统计与数据科学学院知识库

自改革开放以来，我国市场经济发展迅猛，经济结构不断调整，货币政策对我国宏观经济产生的影响也随之发生变化。在瞬息万变的经济背景下，充分了解货币政策调控效果的变动规律，成为今后的政策制定和研究的必经之路。我国早在迈入市场经济之初就将保持物价稳定，促进经济增长作为货币政策的主要目标。由于当前经济存在脱实向虚的现象，支持实体经济是保障经济稳定发展的关键一环，房地产作为实体经济中具有代表性的产业，对与之相关的众多实体产业极具影响力。因此，本文首先从经济增长和和物价稳定的方面分析货币政策宏观调控效果，再结合所得的部分结果，从房价的角度分析货币政策能否在不与最终目标背离的前提下对其进行调控。

本文为分析我国货币政策的动态有效性构建了时变参数因子增广的向量自回归（TVP-FAVAR）模型，一方面克服了传统VAR模型仅适用于小规模研究的缺陷，使大量经济变量参与其中，避免重要信息的遗漏；另一方面，解决了传统的VAR模型无法捕捉经济结构的时变特征的问题，使研究更贴合实际经济情况。鉴于此，将TVP-FAVAR模型引用到货币政策有效性的相关分析中具有重要的理论与现实意义。本文基于该模型获得的脉冲响应路径，从产出、物价及房地产价格多个方面研究货币政策在不同经济环境下的政策效果，研究结果表明：第一，两种货币政策对产出都具有显著的短期拉动作用，数量型货币政策的负向冲击效果更为剧烈，价格型货币政策的冲击效应持续时间较短，副作用更小。第二，在对物价的调控效果上，数量型货币政策短期抑制物价上涨效果显著，长期则会导致通货膨胀；价格型货币政策短期内会使物价上涨，但长期抑制通胀效果较好。第三，数量型货币政策对房价的短期调控效果较强，价格型货币政策在2007年后对房价的冲击效应由正转负并逐渐增强。

综上所述，价格型货币政策在对产出和物价的调控效果上都表现出一定的优势，我国货币政策亟待由数量型调控为主过渡向价格型调控为主。而在对房价的调控上，两种调控方式各有所长，需要根据实际经济情况灵活运用。

Since the reform and opening up, China's market economy has developed rapidly and the economic structure has been constantly adjusted. The impact of monetary policy on China's macro economy has also changed. In the rapidly changing economic background, it is necessary to fully understand the changes of monetary policy regulation effect in the future policy formulation and research. As early as the beginning of entering the market economy, China will maintain price stability and promote economic growth as the main goal of monetary policy. At present, the economy is shifting from reality to virtual reality. Supporting the real economy is a key link to ensure the stable development of economy. As a representative industry in the real economy, the real estate industry has a great influence on many related real industries. Therefore, this paper firstly analyzes the macro-control effect of monetary policy from the aspects of economic growth and price stability, and then, combining with some results, analyzes whether monetary policy can regulate the real estate market price without deviating from the ultimate goal.

In order to analyze the dynamic effectiveness of China's monetary policy, this paper constructs a vector autoregression (TVP-FAVAR) model with time-varying parameter factors augmented. On the one hand, it overcomes the defect that the traditional VAR model is only applicable to small-scale research, involving a large number of economic variables and avoiding the omission of important information. On the other hand, it solves the problem that the traditional VAR model cannot capture the time-varying characteristics of the economic structure, and makes the research more suitable for the actual economic situation. In view of this, it is of great theoretical and practical significance to introduce TVP-FAVAR model into the correlation analysis of monetary policy effectiveness. Based on the impulse response obtained by the model, this paper studies the impact effects of monetary policy in different economic environments from output, prices and real estate prices. The results show that: First, both monetary policies have a significant short-term pulling effect on output. Quantitative monetary policy has a more severe negative impact effect, while price monetary policy has a shorter duration of impact effect and fewer side effects. Second, in terms of the effect of price control, quantitative monetary policy tools have a significant effect on suppressing price increases in the short term, but will lead to inflation in the long term. Price monetary policy will make prices rise in the short run, but it is better to restrain inflation in the long run. Third, quantitative monetary policy has a strong short-term effect on housing prices. After 2007, the impact effect of price monetary policy on housing prices turned from positive to negative and gradually increased.

To sum up, the price-based monetary policy has certain advantages in the control effect on output and prices. It is urgent for China's monetary policy to transition from quantitative control to price-based control. In the control of housing prices, the two control methods have their own advantages, and need to be flexibly used according to the actual economic situation.