土地价格、土地财政与宏观经济波动

本文在一个包含金融加速器的新凯恩斯动态一般均衡模型中引入土地财政和政府隐性担保融资机制,借此考察在土地财政体制下土地价格的波动特征、驱动因素和对宏观经济的影响机制,同时使用2004Q1到2016Q1的中国宏观经济数据对模型进行贝叶斯估计。方差分解的结果表明,在样本期间,土地需求冲击、土地供给冲击和货币政策冲击是驱动中国土地价格变动的主要因素,货币政策冲击和土地供给冲击是引起短期土地价格波动的主要因素,土地需求冲击在长期中驱动了土地价格波动。数值模拟结果发现,土地财政对宏观经济波动具有放大效应,正向的土地需求冲击将推高土地价格,并通过抵押约束机制引起宏观经济波动,地方政府对土地财政的依赖将放大该效应,并进一步对土地价格形成正向反馈,从而引起宏观经济更大的波动;在土地财政体制下,正向的土地供给冲击有助于抑制土地价格上涨,并减少宏观经济波动。

Land Prices,Land Finance,and Macroeconomic Fluctuations

In China, land is not only an important factor of production, but also a major source of income for local governments. As a result, changes in the price of land can have significant macroeconomic effects. Local governments can manage their lands to raise money for local construction, and thus promote local economic development. However, some local governments are overly reliant on land revenue and form a community of interest with real estate developers, which not only pushes up land prices, but also restricts public decision-making and ultimately hinders local economic development. At the same time, changes in land prices are highly correlated with fluctuations in the macroeconomy. The rapid growth of China's economy has often been accompanied by high land prices, and the economy is usually in a downward trend when the price of land falls.
The cost of land is also an important component of the price of housing, which is a strong determinant of people's livelihoods. Given the important role that land plays in China's economy, it is unlikely that a modern financial system and stable real estate market can be achieved without a major reform of the land market. Hence, the factors and mechanisms that drive the fluctuations in the land prices under the land finance system need to be identified to provide theoretical and practical measures for improving people's livelihoods, promoting the reform of the fiscal and tax systems, and implementing a long-term housing mechanism.
In this paper, we introduce the land finance and implicit government guarantee financing mechanism into a new Keynesian DSGE model that includes a financial accelerator, and investigate the characteristics, factors, and mechanism driving the fluctuation in land prices under the land finance system. Specifically, our model includes families, entrepreneurs, the central bank, and the government as variables. In the model, infrastructure is included as an essential production input, and the government is the main supplier of infrastructure. The revenue for infrastructure investment is not only derived from tax revenue, but also from land sales, land mortgage loans, and implicit guarantee financing with government credit, which are the main characteristics of the local government investment and financing in China. We then use quarterly macro-economic data on China's economy from 2004 to 2016 to calibrate and estimate the model using Bayesian estimation.
The main results of this paper are as follows. First, in terms of the historical variance, the land price fluctuations in China from 2004 to 2016 were greatly affected by the land demand, land supply, and monetary policy shocks. Second, the variance decomposition shows that in the short term (within one quarter), the land prices were mainly affected by the land supply, with the land supply shock explaining 49.87% of the land price fluctuations, followed by the monetary policy shock (24.52%) and the land demand shock (23.43%). However, in the long term, the land demand shock becomes the decisive factor in determining the land prices, explaining almost 42.11% of the land price fluctuation. Third, we further investigate the relationship between the land prices and macroeconomic fluctuations, and examine the amplification mechanism of land finance. We find that a positive land demand shock pushes up the land prices and causes macroeconomic fluctuations through the mortgage constraint mechanism.
This paper makes the following contributions to the literature. First, we consider the important impact of monetary policy on the land market using a sticky new Keynesian DSGE model. Second, we include the characteristics of China's land finance in the model, and depict the investment and financing characteristics of the “land sales for income, land pledges for loans” by China's local governments. Third, this paper also describes the characteristics of the implicit guarantee financing scheme with government credit, which together with the local government borrowing based on land pledges, constitutes the implicit debt of the local governments.