Monetary Policy, Land Prices, and Collateral Effects on Economic Fluctuations: Evidence from Japan
Monetary Policy, Land Prices, and Collateral Effects on Economic Fluctuations: Evidence from Japan
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DOI：
10.1006/jjie.1998.0400
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发表时间：
1998-09
影响因子：
2.9
通讯作者：
Eunkyung Kwon
中科院分区：
文献类型：
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作者：
Eunkyung Kwon
摘要本文试图实证分析抵押品价值的影响如何放大货币紧缩对经济的影响。理论上，货币政策对融资条件的影响所产生的“金融加速器”效应是本文研究的动力。在这方面，由于几个原因，日本最近的经济状况值得我们特别注意。其一，很大一部分由银行贷款融资的商业投资是由土地担保的。第二，20世纪80年代末资产价格上涨导致小企业对土地的依赖急剧增加，如果存在的话，可能会使附带效应更大。将现有的工作扩展到土地价格模型，我发现货币政策对土地价格有很强的影响：与短期利率上升相关的货币紧缩会导致土地价格显著而持续的下降。然后，我分析了土地价格在货币传导机制中的作用。有两个结果很有趣。第一，货币紧缩后，产出下降。但对产出的影响似乎比现有研究预测的更为严重和深刻。第二，事实证明，货币政策冲击是产出变动的一个重要来源，而现有研究发现，货币政策对产出波动的解释很少。这意味着，随着货币紧缩后信贷流动的减少，土地价格的变动可能在货币传导机制中发挥重要的传播作用。J.日本；经济学。1998年9月，12(3)，页175-203。韩国人居环境研究院，韩国安阳市东安区官阳洞1591-6，韩国安阳市东安区431-712学术出版社版权所有。经济文献分类号C32、E32、E52。
Abstract This paper attempts to analyze empirically how impact on collateral values can magnify effects of monetary tightening on the economy. Theoretically, this paper is motivated by “financial accelerator” effects stemming from impacts of monetary policy on financing conditions. In this context, recent economic conditions in Japan deserve our special attention for several reasons. One, a large fraction of business investment financed by bank loans is secured by land. Two, excessively sharp increases in the land dependence of small firms with the asset price inflation in the late 1980s may make a collateral effect bigger, if it exists. Extending existing work to a model with land prices, I find a strong effect of monetary policy on land prices: monetary tightening associated with a rise in the short-term interest rate produces a significant and persistent decline in land prices. I then analyze a role of land prices in the monetary transmission mechanism. Two results are interesting. One, after monetary tightening, output falls. But the impact on output appears more severe and deeper than was predicted in existing studies. Two, the monetary policy shock turns out to be an important source of output variation, as opposed to the findings of existing work in which monetary policy explains output fluctuations very little. The implication is that together with reduced flows of credit after monetary contraction, movements in land prices may play a significant propagating role in the monetary transmission mechanism. J. Japan Int. Econ. September 1998, 12 (3), pp. 175–203. Korea Research Institute for Human Settlements, Kwanyang-dong, 1591-6, Dongan-Gu, Anyang, Korea 431-712. Copyright 1998 Academic Press. Journal of Economic Literature Classification Numbers C32, E32, E52.