住房价格、金融稳定与宏观审慎政策

本文通过建立包含异质性家庭、异质性厂商和金融机构的DSGE模型,分析对预期房价作出反应的货币政策和宏观审慎政策的传导机制和政策效果,研究不同政策的选择和协调问题。研究发现,首先,由于政策的作用范围不同,不同政策会对金融稳定和经济稳定产生不同影响。对预期房价作出反应的货币政策能够抑制住房需求和信贷供给,但也会抑制消费需求和产出;而对预期房价作出反应的逆周期LTV政策和逆周期资本充足率政策在应对房价波动导致的金融稳定问题时更加有的放矢。其次,外生冲击的来源会影响政策的选择和协调——当经济波动来源于需求冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、不对预期房价作出反应的货币政策表现最优;当经济波动来源于供给冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、对预期房价作出反应的货币政策表现最优。

House Prices,Financial Stability and Macro-prudential Policies

In recent years, house prices and real estate loans in China have risen sharply, and the volatility of real estate loans in China is mainly driven by the volatility of residential mortgages. Studying how the macro-prudential policy aimed at enhancing the stability of the whole financial system should deal with the rise of house prices and the related debt risk is of great significance for China to prevent and resolve major financial risks. Existing research does not consider the choice of and coordination issues between monetary policy with financial stability as the second goal and the macro-prudential policy to address house price fluctuations and related debt risk. To fill this gap, this article incorporates the monetary policy, macro-prudential policy targeting household sector loan-to-value (LTV) and macro-prudential policy targeting the capital adequacy of financial institutions in a unified analysis framework, analyzes the transmission mechanisms and policy effects of these three policies, and studies policy choice and coordination issues.
First, this article constructs a DSGE model containing heterogeneous households, heterogeneous vendors and financial institutions. The theoretical analysis shows that for patient households, only the monetary policy responding to expected house prices can directly curb their housing demand. For impatient households and financial institutions, both the monetary policy responding to expected house prices and the macro-prudential policy responding to expected house prices can curb the rise of house prices and credit expansion. Different policies have different scopes and different effects on financial stability and economic stability. A monetary policy responding to expected house prices can curb not only housing demand and credit supply but also consumer demand and aggregate output, while a counter-cyclical LTV policy and a counter-cyclical capital adequacy policy responding to expected house prices are more targeted in dealing with the financial stability issues arising from house price volatility.
Second, based on the quarterly macroeconomic data of China from 2000 to 2021, this article adopts a Bayesian approach to select the economic model with the best fitness. The results show that the policy portfolio of the economic model with the best fitness is a monetary policy responding to expected house prices combined with a macro-prudential policy of counter-cyclical LTV. The variance decomposition shows that the volatility of the main macroeconomic variables, such as aggregate output, aggregate consumption, aggregate investment and inflation, is mainly affected by monetary policy shock, while the volatility of the main macro-financial variables, such as loan size, household sector LTV, financial institution leverage ratio and macro leverage ratio, are mainly affected by shocks from house transaction cost, financial institution regulatory and household sector LTV. In addition, shocks from house transaction costs and monetary policy explain more than 95% of house price fluctuations.
Finally, this article explores the issue of policy choice and coordination using impulse-response analysis and welfare analysis. The impulse-response analysis reveals that a counter-cyclical LTV policy and a counter-cyclical capital adequacy policy are more effective in responding to expected house prices when facing a house transaction cost shock, while a monetary policy responding to expected house prices may hurt economic stability. Given a monetary policy shock, a monetary policy responding to expected house prices is more effective than a macro-prudential policy responding to expected house prices. In sum, both macro-prudential policies and a monetary policy that respond to expected house prices contribute to financial stability. The result of the welfare analysis suggests that when economic fluctuations originate from demand shocks, a fixed LTV policy combined with counter-cyclical capital adequacy policy and a monetary policy not responding to expected house prices perform best, while a fixed LTV policy combined with counter-cyclical capital adequacy and a monetary policy responding to expected house prices perform best during economic fluctuations that originate from supply shocks.
Our research has important policy implications for China's macroeconomic regulation. First, the regulation principle of houses being for living in and not for speculation should be strictly implemented to highlight the attributes of housing as a consumer good and weaken its attributes as an investment good. Second, it is necessary to analyze the transmission mechanism and policy effect of different macroeconomic policies, such as macro-prudential policies of counter-cyclical LTV and counter-cyclical capital adequacy and a monetary policy responding to expected house prices, and to strengthen the coordination and cooperation between various policies. Finally, to prevent and resolve major financial risks, it is necessary to accurately identify the sources of economic volatility and optimally combine different policies according to their characteristics and the sources of economic volatility.