【摘 要】
：
In recent years, the relations between the monetary policy and the asset prices have captured many economists attention.On the basis of the study on dynamic correlations among interest rate, housing p
【机 构】
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Management school, Hunan University
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
In recent years, the relations between the monetary policy and the asset prices have captured many economists attention.On the basis of the study on dynamic correlations among interest rate, housing prices and stock prices and, the paper analysis the impulse effect of the monetary policy on asset prices in China.The conclusion is for the international mainstream views, of which support that it is inflation that should be the major tocus of monetary policy.Our study examines the relationships among the house price, stock price and interest rate in China using quarterly for 1999-2006.According to the test results of the simultaneous equations model and the VAR model, some conclusions can be drawn as follows:1The role of the interest rate in adjusting the house price and stock price.The results of the simultaneous equations model implied that the interest rate had sig nificant negative impact on the house price and positive impact on the stock price, while the results of the impuls response function and the variance decompositions suggested that the lagged interest rate had the same impact on these two asset prices.Compared with the interest rate, the inflation has a greater impact on the house price and the stock price, and also the impact of the inflation on the interest rate was great but the impact of the house price and the stock price was small.We can conclude that Chinas monetary policy does not respond to the asset prices oth erwise the transmission of monetary policy was seriously lagging and did not bring out the desired results.From the impact of inflation on the interest rate, we can see that the monetary policy mainly respond to the inflation.
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