaz spillovers ； China ； First-tier cities

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