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Can Monetary Policy Target on Asset Price?

Author: HanZuoZuo
Tutor: WangQing
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Asset prices Monetary policy Price index of real estate sales Money supply
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 186
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Abstract

With the outbreak of the subprime crisis, the relationship between the real estate price bubble burst, asset prices and monetary policy once again become a hot research at home and abroad, but most of the literature concerned about the relationship between stock prices and monetary policy, and rarely from empirical expand more in-depth study of the relationship between real estate prices and monetary policy. Especially since the housing system reform in China since 1998, under the joint action of the residents' income level and urbanization, China's real estate market has been rapid development of price fluctuations affect people's quality of life, social and economic development an important factor in the domestic real estate prices and monetary policy between surviving in a lot less than the central bank's monetary policy is necessary, is it possible to peg, such as real estate prices, including asset prices are still worthy of in-depth study and discussion. Fluctuations in real estate prices, the money supply and economic growth, and the impact of the fluctuations of the rate of economic growth based on the the the the simple volatility spillover effects model, BEKK model and GARCH mean equation model analysis. The full text is divided into two parts: the first part is the preface, we briefly review the performance of the crisis situation of the world economy since the 1980s. With the outbreak of the U.S. subprime mortgage crisis, the real estate price bubble burst, the decline in global economic growth, the study of the relationship of asset prices and monetary policy become a hot research at home and abroad. Some foreign central banks have begun to pay more attention to the impact of sharp fluctuations in asset prices on economic growth in a specific period. Since the housing system reform in China since 1998, real estate prices as the representative of asset price fluctuations become increasingly the focus of attention of the community. But the overheated real estate market, real estate prices are too inflated the problem has not been resolved in the past 10 years, the Central Bank of the real estate market since 2003, three regulation did not achieve good goals. Then introduces the research method, as well as a major contribution to the theory and yet to be perfected aspects, the preamble of the comprehensive introduction to the background of this writing. The second part of the text, including four chapters. The first chapter is a literature review and text problem the proposed reasonable assumptions proposition summarized, the author discusses here the traditional theory of conduction path of monetary policy on asset prices, as well as the current domestic and foreign scholars assets whether monetary policy intervention The price of the literature review. Finally, the domestic literature of empirical research on the relationship between monetary policy and real estate prices are weak, to put forward new ideas from the research perspective \The second chapter is a model of this study, this part of the study fluctuations between real estate prices and the money supply and economic growth the simple volatility spillover effects model and multivariate MGARCH-BEKK model established from the point of view of the time series model, as well as to study the real estate prices and the impact of fluctuations in the money supply on the rate of economic growth GRACH mean equation model. The third chapter is the empirical research. Combined with the previous model, the central bank's monetary policy from the perspective of the macro (national) and micro (four municipalities) can directly interfere with the proposition of real estate prices, the empirical analysis found: there is no money supply and real estate prices are a significant volatility spillover effects, the growth rate of money supply and the rate of increase in the linkage change is very dramatic, and the impact of fluctuations in the rate of economic growth and the rate of increase in the rate of economic growth linkage was not significant, indicating that the central bank's monetary policy is not necessary is not possible to directly pegged to the real estate prices. Regional price fluctuations from the central bank's monetary policy, the central bank's monetary policy on housing prices in first-tier cities of Beijing, Shanghai fluctuations does not work, the role of fluctuations in the prices of second-tier cities of Tianjin, Chongqing obvious. Joint fluctuations in the volatility of real estate prices and the prices and the money supply to GDP growth rate and the volatility will lead to a decline in GDP growth, price fluctuations should be controlled so as to achieve faster economic growth. Chapter through knowledge of game theory and information economics from a dynamically incomplete information economics perspective modeling and analysis of the monetary policy of the central government's intervention in the real estate prices is invalid reasons. Chapter VI is the main conclusions and policy recommendations. Fully absorb this part of the previous theoretical analysis, based on empirical findings and dynamic game argument summarizes the conclusions of this paper, and, ultimately, the real estate market to promote the sound development of and effective monetary policy effective policy recommendations. The contribution of this paper lies in three aspects: first, the paper by fluctuations in the relations of fluctuations in the correlation model of real estate prices, the money supply and economic growth to avoid the VAR model used in the previous studies (can not directly measure the variance) to study asset asset price fluctuations of the limitations of price fluctuations, truly reflects the volatility (variance) when varying characteristics and information transmission mechanism, and this model is able to measure the covariance, thereby contributing to research the the joint fluctuations between the different variables, from a whole new angle. relationship with monetary policy. Second, this article from the ultimate goal of China's monetary policy, that is, to maintain steady economic growth target, the relationship of the research asset prices and monetary policy, there are clear objectives based on study specific asset prices relationship of monetary policy, has a practical significance on the operational level. Third, the paper uses game theory to empirical results are explained further. A large number of domestic and foreign academic research, to learn some of the results of previous studies, the use of empirical research to re-verify the effect of the monetary policy tools of China's real estate market prices, combined with game theory analysis put forward to the future to improve our regulation of the real estate market, some policy recommendations. Data and GDP data due to the other cities of the country, real estate prices (in addition to the analysis of the four municipalities directly under the central government) difficult to collect or no price data after 1998, the impact from a more comprehensive microscopic point of view of the relationship between the central bank's monetary policy and house prices This is the biggest regret of this article.

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