房地产价格波动对金融稳定的影响研究
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摘要
由房地产价格波动引发金融不稳定甚至诱发金融危机的情形在世界上时有发生,我国自房地产市场化改革以来,房地产价格经历了大幅上涨,而2008年金融危机以来,货币政策是否应该对房地产等资产价格的波动做出反应再次激起人们的争论,宏观审慎监管也受到重视。在此背景下,研究房地产价格波动对金融稳定的影响,从货币政策和宏观审慎监管两个方面提出对策,具有较强的现实意义和一定的理论意义。
首先,论文对相关理论进行了梳理,对房地产价格形成及波动机理进行了分析。梳理了资产价格泡沫理论,包括理性泡沫理论和非理性泡沫理论。分析了金融稳定的内涵,从宏观经济理论和微观经济理论两个视角考察了金融稳定的基本理论。分析了房地产价格的分类和构成,从供给和需求视角探讨了房地产价格的形成机理,分析了中国房地产价格的形成,研究了部分国家房地产价格波动的状况,从经济基本面、信贷冲击、利率变动、汇率波动、“土地财政”、行为因素几个方面研究了房地产价格的波动机理。
然后,从宏观经济、银行体系和住房抵押贷款证券化几个渠道研究了房地产价格波动影响金融稳定的机理。其中,宏观经济渠道包括财富效应和投资效应。银行渠道包括银行资本金渠道、资产负债表渠道和抵押品价值渠道。分析了住房抵押贷款证券化的发展及其对金融稳定的影响。在此基础上,就房地产价格波动对金融稳定的影响进行了实证研究。分析了1987年至2011年中国房地产价格波动的情况,运用层次分析法构建了金融稳定的指标体系,并对中国的金融稳定状况进行了量化。以此为基础,构建了一个向量自回归模型,实证研究了房地产价格波动对金融稳定的影响。
最后,从货币政策和宏观审慎监管两个方面提出了对策。探讨了货币政策最终目标的演进,分析了通货膨胀目标制和泰勒规则制的发展,就货币政策是否应该对资产价格的波动进行反应的争论进行了回顾,在此基础上,构件了一个最优货币反应模型并进行了模拟,结果认为我国的货币政策应该对房地产价格波动做出反应。分析了金融系统产生顺周期性的原因,探讨了应对房地产价格波动、维护金融稳定的宏观审慎监管工具,对我国宏观审慎监管框架的设计提出了建议。
The volatility of real estate prices frequently induces financial instability and even financial crises in the world. Real estate prices experience sharp increases since the market-oriented reform in China. The financial crisis in2008triggers again the debate concerning whether monetary policy should respond to the volatility of real estate prices. And the macro-prudential regulation has been paid more attention. Under the circumstances, it makes sense in terms of the theoretical and practical perspective to study the mechanism of the volatility of real estate prices and its impact on financial stability and put forwards the measures from the aspects of monetary policy and macro-prudential regulation.
Firstly, the dissertation discusses related theories and studies the mechanism for formation and volatility of real estate prices. The dissertation analyzes the asset bubble theories, including the rational and irrational bubble theories, and financial stability theory from macroeconomic and microeconomic perspectives. The dissertation analyzes the classification, composition and formation mechanism of real estate prices from the perspective of supply and demand especially for China. The volatility of real estate prices in several countries is examined. The dissertation studies the mechanism of volatility of real estate prices from the perspectives of economic fundamentals, credit shock, interest rate and exchange rate volatilities,"land fiscal budget", and behavioral factors.
Secondly, the dissertation explores the-mechanism for the impact of volatility of real estate prices on financial stability from the perspectives of macro-economy, banking system and housing mortgage-backed security market. The macro-economy channel includes wealth effect and investment effect. The banking system channel includes the channel of bank capital, balance sheet effect and the channel of collateral values. The dissertation analyzes the development of mortgage-backed security market and its impact on financial stability. After the analysis of the mechanism, positive analysis of the impact of volatility of real estate prices on financial stability is done. The dissertation studies the volatility of real estate prices in China from1987to2011. After building a factor system with Analytic Hierarchy Process and measuring the financial stability in China, a VAR model is applied to measure the impact of volatility of real estate prices on financial stability.
Lastly, the countermeasures in terms of monetary policy and macro-prudential regulation are put forward. The dissertation explores the evolution the ultimate goals of monetary policy, the development of inflation target rule and the Taylor rule, reviews the debate on whether monetary policy should respond to asset price volatility. An optimal monetary policy response model is established and the results of simulation show that monetary policy should respond to volatility of real estate prices. The dissertation analyzes the causes of pro-cyclicality. It explores the macro-prudential regulation tools for dealing with volatility of real estate prices and maintaining financial stability. And the dissertation puts forward some suggestions on the design of China's macro-prudential regulation.
首先,论文对相关理论进行了梳理,对房地产价格形成及波动机理进行了分析。梳理了资产价格泡沫理论,包括理性泡沫理论和非理性泡沫理论。分析了金融稳定的内涵,从宏观经济理论和微观经济理论两个视角考察了金融稳定的基本理论。分析了房地产价格的分类和构成,从供给和需求视角探讨了房地产价格的形成机理,分析了中国房地产价格的形成,研究了部分国家房地产价格波动的状况,从经济基本面、信贷冲击、利率变动、汇率波动、“土地财政”、行为因素几个方面研究了房地产价格的波动机理。
然后,从宏观经济、银行体系和住房抵押贷款证券化几个渠道研究了房地产价格波动影响金融稳定的机理。其中,宏观经济渠道包括财富效应和投资效应。银行渠道包括银行资本金渠道、资产负债表渠道和抵押品价值渠道。分析了住房抵押贷款证券化的发展及其对金融稳定的影响。在此基础上,就房地产价格波动对金融稳定的影响进行了实证研究。分析了1987年至2011年中国房地产价格波动的情况,运用层次分析法构建了金融稳定的指标体系,并对中国的金融稳定状况进行了量化。以此为基础,构建了一个向量自回归模型,实证研究了房地产价格波动对金融稳定的影响。
最后,从货币政策和宏观审慎监管两个方面提出了对策。探讨了货币政策最终目标的演进,分析了通货膨胀目标制和泰勒规则制的发展,就货币政策是否应该对资产价格的波动进行反应的争论进行了回顾,在此基础上,构件了一个最优货币反应模型并进行了模拟,结果认为我国的货币政策应该对房地产价格波动做出反应。分析了金融系统产生顺周期性的原因,探讨了应对房地产价格波动、维护金融稳定的宏观审慎监管工具,对我国宏观审慎监管框架的设计提出了建议。
The volatility of real estate prices frequently induces financial instability and even financial crises in the world. Real estate prices experience sharp increases since the market-oriented reform in China. The financial crisis in2008triggers again the debate concerning whether monetary policy should respond to the volatility of real estate prices. And the macro-prudential regulation has been paid more attention. Under the circumstances, it makes sense in terms of the theoretical and practical perspective to study the mechanism of the volatility of real estate prices and its impact on financial stability and put forwards the measures from the aspects of monetary policy and macro-prudential regulation.
Firstly, the dissertation discusses related theories and studies the mechanism for formation and volatility of real estate prices. The dissertation analyzes the asset bubble theories, including the rational and irrational bubble theories, and financial stability theory from macroeconomic and microeconomic perspectives. The dissertation analyzes the classification, composition and formation mechanism of real estate prices from the perspective of supply and demand especially for China. The volatility of real estate prices in several countries is examined. The dissertation studies the mechanism of volatility of real estate prices from the perspectives of economic fundamentals, credit shock, interest rate and exchange rate volatilities,"land fiscal budget", and behavioral factors.
Secondly, the dissertation explores the-mechanism for the impact of volatility of real estate prices on financial stability from the perspectives of macro-economy, banking system and housing mortgage-backed security market. The macro-economy channel includes wealth effect and investment effect. The banking system channel includes the channel of bank capital, balance sheet effect and the channel of collateral values. The dissertation analyzes the development of mortgage-backed security market and its impact on financial stability. After the analysis of the mechanism, positive analysis of the impact of volatility of real estate prices on financial stability is done. The dissertation studies the volatility of real estate prices in China from1987to2011. After building a factor system with Analytic Hierarchy Process and measuring the financial stability in China, a VAR model is applied to measure the impact of volatility of real estate prices on financial stability.
Lastly, the countermeasures in terms of monetary policy and macro-prudential regulation are put forward. The dissertation explores the evolution the ultimate goals of monetary policy, the development of inflation target rule and the Taylor rule, reviews the debate on whether monetary policy should respond to asset price volatility. An optimal monetary policy response model is established and the results of simulation show that monetary policy should respond to volatility of real estate prices. The dissertation analyzes the causes of pro-cyclicality. It explores the macro-prudential regulation tools for dealing with volatility of real estate prices and maintaining financial stability. And the dissertation puts forward some suggestions on the design of China's macro-prudential regulation.
引文
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