我国货币政策对房价作用时滞的实证分析

本文应用向量自回归模型的脉冲响应函数和预测方差分解的方法．对我国货币政策影响房价的外部时滞进行分析。利用2004年1月至2008年6月的月度数据测算出的结果是：信贷规模、狭义货币供应量和利率对房价的作用时滞分别为7个月、3个月和11个月。信贷规模和利率水平度对房价的冲击效应较小。而货币供应量对房价的冲击效应较为明显。央行在制定货币政策时应综合考虑货币工具的特点、作用时滞、经济形势和理性预期的影响。     

房地产价格与通货膨胀、产出的非线性关系——基于门限模型的实证研究

本文研究发现:融资约束效应、实业资本空心化效应、负收入效应和储蓄效应等机制是导致房价与通胀、产出之间非线性动态关系的重要原因。运用门限模型对中国现实进行实证研究,结果发现:(1)房价对未来产出与通胀的影响具有门限效应,当房价处于低增长阶段时,房价增长率对于通胀与产出产生比较显著的正向影响;当房价处于高增长阶段时,房价的这种影响效果不显著。(2)相对于线性模型,门限模型设定能够有效改善房价对通胀和产出的预测效果。因此,如果政策当局希望充分利用房价中所包含的关于未来通胀与产出的领先信息,进而实现"稳定通胀预期和保持经济平稳增长"之目标,则需将房价水平维持在低增长机制中。     

货币政策与房价调控问题研究

货币政策是否应关注房价,取决于房价的变化是否对物价、汇率和经济增长有影响。研究表明,我国的房价对经济增长和物价都有着显著的影响,但对汇率的影响不显著。因此,中央银行应该关注房价的变化,并在货币政策操作中考虑房价因素的影响。不同的政策工具应该针对不同的政策目标,即货币供应量针对物价,贷款利率针对房价,信贷规模针时经济增长。     

银行信贷调整的经济增长效应研究

银行信贷创造货币的功能通过资本深化带动了经济增长。1994~2000年间,中国实施紧缩信贷的政策,银行信贷增长率每降低1%,经济增长率降低0.79%,从紧的信贷政策对抑制1992~1993年的经济过热起到了一定的作用,但是也使这一阶段经济增长一度低迷。2001~2007年,银行信贷增长率每增加1%,经济增长率增加0.2%,稳健的信贷政策对经济增长产生了明显的影响。因此,当前实施的"适度宽松"信贷政策必定会给经济增长带来积极的影响。     

土地财政抑制了企业创新吗?——基于信贷错配视角的分析

基于一般均衡框架,考量房价、土地财政与企业创新之间的关系。研究发现：金融市场存在摩擦时,土地作为重要的抵押资产,房价波动和土地财政会扭曲创新资源的配置,在短期和长期对创新产生不同的影响。短期房价上升通过土地财政推动政府支出增加和总产出扩张,同时带动了企业的研发投入。当面临新的投资机会时,企业可以通过出售房产,缓解流动性约束。但在长期,土地财政引致的政府债务挤出了企业信贷,部门间信贷错配抑制了企业研发投入,同时高房价会导致企业转移部分资源投资房产,部门内资源错配进一步抑制了企业创新,从而降低了长期经济增长率,政府增加土地供给,则会弱化政府债务对企业创新要素的挤出效应。     

限购限贷政策对房价影响实证研究

为抑制投机性房产需求,限购限贷政策已经成为近年来政府抑制房价快速上涨的重要政策工具。本文构建了限购政策指数和限贷政策指数,基于70个大中城市的月度面板数据,利用固定效应面板模型和双重差分模型对限购限贷政策的有效性进行了实证分析。研究结果表明,限购限贷政策对房价的调控效果明显,限购政策指数和限贷政策指数都与房价增长率显著负相关。值得注意的是,限购解除政策对房价具有显著刺激作用。与未限购城市相比,限购城市在解除限购之后,房价增长的速度更快。     

信贷约束、房价与居民消费率——基于面板门槛模型的研究

本文在考虑经济互动关系中内在非线性结构前提下,从信贷约束角度探讨了房价波动对消费的影响机制,并基于我国31个省级区域的面板数据利用Hansen门槛模型进行实证分析,研究发现:总体上我国的房价上涨会抑制消费。我们进一步论证这一现象与广大居民仍面临着较多信贷约束有直接关系。本文同时发现,房价的这种负面影响会随着信贷约束的放松程度而发生非线性的变化。     

我国住房信贷首付约束的差别化调控

解决房地产过度信贷和房价泡沫,出路在于实现风险和收益的合理配置,平衡银行和借款人的风险收益。本文从最优合约的风险转移理论和Allen-Gale资产价格模型出发,结合我国不同城市房价上涨幅度和房价收入比等数据,分析首付比例对不同城市或区域的房价上涨的影响状况。在此基础上,借鉴央行已有差别化调控的操作实践,建议央行在不同城市或区域实行差别化的住房信贷首付比例约束,以提高宏观调控的有效性并降低金融风险。     

基于面板数据模型的信贷支持县域经济增长实证研究——以广西百色为例

本文利用面板数据模型对百色市11个县银行贷款和经济增长的关系进行了实证分析,结论表明信贷对县域经济增长有明显的促进作用。     

信贷结构变动对产业结构变动的作用机制分析

本文运用自回归分布滞后模型研究了信贷结构变动对产业结构变动的作用机制,得出三点结论:一是产业产值结构变动率具有趋势性,前期的产值结构变动率对当期的产值结构变动率具有正面影响,且时间间隔越短,影响越大;二是前期的信贷结构变动率会给当期的产值结构变动率带来正面影响,计量模型显示,某产业前期的信贷占比增长率每增加1%,则该产业当期在GDP中所占比例的增长率会增加0.14%;三是信贷投入对产业产值的影响具有一定的滞后性,即当期的信贷增长并不能全部转化为当期产值的增加.     

House prices,bank instability,and economic growth: Evidence from the threshold model

This paper examines the effects of house prices on bank instability when gauged at various levels of income growth. Bank stability may respond differently to house price changes or deviations from fundamental values in an economic boom environment than in a bust circumstance. A threshold estimation technique developed by Hansen (1999) is applied to a panel of 286 U.S. Metropolitan Statistical Areas (MSAs) over the period 1990Q1–2010Q4. We consider two house price indicators: the house price changes and the house price deviations from long-run equilibrium. The results suggest the existence of income growth threshold effects in the relationship between house prices and bank instability. Specifically, there are two income growth thresholds when using the house price changes and one income growth threshold when the house price deviations are applied. Robustness results using the non-MSAs sample from 1995Q1 to 2010Q4 provide further evidence of income growth threshold effects.     

How effective are macroprudential policies? An empirical investigation

In recent years, policymakers have generally relied on macroprudential policies to address financial stability concerns. However, our understanding of these policies and their efficacy is limited. In this paper, we construct a novel index of macroprudential policies in 57 advanced and emerging economies covering the period from 2000:Q1 to 2013:Q4, with tightenings and easings recorded separately. The effectiveness of these policies in curbing credit growth and house price appreciation is then assessed using a dynamic panel data model. The main findings of the paper are: (1) Macroprudential policies have been used far more actively after the global financial crisis in both advanced and emerging economies. (2) These policies have primarily targeted the housing sector, especially in the advanced economies. (3) Macroprudential policies are usually changed in tandem with bank reserve requirements, capital flow restrictions, and monetary policy. (4) Our analysis suggests that macroprudential tightening is associated with lower bank credit growth, housing credit growth, and house price appreciation. (5) Targeted policies – for example, those specifically intended to limit house price appreciation – seem to be more effective, especially in economies where bank finance is important.     

收入差距、信贷约束与房价变动

本文通过构建一个异质性代理人模型,刻画了收入差距通过信贷渠道影响房价的作用机制。研究表明,收入差距的缩小提升了低收入者的收入占比,使该类人群获得了更多的外部融资进行购房,由此产生了两方面效应:(1)信贷约束放松降低了住房流动性溢价,从而对房价产生负向影响;(2)收入上涨增加了住房边际效用较高的低收入者对房价正向影响的权重,从而使住房需求上升的效应抵消了此前的负向影响,最终促进房价上涨。通过对1970-2017年44个国家的进一步分析发现,相比于高收入者收入的下降,低收入者收入占比的上升在放松信贷约束和提升房价方面具有更显著的作用。据此本文认为:一方面要通过增加住房供给来化解城市化率提升与高房价之间的内在矛盾;另一方面,在经济增速放缓的时期,缩小收入差距,推动以“人”为核心的高质量城市化,并引导信贷资源向低收入群体倾斜是当前促进国内大循环、稳定社会融资规模和房地产市场的重要手段。     

Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies

This paper investigates the effectiveness of nine non-interest rate policies on house prices and housing credit using data from 57 economies and periods of up to three decades. We find that introductions or reductions in the maximum debt-service-to-income ratio, and increases in housing-related taxes, have significant negative effects on housing credit, with a typical tightening action lowering the real credit growth rate by 4–6 percentage points and by 3–4 percentage points, respectively, over the subsequent four quarters. Increases in housing-related taxes moderate house price growth, with a typical increase slowing real house price appreciation by 3–4 percentage points over the same horizon.     

房价波动、金融稳定与最优宏观审慎政策

本文通过构建包含家庭住房抵押借款摩擦和银行贷款摩擦的动态随机一般均衡模型,重点考察了异质性冲击下房价波动对金融稳定的影响。研究发现,房价上涨会导致银行风险溢价及杠杆率显著上升,进而加剧金融体系的内在不稳定。为降低房价波动及维护金融稳定,选取两类宏观审慎政策工具进行逆周期调控实验,结果表明,在住房需求冲击下,金融管理部门应选取贷款价值比政策,且应对房贷积极调控,而对房价进行中性调控。在最终产品部门生产率冲击、房地产部门生产率冲击及跨期偏好冲击下,应选取资本充足率政策,但对房贷和房价调控力度的把握则存在差异。本研究为厘清房价波动对金融稳定的动态传导机制,以及金融管理部门如何选取宏观审慎政策工具以稳定房价并降低系统性金融风险提供了启示。     

Global Liquidity,House Prices,and the Macroeconomy: Evidence from Advanced and Emerging Economies

In this paper, we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990–2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent, and less synchronized across countries than in advanced economies (AEs). We also find that they correlate with capital flows more closely than in AEs. We then condition the analysis on an exogenous change to a particular component of capital flows: global liquidity, broadly understood as a proxy for the international supply of credit. We identify this shock by aggregating bank‐to‐bank cross‐border credit and by using the external instrumental variable approach introduced by Stock and Watson (2012) and Mertens and Ravn (2013). We find that in emerging markets (EMs) a global liquidity shock has a much stronger impact on house prices and consumption than in AEs. We finally show that holding house prices constant in response to this shock tends to dampen its effects on consumption in both AEs and EMs, but possibly through different channels: in AEs by boosting the value of housing collateral and hence supporting domestic borrowing; in EMs, by appreciating the exchange rate and hence supporting the international borrowing capacity of the economy.     

Correlated leverage and its ramifications

This paper develops a theory in which housing prices, the capital structures of banks (mortgage lenders) and the capital structures of mortgage borrowers are all endogenously determined in equilibrium. There are four main results. First, leverage is a “positively correlated” phenomenon in that high leverage among borrowers is positively correlated with high leverage among banks, and higher house prices lead to higher leverage for both. The intuition is that first-time homebuyers with fixed wealth endowments must borrow more to buy more expensive homes, whereas higher current house prices rationally imply higher expected future house prices and therefore higher collateral values on bank loans, inducing banks to be more highly levered. Second, higher bank leverage leads to greater house price volatility in response to shocks to fundamental house values. Third, a bank’s exposure to credit risk depends not only on its own leverage but also on the leverage decisions of other banks. Fourth, positive fundamental shocks to house prices dilute financial intermediation by reducing banks’ pre-lending screening, and this reduction in bank screening further increases house prices. Empirical and policy implications of the analysis are drawn out, and empirical evidence is provided for the first two main results. The key policy implications are that greater geographic diversification by banks, tying mortgage tax exemptions to the duration of home ownership, and increasing bank capital requirements when borrower leverage is high can help reduce house price volatility.     

Villains or scapegoats? The role of subprime borrowers in driving the U.S. housing boom

An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002-2006 U.S. house price boom. By contrast, this paper documents a robust, negative correlation between the growth in the share of purchase mortgages to subprime borrowers and house price appreciation at the county-level during this time. Using two different instrumental variables approaches, we also establish causal evidence that house price appreciation lowered the share of purchase loans to subprime borrowers. Further analysis using micro-level credit bureau data shows that higher house price appreciation reduced the transition rate into first-time homeownership for subprime individuals. Finally, the paper documents that subprime borrowers did not play a significant role in the increased speculative activity and underwriting fraud that the literature has linked directly to the housing boom. Taken together, these results are more consistent with subprime borrowers being priced out of housing boom markets rather than inflating prices in those markets.     

Excessive Financial Support,Real Estate Development and Macroeconomic Growth: Evidence from China

ABSTRACT

Using monthly panel data for China’s 30 provinces from 2007 to 2017, this article analyzes how level of financial support affects the interplay between real estate development and macroeconomic growth. Based on a threshold model, the results suggest that housing price increases substantially impede economic growth, but there is no significant threshold effect for the sample as a whole. On investigating regional cross-sectional variations, we found that local economic situation clearly impacts on this effect, with significant threshold effects detected in subsamples. While housing price may have positive influences on economic growth in the mid-west subgroup with appropriate financial support, more developed regions returned contrary results.