限购政策是否降低了上市房地产企业价值？——基于强度双重差分法的经验研究

完善住房市场体系是国民经济中的重要议题,限购政策作为政府稳定和调节房地产市场的主要手段,对房地产企业以及住房市场体系建设均有重要影响。本文利用上市房地产企业2008—2013年以及2015—2019年的相关数据,通过构建强度双重差分模型实证分析了两轮限购对上市房地产企业价值的影响及其作用路径。实证结果表明:第一,两轮限购政策均显著降低了上市房地产企业市场价值,当企业在限购城市销售占比越大时,价值下降幅度越大;第二,从企业经营绩效来看,两轮限购对其实际盈利和营运能力并未产生显著影响,第一轮提高了企业偿债的经营风险,而第二轮只是影响了企业的资产增长能力;第三,两轮限购对房地产市场产生异质性影响,第一轮并未显著影响房价上涨,而第二轮则显著遏制了房价上涨;第四,从股票市场看,第一轮限购主要是通过企业经营风险影响投资者预期,而第二轮限购则是通过影响房价来改变投资者预期,这进一步凸显了“房住不炒”的政策作用。本文的研究意义主要体现在制定与推进政策时应关注预期的作用,这对于当前“房住不炒”政策的长期实施及其政策效果的长期稳定都具有一定启示。     

Are Housing Price Cycles Driven by Irrational Expectations?

This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle.     

中国房地产市场价格泡沫与空间传染效应

本文使用对数周期性幂律(Log Period Power Law, LPPL)模型对房地产市场价格泡沫进行测度,运用空间计量模型对我国房地产市场价格泡沫和空间传染效应进行研究。LPPL模型认为由价格泡沫产生并最终破裂的金融市场与地震系统具有很多相似之处,即金融资产的价格呈周期性变化规律,价格持续上涨到临界状态直至反转。本文采用2010年6月至2017年11月间我国100个城市的房地产市场数据对各城市房地产价格泡沫进行测度和物理/经济空间传染效应研究。研究发现,LPPL模型能够对我国100个城市房地产价格泡沫进行甄别且主要存在两种泡沫状态:正向泡沫(房价持续上升)和反转泡沫(房价整体下降却存在反转点)。各个城市(地区)房地产价格具有较强的空间传染性;存在正向泡沫区域的空间传染性相较反转泡沫区域更为明显,在考虑经济空间测度而不是物理空间测度的情况下,各城市间的空间传染性更强。与现有文献不同,我们发现反转泡沫区域的新房价格指数特别是二手房价格指数的上升对周边城市的房地产价格指数存在强烈的正向推高影响。最后,本文发现城市的房地产调控政策在一定程度上抑制了房价传统影响(比如信贷、新房、二手房价等)因素的推高影响,但各城市房地产价格之间的联动变化特征应该引起监管部门的注意。     

Lending behavior and real estate prices

The willingness of banks to provide funding for real estate purchases depends on the creditworthiness of borrowers. Besides other factors, this creditworthiness depends on the development of real estate prices. Real estate prices, in turn, depend on the demand for homes which is influenced by the supply of mortgages. I develop a theoretical model which explains this circular relationship. I show how different kinds of expectation formations can lead to fluctuations in real estate prices. Furthermore, I show that banks make above-average profits in the upswing phase of the real estate cycle but suffer high losses when the market turns.     

我国房地产价格与通货膨胀的关联关系及其影响因素

基于1999～2011年的季度数据,运用考虑外生政策变量的多变量SVAR模型检验我国房地产价格与通货膨胀之间的关联及其影响因素,研究表明:我国房地产价格与通货膨胀之间存在关联关系,并且受到流动性水平、工业产业产能、利率、市场预期、工资水平、调控政策等因素的共同影响,其中货币因素是主要因素之一,而宏观调控政策对房价的作用最初则表现出紧缩失灵、扩张有效的态势,特别是对房价的调控,存在较长时滞,因此,必须坚持调控政策不动摇。     

Adaptive expectations, underparameterization and the Lucas critique

A striking implication of the replacement of adaptive expectations by rational expectations was the “Lucas critique,” which showed that expectation parameters, and endogenous variable dynamics, depend on policy parameters. We consider this issue from the vantage point of bounded rationality, where for transparency we model bounded rationality by means of simple adaptive expectations. We show that for a range of processes, monetary policy remains subject to the Lucas critique. However, there are also regimes in which the expectation parameter is locally invariant and the Lucas critique does not apply.     

金融危机期房地产业健康发展问题

综观我国房地产业的现状,金融危机使房地产业加快进入调整期,但房价依然过高,房地产市场虚火仍旺,房价震荡跌涨是其理性回归过程,预期房地产业真正回升还将有一段时间。建议:改革土地转让收费制度,以大幅度降低住房价格;采用共有产权形式解决低收入群体的住房问题。只有广大百姓的安居,才是房地产业健康发展之路。     

Using Housing Futures in Mortgage Research

Expectations of housing prices play an important role in real estate research. Despite their importance, obtaining a reasonable proxy for such expectations is a challenge. The existing literature on mortgage research either does not include housing expectation proxies in empirical models, or uses “backward-looking” proxies such as past housing appreciation or time series forecasts based on past housing appreciation. This paper proposes to use the transaction prices of Case-Shiller housing futures as an alternative “forward-looking” proxy. As an example, we compare the performances of four different expectation proxies in explaining mortgage default behavior. The loan level analysis shows that the futures based expectation proxy outperforms other proxies by having the highest regression model fit and being the only proxy that shows a significant negative effect on mortgage default behavior, as theory suggests. Out of sample predictions also show that futures have better prediction accuracy than other proxies. In addition, the paper shows that futures contain additional information that is not present in the backward-looking proxies.     

The Dependency of Rent-to-Price Ratio on Appreciation Expectations: An Empirical Approach

Using two unique datasets from different neighborhoods in Houston, TX, which provide us data for houses with similar structure (or even same house), we test the standard model of housing values to determine how the formation of households’ expectations regarding price appreciations affects housing market prices. Using these datasets we are able to address previously encountered problems in the literature such as the lack of adjustment for quality differences, the connection between prices and rents for the different type of housing, and the spatial distribution of housing. We test whether consumer behavior leads to potentially unstable market conditions with price bubbles. Our results suggest that appreciation expectations are based on past price appreciation but at the same time they depend on the fundamental factors such as, locational and structural. These findings show a hybrid consumer behavior of rational and adaptive expectations. Finally, we show how these expectations could sometimes lead to unstable price levels.     

人民币汇率与我国股价、房价的联动关系研究

近年来,我国人民币汇率形成机制、股票市场和房地产市场发生了巨大变化,人民币汇率和股价、房价之间的信息传导和波动关联备受瞩目。本文采用VAR-MGARCH-BEKK模型,分析了我国人民币汇率、股价和房价之间的联动关系。研究结果表明,从波动的溢出效应来看,人民币汇率的波动率、股票价格的增长率和房地产价格的增长率之间存在非常明显的波动溢出效应;从资产价格的水平影响来看,人民币汇率与股票价格、房地产价格等国内资产价格的水平相关性较弱,而股票价格对房地产价格的影响较明显,并就该结论提出了相关的理论解释和政策建议。     

中国制造业与房地产业协调发展的测度与判断

产业间的良性互动是经济高质量发展的一个重要体现。本文基于2004-2016年我国各省份29个细分制造业行业与房地产业的数据,采用耦合评价模型,对我国制造业与房地产业协调发展的变化情况进行了测度。同时,本文尝试从内在机制上找出两产业的最佳耦合度,并实证分析了两产业耦合协调度对全要素生产率和经济增长率的影响。进一步,本文运用渐进式双重差分法分析了房地产限购政策这一外部冲击对两产业耦合度的影响。测度结果表明,两产业的互动程度不断增强,由2004年的失调发展上升到2016年的良好协调发展;中西部地区制造业与房地产业的耦合协调度略高于东部地区;东中西部地区房地产业的总体发展水平均于2012年前后超过制造业。计量结果显示,东部地区制造业与房地产业协调发展的过程中会产生一些负面的经济影响,这能从东部地区过热的房地产市场中找到原因;对于房地产过度发展地区而言,限购政策改善了地区内制造业与房地产业的耦合度。     

Learning and the Effectiveness of Central Bank Forward Guidance

This paper examines the link between expectations formation and the effectiveness of central bank forward guidance. A standard New Keynesian model is extended to include forward guidance shocks in the monetary policy rule. Agents form expectations about future macro‐economic variables via either the standard rational expectations hypothesis or an adaptive learning model. The results show that the assumption of rational expectations overstates the effects of forward guidance relative to adaptive learning during an economic crisis. Thus, if monetary policy is based on a model with rational expectations, the results of forward guidance could be potentially  misleading.     

中国房地产价格的泡沫检验和空间联动分析

本文利用Pesaran提出的面板数据处理方法分析中国1996-2006年房地产价格,发现房地产价格和居民收入之间存在协整关系,但房价上涨速度快于居民收入增长速度,房地产市场具有"理性泡沫"特征。进一步的分析表明,城市化进程和空间扩散是短期内导致房价波动的两个重要因素,而利率的影响不显著。     

住房投机与政策调控对房价波动的影响——基于中国40个重点城市的数据

构建住房需求结构、政策调控和价格的动态系统模型,依据2007-2021年40个重点城市季度数据,考量政策调控对于住房投机和房价波动实施效果。结果显示：住房投机推动了房价上涨,政府住房调控政策对房价波动影响差异显著;异质性分析显示,不同地区政策调控实施效果存在差异。鉴于此,应因城施策、分类指导,同时积极畅通房地产调控政策传导机制,提高传导效率,促进房地产市场平稳健康发展。     

Local Risk,Local Factors,and Asset Prices

Firm location affects firm risk through local factor prices. We find more procyclical factor prices such as wages and real estate prices in areas with more cyclical economies, namely, high “local beta” areas. While procyclical wages provide a natural hedge against aggregate shocks and reduce firm risk, procyclical prices of real estate, which are part of firm assets, increase firm risk. We confirm that firms located in higher local beta areas have lower industry‐adjusted returns and conditional betas, and show that the effect is stronger among firms with low real estate holdings. A production‐based equilibrium model explains these empirical findings.     

Beauty Contests and Iterated Expectations in Asset Markets

In a financial market where traders are risk averse and shortlived and prices are noisy, asset prices today depend on theaverage expectation today of tomorrow’s price. Thus (iteratingthis relationship) the date 1 price equals the date 1 averageexpectation of the date 2 average expectation of the date 3price. This will not, in general, equal the date 1 average expectationof the date 3 price. We show how this failure of the law ofiterated expectations for average belief can help understandthe role of higher-order beliefs in a fully rational asset pricingmodel.     

房价预期与城镇居民家庭股市参与——理论探讨与微观经验证据

本文基于中国家庭金融调查数据,通过构建理论模型和实证检验分析了房价预期与家庭股市参与的关系,考察了行为金融偏差在房价预期影响股市参与过程中的作用,并根据背景风险、社会网络和户主特征进行异质性分析。结果表明:(1)房价上涨预期通过降低居民家庭的股票收益率预期和增加住房资产,进而降低居民家庭的股市参与概率和参与程度;(2)“心理账户”以及“有限关注”的存在显著弱化了房价上涨预期对家庭股市参与的负向作用;(3)房价上涨预期对股市参与概率和参与程度的负向作用在收入风险更高、健康状况更差、社会网络水平较低以及受教育程度偏低的家庭中更大。因此,稳定房价预期能够通过提升家庭股市参与,进而从需求角度促进股票市场的健康发展。     

Real Estate Prices and Corporate Investment: Theory and Evidence of Heterogeneous Effects across Firms

In this paper, we investigate the effect of real estate prices on productive investment. We build a theoretical framework of firms' investment with credit rationing and real estate collateral. We show that real estate prices affect firms' borrowing capacities through two channels. An increase in real estate prices raises the value of the firms' pledgeable assets and mitigates the agency problem characterizing the creditor–entrepreneur relationship. It simultaneously cuts the expected profit due to the increase in the cost of inputs. We test our theoretical predictions using a large French database. We do find heterogeneous effects of real estate prices on productive investment depending on the position of the firms in the sectoral distributions of real estate holdings.     

房地产业可持续发展问题研究——以吉林省长春市为例

目前,房地产业对我国经济发展的支撑作用是巨大的,在我国的社会经济中扮演着重要的角色。随着房地产业的迅速发展,房价不断上涨,尽管国家出台了一系列政策来调控房价,但是调控效果并不明显。本文研究了长春市房地产业的发展现状,分析了导致高房价的根本原因,并针对房价过高的问题提出了对策建议,以期促进房地产业的健康发展。     

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。