土地资产价格波动与经济中的流动性供给——基于以地融资视角的研究

本文通过构建理论模型探讨土地资产价格波动与流动性供给之间的关系。在本文模型中,土地兼具生产资本与抵押资产属性,银行贷款同时受到投资需求、抵押品价值与信贷额度的约束。本文主要结论是:(1)土地资产价格在低于一个由基础货币供给决定的临界值后,能影响企业的抵押品价值并反映投资需求变化,故而与存款货币流动性供给正相关。这也使土地资产价格变化与企业杠杆周期一致且具有“预期自我实现”特征。(2)基础货币供给能够通过影响土地的流动性价值的方式来引导土地资产价格,前提是央行可掌握土地资产价格外生变化的原因。(3)信贷资产证券化会提高存款货币供给与土地价格的关联度,但也会削弱基础货币供给对土地价格的引导能力。本文的研究有助于认识土地资产价格与货币政策效果以及系统性金融风险的关联机制,为房地产调控政策提供启示。     

Bounded rationality,adaptive behaviour,and asset prices

This paper develops a simple heterogeneous agent model (HAM) of asset prices with bounded rationality and adaptive behaviour. The model features feedback loop that amplifies shocks and leads to large price fluctuations. Our model not only retains the nonlinear interaction between prices and population in HAMs but also allows for a quantitative comparison with the data. Estimating the model to the data shows that the feedback loop helps explain the large variations in expected returns, such as return predictability and excess volatility.     

The effect of real rates of interest on housing prices

During the late 1970s, U.S. house prices were appreciating rapidly even though mortgage interest rates were climbing. Recently, interest rates have eased but prices have moderated. This study examines the role of appreciation expectations in overcoming the negative effects of nominal mortgage interest rates on house prices. Expectations of future appreciation are important determinants of house sales prices, remaining influential during periods of declining and moderating real prices, not just when prices are rising. The real rate of interest, as viewed by the homebuyer, is the mechanism for affecting change in housing price levels. Because the nominal interest rate is slow to reflect changes in expectations, these real rates vary over time. This ebb and flow of real interest rates appears to explain market price levels. Nominal rates play a role as well, primarily in the formation of appreciation expectations.     

Price-volume Correlation in the Housing Market: Causality and Co-movements

Housing market cycles are featured by a positive correlation of prices and trading volume, which is conventionally attributed to a causal relationship between prices and volume. This paper analyzes the housing markets in 114 metropolitan statistical areas in the United States from 1990 to 2002, treats both prices and volume as endogenous variables, and studies whether and how exogenous shocks cause co-movements of prices and volume. At quarterly frequency, we find that, first, both home prices and trading volume are affected by conditions in labor markets, the mortgage market, and the stock market, and the effects differ between markets with low and high supply elasticity. Second, home prices Granger cause trading volume, but the effects are asymmetric—decreases in prices reduce trading volume, and increases in prices have no effect. Third, trading volume also Granger causes home prices, but only in markets with inelastic supply. Finally, we find a statistically significant positive price–volume correlation; which, however, is mainly explained by co-movements of prices and volume caused by exogenous shocks, instead of the Granger causality between prices and volume.     

The probability of prepayment

Prepayment is a risk of holding a mortgage or derivative security. Incorrect pricing of prepayment risk leads to increased volatility and uncertainty in mortgage security markets. This article prices prepayment risk within an underlying callable bonds model. To price mortgages accurately, a probability of prepayment is required. A mortgage is a callable bond with a package of an option to prepay currently and a sequence of options to prepay up to the date of maturity. This sequence is summarized by a compound option. The probability of prepayment is determined by the prices of the current call and this compound option. These option prices depend on market interest rates and age, and on the contract terms of the originated mortgage.     

Release of a liquidity regulation: What do we learn for credit and house prices?

This paper studies the effects of the release of a limit on banks’ maturity transformation – akin to the Net Stable Funding Ratio – for mortgage supply and house prices. After the regulatory easing, credit supply increased only for the banks that were previously constrained by the regulation and not for the others. We also show that the expansion in mortgages triggered by the deregulation accelerated house prices. The effect was channeled through higher demand for housing and the relaxation of borrowers’ financial constraints. Even though the impact of the credit supply shock persisted, the interaction between credit and house prices was not conducive to a housing market overheating.     

Can interest rates really control house prices? Effectiveness and implications for macroprudential policy

This paper investigates how changes in the central bank policy and retail mortgage rates affected real housing prices in New Zealand during the period 1999–2009. We find that real interest rates are significantly and positively related to real housing prices, indicating that increases in the policy rate may not be effective in depressing real housing prices. By testing interest rates, we also find some evidence of housing price bubbles. Our findings suggest that the central bank could have limited housing price bubbles if it had started to intervene in the housing market prior to 2003. Our results set international exemplars for using policy rates or macroprudential tools to cool the housing market, where the extent of policy rate adjustments is limited by internal or external economic factors.     

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.     

An empirical analysis of property appraisal and mortgage redlining

The recent literature advances a hypothesis that addresses the possibility of mortgage redlining caused by a dynamic information externality in property appraisals and mortgage lending. In particular, Lang and Nakamura (1993) hypothesize that because property appraisals depend on past transactions, appraisals in neighborhoods where transactions were infrequent tend to be less precise. The greater uncertainty about house valuation in such neighborhoods can lead mortgage lenders to impose stringent requirements on borrowers. Lang and Nakamura's article, like most economic analysis of property appraisals, is theoretical. Using a sample of mortgages purchased by Fannie Mae, we present preliminary research results that cast doubt on appraisal behavioral rules such as weighted averages or backward-looking expectations on which Lang and Nakamura and other theoretical studies are based. Instead, our results refocus attention on the moral hazard issues of appraisal. We find that in more than 80 percent of the cases, the appraisal is between 0 and 5 percent above the transaction purchase price, in only 5 percent of the cases is the appraisal lower, and in 30 percent of the cases, the appraisal and transaction prices are identical. It would take a strong statistical model to generate such occurrences. Our resutls also indicate that appraisal outcomes are used as a risk factor with different weights for loans with different characteristics (loan-to-value ratios and house prices). The results suggest that more empirical investigation of appraisal practices be conducted to verify the validity of conventional wisdom embedded in theoretical studies, and we offer an econometric framework toward this end.     

The Effect of Housing on Portfolio Choice

We show that characterizing the effects of housing on portfolios requires distinguishing between the effects of home equity and mortgage debt. We isolate exogenous variation in home equity and mortgages by using differences across housing markets in house prices and housing supply elasticities as instruments. Increases in property value (holding home equity constant) reduce stockholdings, while increases in home equity wealth (holding property value constant) raise stockholdings. The stock share of liquid wealth would rise by 1 percentage point—6% of the mean stock share—if a household were to spend 10% less on its house, holding fixed wealth.     

Identifying the determinants of mortgage default in Colombia between 1997 and 2004

This paper examines the relationship between mortgage default decisions and relevant observable variables in Colombia between 1997 and 2004. We estimate a discrete choice model of default using a panel of individual mortgage characteristics and payment information. We show that home prices and debt balances are the main determinants of mortgage default. We account for the presence of unobserved heterogeneity using Survey data and simulation techniques. Including controls for the distribution of income shows that income was not important but helps clarifying the relevance of mortgage leverage in the determination of the observed default rates.     

Government Interference and the Efficiency of the Land Market in China

Municipal governments in China established direct control of the supply of urban land in August 2004. This paper examines whether this government action mitigates the efficiency of the residential land market. Using a unique data set of detailed land and residential community transactions with manually collected location information for residential land lots in seven Chinese cities, this paper analyzes the relationship between the land lease prices and residential property prices from the first quarter of 2001 to the fourth quarter of 2007. Results indicate that property prices determined land prices both before and after 2004:3, but the effect was significantly weaker after 2004:3. This is consistent with the hypothesis that the market for residential land became less efficient after municipal governments gained direct control of the land supply.     

An Empirical Investigation of Alternative Contingent Claims Models for Pricing Residential Mortgages

Researchers have employed option pricing techniques to analyze mortgage financing and valuation. Alternative models (one-, two-, and three-variable models) employing different variables (short- and long-term interest rates and building value) have been designed to price mortgage securities. No prior research has addressed the question of whether the pricing accuracy of these contingent claims models improves as states increase or whether contingent claims models' valuation abilities generate reasonable estimates of primary mortgage market prices. The articles investigates the relative efficiency of each of these alternative mortgage valuation models in predicting primary market mortgage values. Our results show that a two-variable model (short rate and building value) is the most efficient. Valuation results indicate a positive pricing spread between the primary market and the theoretically estimated value.     

A Dynamic Model of the Housing Market: The Role of Vacancies

While the hedonic property value model and recently developed computable general equilibrium urban models assume the housing market is in equilibrium, recent years have witnessed extreme circumstances such as large changes in housing prices, high levels of mortgage default, and high levels of foreclosure that bring into question this assumption. This highlights the need for a better understanding of the dynamics of the housing market and the mechanisms that drive and sustain periods of disequilibrium. In this analysis, I develop a dynamic model of the housing market where vacancies naturally arise as the error correction mechanism. I estimate this model using annual U.S. panel data at the MSA level for 1990–2011. The results show that when there is excess demand, prices rise when vacancies fall but prices do not fall when there is excess supply and vacancies rise. This is consistent with the belief that prices are sticky downwards and hence prolong housing downturns. On the other hand, when there is excess supply, there is a relatively stronger decline in new housing in response to a rise in vacancies and much less of a new housing reaction when there is excess demand and vacancies fall. Furthermore, when I allow for a structural shift in the housing market brought on by the Great Recession (2006–2011), I find that the housing market became more responsive on both sides – excess supply and demand – during this period.     

Bank and Nonbank Lenders and the Commercial Mortgage Market

This paper develops an equilibrium model of the commercial mortgage market that includes the sequence from commitment to origination and allows testing for differences by type of lender. From borrowers, loan demand is based on the income yield, capital gains, and expectations about return distributions. Lenders use prices such as mortgage rates and their distributions, and quantities in underwriting standards. There are separate equilibria in the markets for loan commitments and originations. Bank and nonbank lenders are not restricted to the same lending technology, nor to the weights placed on mortgage rates as opposed to underwriting standards. Empirical results for the United States commercial mortgage market indicate that banks use interest rates in allocating credit while nonbanks rely on underwriting standards, notably the loan-to-value ratio. A consequence is that nonbanks have a clientele incentive towards making low cap rate loans compensated by low loan-to-value ratios.     

The impact of interest rates,income, and employment upon regional housing prices

The objective of this article is to identify important differences in the way new housing prices react to local and national economic factors. The study finds that regional housing prices react uniformly to certain national economic factors, such as mortgage rates. On the other hand, local factors such as population shifts, employment, and income trends often have a unique impact on housing prices. The study rejects the hypothesis of a single national housing market in favor of one that allows for broad national trends to be superimposed upon unique regional markets.     

Product market effects of real estate collateral

This paper exploits shocks to the value of real estate collateral to study how exogenous changes in firms' external financing capacity affect their competitive performance and industry dynamics. Firms with appreciating collateral tend to gain market share relative to their product market rivals. Shocks to collateral lead to less competitive product markets. The effects of collateral are stronger in markets where firms compete in strategic substitutes or face competitors with restricted access to external financing, and when real estate prices are instrumented with the interaction between housing supply constraints and mortgage rates. These results highlight the strategic importance of collateral.     

Building Stable Mortgage Markets: Lessons from Canada's Experience

The global financial crisis illustrated the high costs of boom–bust cycles in housing and mortgage markets and the importance of implementing policy frameworks that mitigate the risk of these events. This article discusses elements of Canada's policy framework that contributed to the relatively good performance of its mortgage market in recent years, including supervisory practices and mortgage underwriting standards. Lender recourse and the nondeductibility of mortgage interest payments played a complementary role. Ongoing policy challenges are also identified, including the need for monitoring to ensure the current prolonged period of low interest rates does not lead to levels of debt and house prices that create future instability in housing and mortgage markets.     

Mortgage credit growth for lower-income borrowers during the 2000s housing boom: Evidence and implications

I examine the relationship between mortgage credit and borrower income from 1993 to 2009. I find that the relationship was positive throughout this period. However, it became significantly flatter (i.e. less positive) from 1998 to 2006, implying that growth in mortgage credit was most substantial for lower-income borrowers during this time. The evidence suggests that a disproportionate share of credit growth during the boom accrued to borrowers that previously would have had the most limited access to mortgage credit. This is consistent with the view that the housing crisis of the mid-2000s was precipitated by a dramatic expansion in the supply, or availability, of mortgage credit and that this expansion began as early as the late 1990s.     

房价下跌对我国商业银行个人住房信贷带来的冲击——基于银行压力测试房价敏感性分析方法

本文首先描述了当前房地产市场的现状和未来房地产市场的发展动向,随后介绍了个人住房贷款客户理性违约发生成本,最后着重论述了银行压力测试中针对房价因素的敏感性分析方法,并利用该方法对某股份制商业银行一级分行数据进行测试,判断了该分行在房价下跌的不同情景假设下承受风险的能力。