The Effect of Monetary Policy on Housing Market—A Dynamic Stochastic General Equilibrium Framework

本文的研究目的是在動態隨機一般均衡模型的架構中，比較不同貨幣政策之下，外生衝擊對房價及總體變數的衝擊反應；本文建立一個封閉經濟體系，其中包含家計單位、房屋擁有者、房屋建商及商品生產部門，並且由一個貨幣當局制訂利率政策；本文探討三種利率法則:傳統的泰勒法則、加入房價目標的利率法則、通貨膨脹目標的利率法則及一個激進的通貨膨脹目標利率法則，我們分別在這四種利率政策下模擬成本衝擊、技術衝擊、貨幣衝擊及家計單位對房屋的偏好衝擊，比較這三種政策下房價和其他變數的衝擊反應函數；本文發現加入房價目標對房價穩定沒有顯著的影響，而傳統的泰勒法則相對於通貨膨脹目標的利率政策對房價穩定比較有幫助。The main purpose of this paper is to compare the effect of various shocks on house price and other macroeconomic variables under different monetary policies using micro-based dynamic stochastic general equilibrium (DSGE) analysis. We construct a closed economy with a representative household, a representative house owner, a house producer, a producer of goods and a monetary authority that implements monetary policies. We discuss three interest rate policy settings, which include traditional Taylor’s Rule, Taylor’s Rule with house price targeting and an inflationary targeting monetary policy followed by an aggressive inflationary targeting rule. We compare the impulse response function with an inflationary shock, a technology shock, a monetary shock and a household’s preference shock under these monetary policies. We discover that adding house price targeting into traditional Taylor’s Rule does not work better in house price stabilization. Our results show the apparent importance of Taylor’s rule in house price stabilization