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Title: 中國的房價泡沫、沖銷與外匯累積
Housing price bubble, sterilization and foreign exchange accumulation in China
Authors: 王緁妶
Wang, Chieh Hsuan
Contributors: 黃仁德
Hwang, Jen Te
Wang, Chieh Hsuan
Keywords: 外匯累積
Date: 2012
Issue Date: 2013-09-02 17:19:33 (UTC+8)
Abstract: 2001年以來,由於持續性的經常帳順差和資本流入,促成了中國外匯存底快速的累積。為了維持人民幣匯率的穩定與經濟平穩發展,中國人民銀行實施了一連串的沖銷政策,以緩解因外匯占款所可能引起的流動性過剩與物價膨脹問題。然而,日益推升的沖銷成本對中國外匯沖銷的有效性與持續性將造成衝擊。因此,本論文第一部分即建構在個體基礎理論的架構下,將房價納入中國貨幣當局的目標函數,並檢視中國人民銀行沖銷政策的有效性與可持續性。實證結果顯示,近年來中國人民銀行幾乎完全沖銷了國際資本流入與外匯準備上升對基礎貨幣的影響,亦即資本流動程度的上升並未破壞中國貨幣政策的獨立性。然而,沖銷政策的可持續性分析卻顯示,中國人民銀行沖銷政策的可持續性於2008年3月開始受到嚴峻的挑戰,顯示出中國人民銀行承受了極大的沖銷不可持續性的壓力。
In the context of the constant buildup of China’s foreign exchange reserves, the PBC has undertaken a series of sterilization operations to alleviate excessive liquidity and inflationary pressure resulting from huge funds outstanding for foreign exchange. However, the growing costs of sterilization have also impacted the effectiveness and sustainability of the foreign exchange surplus sterilization policy. Therefore, the first part of this dissertation is to examine the sterilization policy in China. Within a microeconomic framework, we incorporate the housing price variable into the target loss function of the monetary authority to explore its financial capabilities and evaluate the effectiveness and sustainability of China’s sterilization policy. The empirical results show that Chinese monetary authorities sterilize almost all of the effects of international capital inflows and increasing foreign exchange reserves on the monetary base. That is, increased capital mobility does not sabotage the independence of the Chinese monetary policy. Nevertheless, analyses of the sustainability of sterilization policy indicate that the sustainability of the monetary sterilization policy has been seriously challenged since March 2008, which suggests that Chinese monetary authority has endured tremendous pressure for unsustainable sterilization.
In the context of rising foreign exchange reserves and monetary authorities being unable to sterilize all funds outstanding for foreign exchange due to foreign exchange market interventions, increases in asset prices have gradually made people question the interaction between short-term capital inflows and asset prices that contributes to asset price bubbles. In order to investigate the relationship between short-term international capital inflows and asset markets. A structural vector auto-regressive (SVAR) model is used to explore the effects of the incompletely sterilized monetary base and short-term international capital inflows on the Chinese stock markets and real estate markets in the second part of this dissertation. The empirical evidence demonstrates that the relationship between short-term international capital inflows and asset prices is self-fufilling and mutually reinforcing. The incompletely sterilized monetary base further exacerbates asset price bubbles, which suggests that short-term international capital inflows and excess liquidity will gradually escalate the severity of asset price bubbles.
With an over-abundance of funds and a shortage of other viable channels of investment in China, such circumstances tend to encourage investments and speculations in the stock market and real estate market. Consequently, this causes China’s stock market to fluctuate and prices of real estate are being driven up in China. Following China’s reform and economic development in recent years, the nation’s real estate industry has rapidly evolved into a pillar of China’s national economy and the economic bloodline in some cities. As such, acquiring sufficient understanding of China’s real estate market for an accurate assessment of the risk of a housing price bubble has become an issue that requires immediate attention.
In order to discuss the extent and severity of real estate bubbles in China. The third part of this dissertation uses the maximum likelihood method through the use of a state space model and recursive computation of the Kalman Filter to estimate the housing price bubbles in China. Results of empirical analyses reveal that price bubbles do exist in housing markets of Beijing, Shanghai and the whole of China in general. Although the proportion of price bubble to house price in China has shown a moderate decline due to the Chinese government’s adjustment of its real estate policies, price bubbles remained as high as 27.99% in the fourth quarter of 2012. Empirical analyses of Beijing and Shanghai residents’ disposable income and housing prices revealed that the proportion of price bubble to house price in the two cities has exceeded 48%, which suggests that housing price bubbles remain a significant issue to be addressed.
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