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1 : 3 :, BEKK GARCH : GDP, GDP ;,, ;,, : 2001,,, 13, , 1 %,,,2007 7,,, ( Great Depression),,,, (Friedman,1957), q ( Tobin,1969), (financial accelerator) (Bernanke and Gertler,1989),,, ( Gerlach,1996 ; Smets,1997),,,??,? 3,, :310018, com ;,, :610074, edu. cn World Economic Outlook, April 2008 :, Bernanke and Gertler (2000, 2001), Schwartz(1995, 2002), Borio et al (2002, 2006), Smets (1997), Cecchetti et al (2000), Filardo (2000), Bordo and Jeanne (2002), Detken and Smets (2003) 61

2 : :,Borio and Lowe (2002),, Ahearne (2005) (preemptive),,, (cleaning up the mess),,mishkin (2007) (leaning against the wind),,,, Grande (2006),, Epaulard et al (2006), Park(2006),,, (1999),, (2001),, (2002), (2003) (2005),,,,,,,,, 1998,,, 10, 2003, 2007,, 6, 2008,,?, (,2007),,,,,,, (,2007),, : 62

3 ,,,,,,,, (,2007),,, ( ),,,,,,, :,,,,,,,,, ( ),,,,,,,, : 1 : ( ), ( ), ( ) 2 : ( ), ( ) ; ( ), ( ), 3 : ( ), ( ) ( ),,, 1. (1), (2) ( ),,,,,,,,, 63

4 : : (3),,, 2. : 1 :C ; 2 :L ; : A 1 = { a 1, a 2, b 1, b 2 }, A2 = { c 1, c 2 }, a 1 ; a 2 ; b 1, ( ), ; b 2, ( ), ; c 1,, ; c 2,,, :,,,,, (1 - ), ( ),,,,,, (1 - ),,,,, (1 - ), : 1 { (, ), (, ) } ; 2 {, } 3. (1), P,,, M, : ( U c - M - P, U L + M), U c - M - P > 0 U c U L (2),,, : ( U c + L - P - C, U L - L), ( U c + L - P - C > 0, U L - L > 0) L ( C), : U c + L - P - C (3),,,, : ( U c - C - P, U L + E), ( U c - C - P > 0) E, 64

5 , E,, E (4),, : ( U c, U L ) (5),,, : ( U c + L - C, U L - L) (6),,, : ( U c - C, U L + E) 4. (1) : c = [ ( U L - L) + (1 - ) ( U L + E) ] + (1 - ) [ ( U L = [ ( U L - L) + (1 - ) ( U L + E) ] - L) + (1 - ) ( U L + E) ] (1) : o = 1 - U L + M U L = 1 - M U L (2) c > o,, :, ;, : m = c - o = [ ( U L : - L) + (1 - ) ( U L + E) - M - U L ] + M + U L (3) : 5 m 5 = ( U L - L) + (1 - ) ( U L + E) - M - U L = - (L + E) + E - M, < 3 (4) ( 3 5 m 5 = 0 ), 5 m 5 > 0,,, E E > L + M + 5 MΠ5 1 -, 5 m 5 > 0, E > E 3 ( E 3 5 m 5 = 0 ), m,,, E, E = f ( v i ), v i i, 5f ( v i ) 5 v i > 0,,, v > v 3 ( v 3 5 m 5 = 0 ), 5 m 5 > 0,,, 65

6 : :, L 5 m 5L = - < 0,,,,,,, M < M 3 ( M 3 5 m 5 = 0 ), 5 m 5 > 0,,,, (2),, : p = ( U c + L - P - C) ( U c + L - C) (5) : n = 1 - U c - C - P (1 - ) U c - C (6) : z = P - n = (2 U c - 2 C + L) + (1-2 ) P - ( U c - C),,,, z = P - n > 0,,,,,, 5 z 5 = (2 U c + L - 2 C - 2 P) > 0,,,,, 5 z 5L = > 0,,, : 4 : ( ), ( ) ( ) 1.,,,,, GARCH (multivariate GARCH,MGARCH) GARCH, :VECH, VECH,, ; Bollerslev Engle and Wooldridg (1988) VECH 66 (7)

7 , VECH, VECH, ; Engle and Kroner (1995) Baba, Engle, Kraft and Kroner BEKK VECH H,,,,, (M2) (Real) ( GDP) BEKK, : H t t = H 1Π2 t t, t i. i. d N ( O, I) = W n W + k = 1 A t - k n t - k A + k = 1 B H t - k B (8), W,A B N N, N N A a i ARCH N N B b i ( Persistence), GARCH :, ; H t, ; BEKK,,,,, AIC SC HQC, 1, GARCH, BEKK(1,1,l), : h 11 t h 12 t h 13 t h 21 t h 22 t h 23 t = h 31 t h 32 t h 33 t w w 2 w 4 0 w 3 w 5 w t t t t t t t t t t t t t t t - 1 h 11 t - 1 h 12 t - 1 h 13 t - 1 h 21 t - 1 h 22 t - 1 h 23 t - 1 h 31 t - 1 h 32 t - 1 h 33 t - 1 T w w 2 w w 3 w 5 w 6 a a a 3 b a a a 3 b b b 3 0 b 2 0 (9) 0 0 b 3, h iit, h ijt a i a j ARCH, b i b j i, j = 1,2,3 1,2,3 GDP, a 1 a 2 a 1 a 3 a 2 a 3 b 1 b 2 b 1 b 3 b 2 b 3, BEKK : T T Engle R F, Kroner K F. 1995, Mulitivariate stimultaneous generalized ARCH, Econometric Theory, 11 :

8 : : l ( ) = - TN 2 log2-1 T 2 t = 1 (log H t + t H - 1 t t ) (10),,N,T,, 2., GDP GARCH,, : y 3 t = + i 1 i y 3 t - i i + 1 i u 3 t - i + h 22 + h 12 + <h 13 + h 23 + h 11 + u 3 t (11) y 3 t GDP, u 1 t,, i i, ;, ; <, ;, ;, ( ) 1998, GDP, 42, ; M2, M2,, 100,, m2 1 t t, : y 1 t = log m2 1 t - log m2 1 t - 1,,Re al 2 t t, : y 2 t = log Re al 2 t - log Re al 2 t - 1, gdp 3 t t GDP, GDP : y 3 t = log gdp 3 t - log gdp 3 t - 1, 1 M2 ( %) Real ( %) GDP ( %) ( ) (M2) (Real) GDP, , (Real) (1114 %) (3129 %) (0173), GDP,, 42,,, (11),,, (5 ),, (11), 8, = 40,,,, BEKK(1,1,1) (12 ),,, 68

9 (M2) GDP 614, 1. 6 %, (ADF) (JB), 5 %,,, 2 2 (c,t,p) AIC SC ADF ADF (5 %) JB (P ) (M2) (c,1,2) ( ) (Real) (c,1,0) ( ) GDP (c,1,0) ( ) : c, 0 ; t, 0 ; p ;AIC SC, AIC SC ( ) MGARCH BEKK 3,, 3 MGARCH BEKK b 1 b 3 95 % b 1 b 3 ( = ) GARCH,, 4,, a 1 a 2 a 3, a 1 a 2 a 3 b 1 b 2 b T P GDP BDS BDS ( 2) Z P h h h ARCH, a 1 a 2 a 3,, ARCH BDS ( 4), ARCH, ARCH,,, 1 2 1,,,,,,, CPI Brook Dechert Scheinkman (1987), : ARCH 69

10 : : 1 2,,,,? 2,,,,,,,,,,,,, 5,,? M2, GARCH BEKK 5 BEKK Variable a ( ) a ( ) b ( ) ( ) ( ) b ( ) ( ) ( ) ( ) ( ) 3 ( ) ( ) ( ) ( ) ( ) ( ) : P, ;33 BEKK ,, ( b 2 21) ;,, BEKK BEKK,, GDP, GDP 70

11 ( b 2 12 a 2 12) ,,,,, q (Tobin,1969) (Friedman,1957) (Modiglian,1963), (2005) : (1),, (2),,,, (3),,,,,,,,,,,, 2003, Π Π Π, , ,, 25 %, ,,,, , 015, 5 29, 35 % , 515 %,, %,, 2007, 9 12,,,,, 6, 2008,,,, ( ) GARCH : : 71

12 : : SC AIC, GDP 1,,, : y 3 t = + y 3 t u 3 t h 22 + h 12 + <h 13 + h 23 + h 11 + u 3 t (12) 5 %, 6 :, 6 95 %, GDP, GDP T P ,,,, ,,,, 2007,,,, ( ) Q LB ARCH2LM,,ARCH ARCH GARCH, (8), , ( 1 ) 1 ; , ( 1 ) 1, : H t = W W + MD t n + k = 1 A t - k n t - k A +, D t, M, k = B H t - k B (13) M 1 M 2 M 3 M 4 M 5 M ( ) ( ) ( ) ( ) ( ) ( ) a 1 a 2 a 3 b 1 b 2 b ( ) ( ) ( ) ( ) ( ) ( ) M 1 M 2 M 3 M 4 M 5 M ( ) ( ) ( ) ( ) ( ) ( ) a 1 a 2 a 3 b 1 b 2 b ( ) ( ) ( ) ( ) ( ) ( ) : T 72

13 ( 7),, b 1 b 3, A B ( 2),, GDP,,,,,, GDP, GDP,,,,,,,2003 :?, 1,2005 :?, 3,1998 :, 1,2001 :, 7,2005 : :, 5,2002 :, 2,2006 :, 1,2005 : :, 11,2006 : , 4 Ahearne, G., Alan, J., Ammer, M. D., Brian, S. K., Linda and F. M., Robert, 2005, House Prices and Monetary Policy : A Cross2 Country Study, FRB International Finance Discussion Paper, No Bernanke, B. S., and M. Gertler, 1989, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, Vol. 79. Bernanke, B. S. and M. Gertler, 2000, Monetary Policy and Asset Price Volatility, NBER Working Paper, No Bernanke, B. S. and M. Gertler, 2001, Should Central Banks Respond to Movements in Asset Prices, American Economic Review, Vol. 91, Bollerslev, T., R. F., Engle, and J. Wooldridg, 1988, A Capital Asset Pricing Model with Time Varing Covariances, Journal of Political Economy, Vol. 96, NO Borio, C., and P., Lowe, 2002, Assessing The Risk of Banking Crises, BIS Quarterly Review, December. Borio, C., 2006, Monetary and Prudential Policies at a Crossroads?New Challenges in the New Century, BIS Working Papers, September Bordo, M., and O., Jeanne,2002, Monetary Policy and Asset Prices : Does Benign Neglect Make Sense?, IMF Working Paper, ,,,, 73

14 : : December No. 02Π225. Cecchetti, S., H., Genberg, J., Lipsky and S., Wadwani, 2000, Asset Prices and Central Bank Policy, London : International Centre for Monetary and Banking Studies. No Detken,C., and F., Smets, 2003, Asset Price Booms and Monetary Policy, Paper presented at the ECB conference and ECB workshop, paulard A., O., Loisel, A., Pommeret and F., Portier, 2006, Monetary Policy and Asset Prices in an Economy with Private Information and Social Learning, mimeo, Bank of France, ongoing research, preliminary draft, September. Filardo, A., 2000, Monetary Policy and Asset Prices, Federal Reserve Bank of Kansas City Economic Review, Vol. 85, Friedman, M., 1957, A Theory of the Consumption Functions, Princeton : Princeton University Press. Gerlach, S., S., Ramaswamy, and M., Scatigna, 2006, 150 Years of Financial Market Volatility, BIS Quarterly Review, September. Grande, G., 2006, Asset Prices and Central Bank Policy : An Overview of Recent Research and Policy Analysis at the Bank of Italy, Paper Presented at the BIS Autumn Economists Meeting, October, Basel. No 243. Maria, S., and B., Gochoco, 2008, Asset Prices and Monetary Policy : Booms and Fat Tails in East Asia, BIS Working Papers, January Mishkin, F. S., 2007, Housing and the Monetary Transmission Mechanism, Paper Presented at the Federal Reserve Bank of Kansas City 31st Economic Policy Symposium, August 312September 1. Park, S. J., 2006, Asset Prices and Monetary Policy2Korean Experience, Paper Presented at the BIS Autumn Economists Meeting, October, Basel. Schwartz, A. J., 2002, Asset Price Inflation and Monetary Policy, NBER Working Paper, November No Smets, F., 1997, Financial Asset Prices and Monetary Policy : Theory and Evidence, BIS Working Papers, September No. 47. Tobin, J., 1969, A General Equilibrium Approach to Monetary Theory, Journal of Money, Credit and Banking, Vol. 1, Monetary Policy and Asset Price Volatility : Theoretical Model and Empirical Study in China Zhou Hui and Wang Qing ( Zhejiang University of Finance & Economics ;School of Finance, Southwestern University of Finance & Economics) Abstract :Through the ultimate goal of the current monetary policy of the central bank and the game relationship between the central government and local governments in the real estate market, this paper deduces four inferences in article. Based on the BEKK model and the GARCH mean2value equation model, this paper empirically analyzes the volatility correlations among real estate price, money supply and economic growth, and examines the impact of various volatilities on economic growth. It has been found that the volatility of real estate price and the co2movement between real estate price and money supply have significant impacts on GDP growth rate, and furthermore lead to decline of GDP growth rate. The volatility of real estate price growth rate does not significantly affect economic growth rate volatility, while the co2movement between money supply and real estate price changes sharply, and the co2movement between real estate growth rate and economic growth rate does not show significant influence on economic growth rate s volatility. Furthermore, monetary policy has different controlling effect on real estate price in different cities. The conclusion is that the volatility of real estate price should be controlled, but currently it is not necessary for the central bank to directly intervene in real estate price. To deal correctly with the game relationship between central government and local government in the real estate market is the main content to improve the efficiency of real estate management. Key Words :Asset Price Volatility ; Monetary Policy ; Real Estate Sales Price Index ; Money Supply JEL Classification : E520, G120 ( : ) ( : ) 74

,,,,,Modigliani - Miller Bernanke, Gertler Gilchrist 1996,, Bernanke, Gertler Gilchrist ( ) ( ),,,, Bernanke, Gertler Gilchrist (1999),,, RBC, Bernank

,,,,,Modigliani - Miller Bernanke, Gertler Gilchrist 1996,, Bernanke, Gertler Gilchrist ( ) ( ),,,, Bernanke, Gertler Gilchrist (1999),,, RBC, Bernank RBC 3 (, 100871) RBC,, RBC,, ; ; F83015 A 1002-7246(2005) 04-0016 - 15 RBC,, Modigliani - Miller (1958 ),, RBC,, RBC,?? Gertler 1988, Fisher Keynes,,,,,,,,,, 2005-03 - 05 (1978 - ),,, (1970 - ),,,, 3 Chi