货币的资产化和非实体化比率对不同价格影响的差异性研究
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| Title | Study on the different Impact of Money on different Prices in terms of the Ratio of Asset Securitization and Ratio of Non
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| 作者 | 李健 邓瑛 |
| Author | Li Jian and Deng Ying |
| 作者单位 | 中央财经大学金融学院；中国人民银行金融研究所 |
| Organization | School of Finance, Central University of Finance and Economics；People’s Bank of China |
| 作者Email | islijian@vip.sina.com；dengreta@126.com |
| 中文关键词 | 货币结构 资产化比率 非实体化比率 房价 物价 |
| Key Words | Money Structure; Ratio of Asset Securitization; Ratio of Non-materialization; Housing Prices, Commodity Prices |
| 内容提要 | 本文从资产型通货膨胀的特点出发，以货币结构的两个比率为切入点，研究了货币冲击后以房价为代表的资产价格和一般物价不同步上涨的原因。论文在货币结构的时间和空间两个维度下，构建了货币的资产化比率和非实体化比率两个指标，并运用门限模型和VAR模型对中国的货币结构与房价、物价之间的非线性关系进行了实证分析。研究发现，在不同的货币结构比率下，货币量对各类价格冲击影响的速度、力度是不同的。从货币结构的时间维度看，较高的货币资产化比率会显著推动房价上涨，而较低的货币资产化比率拉动一般物价上涨的趋势更明显；从货币结构的空间维度看，货币的非实体化比率上升使得房价对货币冲击的响应速度快于物价的响应速度，进而使房价的变化传导到物价，出现资产型通货膨胀与实物型通货膨胀的并发。据此，论文提出了关注货币结构变化对未来房价和物价以及通货膨胀的预测能力，将货币资产化和非实体化比率作为货币政策的监测指标，防止资产型通货膨胀向实物型通货膨胀的传导和转化等政策建议。 |
| Abstract | This paper started from the characteristics of the asset inflation and studied the reason why the housing prices and the commodity prices did not increase simultaneously under the monetary impact based on the view of money structure. It depicted the temporal dimensionality and spatial dimensionality of money structure, constructed two indices such as ratio of capitalization of money and ratio of non-substantiation of money, and made an empirical analysis of the nonlinear relation among the money structure, housing prices and commodity prices in China using the threshold model and VAR model. According to the study, the money stock has different impact on every kind of price under different money structure. On the temporal dimensionality, it showed that higher ratio of capitalization of money pushed up the housing prices remarkably, whereas lower ratio of capitalization of money made the commodity prices increase evidently. On the spatial dimensionality, increase in the ratio of non-substantiation of money led to quicker response of housing prices than that of the commodity prices and transmitted the asset inflation to the inflation in substantial economy. Therefore, this paper presented such suggestions as paying attention to the changes of money structure, regarding the ratio of capitalization of money as a supervisory index of monetary policy, and prevented the asset inflation from transforming into inflation in substantial economy. |
| 文章编号 | WP892 |
| 登载时间 | 2015-07-07 |
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