通货膨胀、货币供给与房地产市场关系的实证研究——基于后危机时代数据的考察

我国在2009年底推出的经济政策导致房价和物价不断攀升,央行虽然采取紧缩措施进行应对,但物价和房价仍处高位。对我国货币供给、通货膨胀及房地产之间关系进行理论和实证分析的结果显示:货币供给增加能引起物价和房价上涨;房价上涨能引起物价上涨等。因此,为了更好地应对物价波动,货币政策需关注资产价格,同时应谨慎使用货币政策应对资产泡沫,并密切注意货币流动结构,维持货币供给流向与实体经济发展相适应。     

信贷扩张、资产价格上涨与调控政策选择

本文首先从理论上考察信贷与资产价格之间的关系,利用Allen和Gale的资产价格泡沫模型,并根据我国实际情况,通过放松假设条件说明信贷扩张是资产价格上涨的重要原因,资产供给、信贷政策、银行信贷管理能力会影响资产价格的上涨。通过对我国经济的实证研究发现,我国的信贷与资产价格之间存在相关关系,最后指出从资产供给、信贷政策、银行信贷管理等方面入手制定政策抑制资产价格的进一步上涨。     

价值、价格与泡沫——以我国当前的房价为例

当前对于资产价格泡沫的定义是模糊的,对一些资产(如黄金、房地产、股票等)是否存在泡沫,以及泡沫大小的判断也是轻率的。本文对价值、价格与泡沫之间的关系进行了初步探讨,并以我国的房价为例,总结和分析了一些计量房价泡沫的思路、方法及其局限。     

货币供应、银行信贷与我国的房地产价格泡沫——基于面板数据动态GMM法的实证检验

近年我国房价急剧上涨所形成的泡沫问题已成为可能诱发系统性金融风险的重要因素。以房价收入比作为衡量房地产价格泡沫的评价指标,基于2006—2015年我国35个大中城市的面板数据,运用动态GMM法实证检验了货币供应、银行信贷对房地产价格泡沫的影响作用。结果表明:我国房地产价格泡沫存在跨期动态传递效应,货币供应量和银行信贷对房地产价格泡沫有显著的正向影响,固定资产投资、产业结构、城市化等亦对房地产价格泡沫产生不同程度影响,而上述因素的作用效应在房地产价格不同泡沫程度区域呈现异质性特征。鉴于此,中央政府有必要调整相对宽松的货币政策和房地产信贷政策,采取"因城施策"的差异化调控机制,有效抑制房地产泡沫。     

房地产泡沫度量的另一种思路

自1998年国家住房制度改革以来,我国房地产业快速发展,房地产价格出现了持续上涨势头,特别是从03年开始,房价进入快速上涨阶段。2003年到2009年,我国商品房价格年均增长率高达15.21%,远超同期GDP的增长率。针对我国房价的快速上涨,众多学者从不同角度出发,通过分析研究,大都认为我国房价增长过快,房价过高,存在相当程度的泡沫。本文从将房地产作为长期资产的角度出发,去解读我国当前房价高速增长及是否存在房地产泡沫的问题。     

老龄化、居民消费与商品房价格——基于我国省际数据的实证分析

本文建立了面板向量自回归模型和面板门槛效应模型,采用我国2001—2017年30个省市的数据,实证研究了老龄化、居民消费和商品房价格之间的动态关系以及老龄化对商品房价格的非线性影响。结果显示,老龄化、居民消费与商品房价格之间存在着显著的相关性,整体来看老龄化对商品房价格的影响为负,居民消费对商品房价格的影响为正。在控制房地产投资、就业和金融发展水平等因素后,老龄化对商品房价格的影响存在消费水平的门槛效应。消费水平较低时,老龄化的增加能促进房价的上涨。当消费水平较高时,老龄化的增加能抑制房价的上涨。地区分析结果表明,2007年以后老龄化的增加并不是推动房价上涨的因素。     

资产价格泡沫、货币政策和宏观审慎监管:最新研究进展

由本次全球金融危机引发的资产价格泡沫与货币政策、宏观审慎监管之间关系研究的热潮是对以往货币政策和宏观审慎政策理论的一次深刻反思,将有可能导致理论上的重大突破和政策实践上的重大调整.这是当前全球货币政策理论和实践领域的最前沿、最热门的课题.近期国外机构的研究认为:(1)现有的通货膨胀指标不能全面准确反映货币购买力的变化,必然导致资产价格泡沫周期;(2)可以从经济金融变量中提取资产价格泡沫形成的早期预警信息,这为采用"逆风而动"的货币政策策略创造了条件;(3)现行的货币政策框架需要调整,以抑制资产价格泡沫的形成;(4)调整后的货币政策策略仍不足以应对金融失衡,需改进宏观审慎监管,与货币政策一起共同应对金融失衡.国外的研究对我国的政策实践具有借鉴意义.     

房价、通货膨胀与货币政策——基于中国数据的研究

我国处于经济转型时期,房价、通胀和货币政策都具有不同于其他国家的特点。我国的房价除了取决于供求的力量之外,还受人口结构、财税制度和土地供应制度等因素影响。本文利用我国2005～2011年的数据,通过实证分析发现:(1)我国的流动性对房价和通胀影响显著;(2)我国负利率推升了房价的上涨;(3)货币政策的价格型工具对抑制房价有作用,而且加息对房价的抑制作用超过控制货币供应。     

再售期权、货币幻觉与商品住宅价格泡沫

再售期权和货币幻觉两个因素分别从投资者对未来现金流分布的信念差异和对贴现率估计偏差的角度解释房地产价格泡沫的形成和膨胀。本文以上海商品住宅市场为例,运用动态剩余价值模型从租金房价比角度测度上海房价泡沫水平,并检验再售期权和货币幻觉对上海房价泡沫的解释作用。经验分析发现,上海商品住宅市场存在再售期权和货币幻觉效应,其中货币幻觉效应对房价泡沫影响具有不对称性但解释作用更强,建议应重点关注高通胀和实际负利率对房价泡沫的影响。     

银行信贷与资产价格之间的关系

本文在流动性影响资产价格的理论框架下,研究了银行信贷与资产价格之间的关系,认为银行信贷是货币流动性能否影响资金流动性和市场流动性的关键,银行顺周期的信贷扩张或者收缩造成资产价格过度上涨和下跌,并且是金融危机的一个重要诱因。作者在实证中用VEC模型证实了在中国银行业信贷与资产价格成正相关关系,银行信贷与资产价格如果偏离其...     

Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market

Previous studies have investigated the determinants of housing price cycles in the housing market; however, we observed the phenomenon of housing price jumps in the 2007 subprime crisis. This paper presents a discussion on the housing price cycle and abnormal price jumps to describe the behavior of housing prices in the United Kingdom. The empirical results show that the impact factors of housing cycles are market risk and the switching factor. Furthermore, the impact factors of jump risks include the bursting of the housing bubble and financial crises. Therefore, in this paper, we employ the Markov switching model with jump risks to value the MI contracts and analyze the influences of housing price cycles, jump risks, risks of market interest rate, and the prepayment risks on MI premiums. The results of sensitivity analysis show that more volatile housing price index returns, as well as longer periods of higher volatility in housing prices, raise MI premiums. Moreover, the MI premium is positively related to the absolute value of the average jump amplitude and the shock frequency of abnormal events. There is the tradeoff between the market interest rate and the prepayment risk. The influences of market interest rate are different on MI premium with/without prepayment risks.     

Understanding Housing Market Volatility

The Campbell–Shiller present value formula implies a factor structure for the price–rent ratio of housing market. Using a dynamic factor model, we decompose the price–rent ratios of 23 major housing markets into a national factor and independent local factors, and we link these factors to the economic fundamentals of the housing markets. We find that a large fraction of housing market volatility is local and that the national factor has become more important than local factors in driving housing market volatility since 1999, consistent with the findings in Del Negro and Otrok (2007). The local volatilities mostly are due to time variations of idiosyncratic housing market risk premia, not local growth. At the aggregate level, the growth and interest rate factors jointly account for less than half of the total variation in the price–rent ratio. The rest is due to the aggregate housing market risk premium and a pricing error. We find evidence that the pricing error is related to money illusion, especially at the onset of the recent housing market bubble. The rapid rise in housing prices prior to the 2008 financial crisis was accompanied by both a large increase in the pricing error and a large decrease in the housing market risk premium.     

我国公共保障性住房价格机制研究

保障性住房价格是住房保障制度的重要组成部分,价格合理与否不仅关系到住房保障政策的实施效果,而且还是住房保障政策可持续发展的前提.从理论上看,保障性住房价格机制包括价格形成和价格运行机制,二者相互影响、相互制约而又相互促进.当前,我国保障性住房价格形成机制和运行机制都存在一些亟待解决的问题.本文在分析保障性住房价格形成机制、运行机制的基础上,构建一个科学合理的能指导住房保障工作实践的价格机制.     

货币供给、通货膨胀和粮食价格波动互动关系研究

在VAR模型和方差分解基础上,利用1997年以来的月度数据,分析货币供应量、通货膨胀和粮食价格之间的关系。结果显示：通货膨胀对粮食价格有显著影响,存在货币供应量、通货膨胀到粮食价格变动这一传导途径,同时发现通货膨胀有较强的自身惯性,通过抑制粮食价格来控制通货膨胀是无效的。     

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.     

Turnovers and Housing Price Dynamics: Evidence from Singapore Condominium Market

Recent real estate literature has not only proposed a few theories to explain the puzzling macro feature of the positive correlation between price and transaction volume, but also attempted to identify the causal relationships between them. However, there is little empirical evidence to explicitly illustrate how housing price dynamics measured by both past price changes and price volatility at housing unit level affect housing turnovers. Using a unique housing transaction database from Singapore condominium market, this paper reveals an interesting housing turnover pattern in response to past housing price dynamics. The results illustrate that the rise and fall of a dwelling’s price can significantly affect housing turnovers in the same direction. Higher volatility reduces housing turnovers. The effects are stronger in the domain of losses and are weakening as the cumulative housing equity rises, implying that a seller withholds the sale in the downswing of a real estate cycle in the hope that the market will rebound. The findings offer some additional micro empirical evidence to the interactions between housing price and transaction volume and imply upwardly biased repeat sales indexes.     

股票价格、房地产价格和我国货币需求的实证分析

本文通过引入股票价格和房地产价格,实证分析了资产价格对我国货币需求关系的影响。协整分析表明,房地产价格对长期货币需求有显著的替代效应,股票价格因素不显著。可变参数误差修正模型分析表明,我国的转轨经济特性使得各经济变量对短期货币需求的影响呈现动态变化的特征,同时金融深化和创新也加快了公众对长期货币需求偏离的修正速度。     

Butterfly effect: The US real estate market downturn and the Asian recession

We construct a comprehensive measure for the evolution of the US financial crisis by extracting the common components in the real estate market (S&P Case-Shiller composite-10 housing price index), the equity market (S&P 500 index), and the money market (M2 money multiplier). We then investigate the effects of this crisis on six Asian economies. Using the quarterly data from Q1 1991 to Q1 2010, we find that, surprisingly, the Asian equity markets are not contagious by the crisis; rather, trade contagion is the dominant transmission channel for the crisis to be transmitted to Asia. Finally, our empirical investigations suggest that monetary policy, rather fiscal policy, is a better choice for assisting Asian economies during this crisis.     

The Rationality and Efficiency of Stock Price Relative to Money Announcement Information

Recent studies find that stock price reacts only to unanticipated changes in the money supply. These studies assume a joint hypothesis of rationality and efficiency in their tests. This paper formulates a model in which stock price depends both upon anticipated and unanticipated money supply forecasts. From this model, an econometric model that separates the hypotheses of rationality and efficiency is estimated. The results show that investors rationally incorporate forecasts of the weekly current money announcement into stock price during the pre-October 6, 1979, sample period. However, efficiency with respect to money information cannot be corroborated in this period. Cross-equation restrictions implied by rationality are rejected during the post-October 6, 1979, period. In this period, efficiency again cannot be corroborated. Alternative money prediction specifications indicate the robustness of these results.