摘要
房地产行业在国民经济中具有支柱地位,房地产价格的波动性不可避免地引起宏观经济的波动,对房地产企业、居民和银行的生产经营和资产造成风险。因此,深入研究房地产价格波动形成机制和微观基础,以及对我国房地产价格波动的影响因素进行分析和实证研究具有重要的理论价值和现实意义。论文由包括导言、正文和结论在内的八个部分组成。
第一章主要阐明了本文研究问题的提出及选题的意义,综述了国内外房地产价格波动类型、影响因素和波动机制等相关研究文献,并对本文的研究思路、分析框架、研究方法、基本创新点进行了总结。
第二章主要阐明了房地产价格波动的内涵、房地产及房地产市场的特性,以及对房地产价格波动的形成机制进行探析。房地产价格波动是指围绕长期增长趋势上下起伏、振荡,既包括房地产价格周期波动又包括随机波动、异常过度波动等。房地产价格波动形成机制的李嘉图租金模型,主要从房地产的定价入手,认为房地产的价格是只不过是未来租金收入的现值,不同的土地位置,不同的要素投入都会要求有不同的租金收入；存量—流量模型是把房地产既作为一般消费产品,又作为一种特有资产,从而在房地产的使用市场、资产持有市场和房地产生产市场等三个相互关联的市场来研究房地产的价格波动；资产泡沫理论主要是把房地产作为一个虚拟资产来研究预期、投机等因素所导致的房地产价格脱离市场价值基础的持续上涨和下跌过程；看跌期权理论把房地产信贷作为一种期权,对期权价格的估值的高低会刺激房地产价格偏离其基本价值。
第三章主要研究房地产价格波动的形成机制。本章构建一个房地产价格波动存量—流量模型,首先,研究在实体需求的情况下,引起房地产价格波动因素,及其因素变动的冲击行为分析；其次,进一步扩展存量—流量模型,在原有模型基础上加入投机需求分析,研究在实体需求和投机需求共同作用条件下的房地产价格波动。
第四章主要研究房地产价格波动的微观基础,研究了房地产开发商、银行和个人在金融加速器、灾难性短视和道德风险与过度投资等直接根源的影响下,房地产价格波动情况,同时,从银行的投资行为出发,研究了银行对房地产企业投资存在“公地悲剧”现象,个体理性与集体非理性投资行为是房地产价格波动的内在原因。在房地产价格不断上升时期,所有银行都预期市场处于景气时期,且随着抵押价值的高涨,获得抵押贷款的金额和能力也逐渐增强。相反在市场处于不景气时期,银行群体性地降低对他们的信贷支持力度。银行与房地产开发商之间的互动行为最终导致了房地产价格波动。第四,从房地产企业的借贷行为出发,研究了国家对房地产行业存在隐性担保,房地产企业贷款对贷款具有一定的期限偏好,进而引起房地产期限结构不合理。银行在扩张的信贷政策下,房地产价格稳步上升,一旦国家紧缩信贷,就会导致房地产企业资金链断裂,进而引起房地产价格出现逆转。
第五章主要对影响我国房地产价格短期波动的因素进行分析和研究。第一,通过研究日本和美国等国家房地产的发展状况、波动情况,以期找到可供借鉴的经验。日本地产泡沫的教训在于：日元国际化和低通胀导致扩张性货币政策的实施,期间金融机构行为、企业行为都发生了严重扭曲；美国房地产储贷危机的启示在于,取消“Q”条款的金融自由化,导致Trifts向储户提供市场利率存款,Thrifts提高利率以便吸收存款。结果导致存款利率高于住房抵押贷款利率,导致Thrifts入不敷出。Thrifts为了应对高存款利率,投资了大量高风险高收益的房地产开发项目及垃圾债券。第二,从土地成本、宏观经济政策、银行信贷和投机等影响我国房地产价格波动的短期因素出发,研究了它们与房地产价格波动的影响机制和相关关系。第三,对我国房地产价格波动进行实证分析,实证表明存在明显的波动集群和高峰厚尾特征,并呈现左偏和不对称性；同时,对影响我国房地产价格波动的因素进行协整和格兰杰因果关系检验,检验结果进一步证实了土地价格、银行信贷、投机等对引起房地产价格过度波动的具有重要作用。
第六章主要对影响我国房地产价格波动的长期趋势决定因素进行分析,主要分析了我国的城镇人口的变化情况,城市化的发展历程和经济增长对房地产价格波动的影响,并通过实证检验分析了这些趋势因素对房地产价格长期波动特征的影响,同时,对我国房地产需求和供给收入弹性和价格弹性进行计量分析,进一步研究我国房地产价格波动的内在机制。
第七章主要对抑制房地产价格过度波动提出政策建议。首先,从政府宏观调控角度出发,提出了应对房地产价格波动的宏观经济政策；其次,从银行构建完善的银行信贷政策出发。提出了银行应建立房地产经济波动的相关指标体系,并将这些指标纳入到银行的评级体系,通过完善内部评级体系、确定最佳授信额度和房地产行业限额,核定有效担保额度、进行房地产贷款减值准备等；第三,从房地产产业健康发展的角度,提出了构建多层次的房地产供给体系,完善房地产企业公司治理和完善市场机制等产业政策措施。
第八章是结论。
本文的主要创新：
1.本文在理论上,通过构建一个扩展的存量—流量模型,对房地产价格波动的影响因素、长期趋势、形成机制进行了理论与实证分析,丰富了房地产价格波动理论。
2.本文在理论上,对房地产价格的形成机制进行了系统分析,并运用博弈论的有关概念和分析方法,提出并理论证实了基于房地产“公地悲剧”和基于房地产贷款期限结构的房地产价格波动的观点,扩大了房地产价格波动的研究视野。同时,本文在实证研究方面,对影响我国房地产价格波动的需求和供给弹性等内在机制进行分析和研究。
3.本文在对策上,为应对房地产价格过度波动,主要从银行的角度提出了建立并完善我国房地产价格波动的相关指标体系,完善银行内部评级体系、确定最佳授信额度和房地产行业限额、提高担保的有效性、进行房地产贷款减值准备等政策措施,并从国家宏观调控和房地产行业健康发展的角度对防范投机需求和价格过度波动提出相关建议。
Real estate is the pillar industry of the national economy and depends mainly on the bank credit, so the credit risks coming from real estate industry menace the sound development of the national economy. Therefore, it has significant theoretic and practical value to probe the principles and the micro-foundation of real estate cycles. Of course, the research on and the practical analysis of the influencing factors of real estate fluctuation has the equal importance.The dissertation includes eight chapters.
The first chapter indicates the tenet of the dissertation and surveys the main literatures in the related research field. Furthermore, the chapter emphasizes the researching clues、analytic framework、researching techniques and basic new ideas.
The second chapter demonstrates the connotations and the attributes of real estate oscillations. Real estate oscillation is referred to the fluctuation around its long run trend of growth, including seasonal fluctuation and random fluctuation. Based on the microeconomic pricing theory, the mechanism of real estate oscillation indicates that the price of real estate is just the present value of the future rents, which are different with the different local sites and the different resources investment. When the stock-flow model refers real estate not only as the common consumption goods but also as the capital goods, so we can research the price fluctuation of real estate in the three interrelated field of real estate using、maintaining and production market through the theoretic framework.. In another researching framework named asset bubbles theory, we can refer real estate as the fictitious asset to probe the mechanism of price fluctuation through analyzing the basic events such as prospect and speculation. Put option theory refer real estate loan as a put option, Evaluation of put option will stimulating the price of real estate departuring from fundamental value.
The third chapter demonstrates the forming mechanism of real estate cycles. The author establishes a stock-flow model in this chapter to deal with real estate cycles: First, irrespective of speculative demand, the essay analyses the shocks which causes the fluctuations of real estate price; Second, The essay expands the basic stock-flow model through adding the speculative demand analysis to probe the fluctuations of real estate price.
The fourth chapter deals with the micro-foundation of the mechanism of real estate fluctuation. The essay studies the fluctuation of real estate price in the influences of the interactions of financial accelerator、disastrous myopia、moral hazard and overinvestment.Second, from the behavior of the bank investment.there is phenomenon of "tragedy of the commons" in the investment in real estate industry of banks, so the intrinsic reasons of the fluctuation of real estate price and credit risk are coming from the actions of individual rational and collective rational behaviors. In the periods of the escalation of the price of real estate, all banker expects that real estate industry will have much more capacity to pay back their loans to banks with their asset value increasing when the real estate market become prosperous. On the contrary, when real estate market becomes recession, all bankers decrease their loan to the real estate industry, which cause the accumulation of the credit risk. The fourth，through the research of the implicit insurance of government on real estate industry, the essay finds that the different of the term cost of real estate loan is the main reasons for the inappropriateness of the term structure of real estate banking loan.
The fifth chapter probes the influencing factors of Chinese real estate fluctuation. First, the essay reviews the experiences of governing the real estate market of Japan and the United States and etc.The bubbles in the Japan's real estate market give us a lesson that the behaviors of the financial institutions and non-financial firms were distorted by improperly carrying out monetary policy in the periods of the internationalization of Japanese Yen and low inflation. It leads the price of land to keep rising by the huge amount of land purchases of firms, whose purpose is to maintaining their asset value. Therefore, the supply of land become shortage and the firms go away from the transaction market. Under the action of the financial accelerator, the financial situation becomes much more terrible. The lessons of the Thrifts financial crisis told us that the financial liberalization stemming from the deregulation of "Q" rules causes Thrifts to increase the interest rate to attract the deposits. The results of the financial liberalization lead the interest rate of deposits to be higher than that of mortgage loan, which at last leads Thrifts to be unable to make ends meet. For dealing with the high interest rate of deposit, Thrifts had to invest huge amount of funds in the junk bonds and real estate developing items. Second, through viewing real estate at an macroeconomic angle, the essay analyses the influences on real estate cycles of the interactions of government、bank、enterprise and family. Third, the practical research indicates that the fluctuations of real estate price contains several key characteristics such as fluctuation clusters、leptokurtosis、left skewness and asymmetry. Meanwhile, through the co-integration technique and Granger causality test, we find that earth price、banking credit and speculation are three of the most important factors of triggering real estate over-fluctuation.
The sixth chapter analyzes the factors which influencing the change trends of real estate. The focus of the analysis is about the impacts on real estate fluctuation of the variation of the population of the cities、the development of citilization and the economic growth. In the last, the essay proves the trend of the development of real estate cycles through the practical test.in the meantime, the essay estamates the real estate elasticity of demand and supply in our country. Study the inner mechanism of real estate fluctuation.
The seventh chapter concerns with the policy advisements which how to restrain the over-fluctuation of real estate. The first, from the point of view of the macroeconomic regulation and control, the essay provides some advices for controlling the over-fluctuation of real estate. The second, from the point of view of constructing sound banking credit policy, the bank should establish a set of economic indicators to supervise the real estate market. Furthermore, the essay has also researched that how to merge the indicators into the banking credit rating systems, which will help banks increase their ability to safeguard the financial risks. The third, from the point of view of the health development of the real estate industry, the essay advises that we should construct multilevel supply system of real estate to improve corporate governance and market mechanism.
The eighth chapter is about the main innovation of the paper:
1.The paper theoretically establishs a stock-flow model,through this model analyze the factor and trend of real estate fluctuations, theoretically and empirically study the forming mechanism of real estate cycles, enriches the theory of real estate economy fluctuations.
2.The paper has systematically carried on the theoretical analysis to the mechanism of real estate cycles, through some concepts and methods of Game Theory,proposed and demonstrate the viewpoint of real estate fluctuation of "tragedy of the commons", and the viewpoint of real estate fluctuation of the inappropriateness of the term structure of real estate banking loan, widen the scope of fluctuation. in the meantime, estamate the real estate elasticity of demand and supply in our country. Study the inner mechanism of real estate fluctuation.
3.In the counter-measures, for the effective prevention of real estate fluctuation, establish a set of economic indicators to supervise the real estate market. and techniques of risk to consummates the IRB, to confirm the optimal sum of loan and sum of real estate industry, to increases the effectives of collateral loan, to establish the devalue preparation. Furthmore, from the point of view of macroeconomic regulation and the health development of the real estate industry, the essay provides some advices to safeguard the speculating demands of real estate and price over-fluctuation.
引文
①丹尼斯.地帕斯奎尔,威廉.惠顿.城市经济学与房地产市场.北京：经济科学出版社,2002
①曹振良,房地产经济学通论,北京大学出版社,2002
①郭金兴.房地产的虚拟性及其波动研究.天津：南开大学出版社,2005
①丹尼斯.地帕斯奎尔,威廉.惠顿.城市经济学与房地产市场.北京：经济科学出版社,2002
①曹振良.房地产经济学通论.北京大学出版社,2003
①Ben Bernanke,Mark Gertler, Simon Gilchrist, "The Financial Accelerator in a Quantitative Business Cycle Frame work" NBER Workingpaper No.6455, March
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①Krugman,Paul(1998),What Happened to Asia? http://web.mit.edu.krugman
①楮勇强optimal timing of real estate development under asymmetric duopoly,2003
①《国外如何调控房地产市场,美国模式值得借鉴》,中国证券报,2006,07,22
②包宗华,《韩国“整治”房地产投机的启示》,中国房地产信息,2006(1)
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