Regional Disparities in the Monetary Policy Transmission Effects of Real Estate Markets:An Empirical Analysis Based on the GVAR Model
利用2001-2010年中国30个省份月度数据，通过GVAR模型分析货币政策通过房地产市场的传导效应，发现货币供给冲击对各区域影响相似但中部地区响应最弱，利率冲击存在异质性，东部地区传导效果优于其他地区。
Real estate market has played increasingly important role in monetary policy transmission,especially on regional level.In this paper,we use 2001 - 2010 monthly data of 30 provincial districts in China,establish the global vector autoregression(GVAR) model to analyze the dynamic relationships among monetary policy, regional economy and real estate market,and then explore the regional disparities in the transmission of monetary policy through real estate.The result indicates that,each region presents the similar feature in response to the money supply shock which promotes the industrial output and real estate investment,but inhibits the household consumption and real estate price,and the central region has the lowest response leveL The interest rate shock imposes heterogeneous impacts on regional economy and real estate market,the response of the eastern region is consistent with the objectives of contractionary monetary policy.Real estate presents evident regional disparities in monetary policy transmission process,the conduction effect in the eastern region is higher than other regions,and the conduction of money supply is superior to that of interest rate.