摘要
文章在构建一个包含信贷约束、价格粘性和工资粘性的新开放经济动态随机一般均衡(NOEM-DSGE)模型的基础上,运用贝叶斯方法估计模型中的结构参数,考察抵押率冲击、技术冲击和利率冲击对我国房产价格及实际汇率的动态影响。研究发现,一方面,正向的抵押率冲击使得房价上涨,汇率先贬值而后升值,而负向的利率冲击则使得房价上涨,汇率贬值,另一方面,正向的技术冲击则使得房价上涨和汇率升值;此外,我们进一步构建了MS-VAR模型实证研究了自2005年"汇改"以来利率、房价和汇率之间的动态关系。实证结果表明:扭曲的利率冲击导致了房价上涨和汇率贬值同时存在,因此,推动利率市场化改革对于实现我国经济长期均衡健康发展十分必要。
We built a multi-sector new open economy dynamic stochastic general equilibrium( NOEM-DSGE) model that takes consideration of credit constraints,price stickiness and wage stickiness. The paper also structurally estimates the parameters via the Bayesian method in order to examine the dynamic effects of loan to value shocks,technology shocks and interest rates shocks on housing prices and real exchange rate fluctuations in China. We found that,on the one hand,positive loan to value shocks and negative interest rates shocks can make the housing prices raising and currency devaluing. On the other hand,the positive technology shocks can make housing prices raising and currency appreciation. In addition,we further established the MS-VAR model to study the dynamic relationship between housing prices and exchange rates since July 2005. The empirical results show that the distorted rates can lead to housing prices raising and currency devaluation at the same time. As a result,this paper argues that promoting market-oriented interest rate reform is very necessary for achieving long-term equilibrium and healthy development of our economy.
出处
《世界经济研究》
CSSCI
北大核心
2017年第10期111-122,共12页
World Economy Studies
基金
国家自然科学基金项目"基于市场比较法的商业银行存款保险定价理论和实证研究
"(项目号:71373114)
江苏高校哲学社会科学重点项目"江苏经济中的资源错配:金融摩擦还是政策扭曲"(项目号:2017ZDIXM067)
