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。

House Price Fluctuations,Financial Stability,and Optimal Macroprudential Policies

Many of the financial crises that have occurred in recent decades arose from excess credit expansion induced by a rapid, unsustainable growth of house prices. Such an excess credit expansion threatens the stability of the financial system. China, as the world's second largest economy, has been experiencing an unprecedented housing boom accompanied by rapid credit expansion in the wake of the 1998 housing commercialization reform. It is thus a matter of public concern, and of great interest to authorities, how to maintain financial stability by policy interventions. In recent years, there has been a growing consensus among scholars that in addition to monetary instruments, macroprudential instruments might be good alternative candidates for containing the financial imbalances induced by large swings in house prices. However, the design of an appropriate macroprudential tool and the desirable degree of intervention remain matters of academic controversy.
Using Chinese data, we develop and estimate a dynamic stochastic general equilibrium (DSGE) model that allows for financial frictions tied to households and financial intermediaries. The model is used to address two sets of issues associated with the Chinese economy. First, we investigate the extent to which the model can account for empirical evidence that house price fluctuations affect investment, loans, and bank leverage ratio over the business cycle. In particular, a positive shock to house prices directly drives up house prices and housing investment, leading to an increase in loans. It then causes a rise in the interest spread and subsequently encourages banks to raise their leverage ratio. In the presence of financial frictions, the effects of housing demand shocks are amplified and propagated over time. In this regard, a rapid growth of house prices may undermine financial stability. Second, we conduct counter-cyclical experiments with macroprudential instruments (loan-to-value ratio and capital adequacy ratio) to examine the extent to which they can stabilize the housing market, the financial system, and the macroeconomy as financial imbalances increase.
The contributions of this paper are threefold. First, we build a theoretical model with a rigorous micro-foundation to study the interaction between the financial and housing markets over the business cycle during the housing boom in China. Second, the baseline model with financial frictions is capable of capturing the mechanism by which fluctuations in house prices initiated by an exogenous shock influence the bank's balance sheet and the macroeconomy. Third, it provides a better understanding of the effectiveness of macroprudential tools in alleviating the instability of the financial and housing market under different shocks.
The main results of this paper are as follows. With the estimated parameters, the model successfully accounts for the joint behaviors of house prices, investment, loans, and bank leverage ratio observed in the data. More importantly, it captures the mechanism by which fluctuations in house prices affect the bank's balance sheet and the macroeconomy as a whole in response to exogenous shocks to house prices. Moreover, we find that a countercyclical loan-to-value (LTV) requirement that directly responds to the credit gap and house price gap can effectively stabilize the financial and housing markets and improve social welfare in response to a housing preference shock, but it does poorly in response to productivity and time preference shocks. Lastly, a countercyclical capital adequacy requirement that directly responds to the credit gap and house price gap performs well in stabilizing the economy and improving social welfare when productivity and time preference shocks impinge on the economy.
This paper not only provides a better understanding of the link between house price fluctuations and financial stability but also reveals the importance of macroprudential policies in maintaining the stability of the financial and housing markets. Our results suggest that macroprudential authorities should distinguish the sources of house price fluctuations when designing and implementing policies. Failure to do so may lead to enormous losses of welfare to society and the economy.