货币政策对住房市场财富效应的影响研究

文章在NK-DSGE模型中引入宏观审慎政策和预期到的货币政策冲击,以研究双支柱调控框架下预期到的货币政策冲击对住房市场财富效应的影响。研究结果表明,对货币政策冲击的预期不能有效控制住房价格,但会通过住房价格对无信贷约束家庭消费率的直接财富效应和受信贷约束家庭消费率的资产负债表效应产生更加显著的影响。而受预期到的货币政策冲击,限贷政策的收紧能有效控制住房价格,但会通过住房价格对无信贷约束家庭消费率的直接财富效应和受信贷约束家庭消费率的资产负债表效应产生更不显著的影响。     

我国房地产市场的金融加速器效应检验

本文使用面板向量自回归模型(PVAR)对我国35个大中城市2003年到2009年期间房屋销售价格、信贷供给、真实利率、真实产出、人口等变量之间的互动关系进行了实证检验.脉冲响应函数显示,信贷供给对于房价变量的冲击具有显著的长期正向响应;而房价变量对于真实利率的冲击具有期限较长的显著负向响应,方差分解也得到了相似的结果.以上实证结果验证了以房地产价格波动机制为传导途径的金融加速器效应在我国城市信贷市场上是非常明显的.     

“流动性陷阱”中的金融加速器和杠杆作用

本文通过建立包含房地产价格、金融摩擦以及货币政策的新凯恩斯宏观经济模型,研究了非基础面的预期冲击对"流动性陷阱"驱动的动态特征。研究表明,当宏观经济陷入悲观预期驱动的流动性陷阱后,抵押品效应收缩所引起的信贷约束将成为预期冲击影响实际产出的主要传导渠道。杠杆率越高,冲击所引起的经济衰退越严重,流动性陷阱的持续期也更为持久。因此,政府应加大对金融创新的监管力度,并积极实施宏观审慎政策,以避免杠杆率水平过高引发"流动性陷阱"。     

住房财富对中国城镇家庭消费的影响

在构建以国内大循环为主体,国内国际双循环相互促进的新发展格局下,把握扩大内需这一战略基点,激发居民消费潜力,是推动经济高质量发展的关键之一。住房已经成为中国家庭财富的重要组成部分,一方面可通过财富效应促进家庭消费,另一方面也可能由于“房奴效应”降低家庭消费。因此,住房财富对家庭消费的影响方向并不确定。本文基于2013-2019年中国家庭金融调查数据,研究了住房财富对家庭消费的影响,并检验了住房财富影响家庭消费的可能渠道。研究发现,住房财富对城镇家庭消费有显著促进作用,并显著改善了家庭消费结构,住房资产具有财富效应。进一步研究发现,住房财富能够缓解流动性约束,从而提高家庭消费水平。异质性分析表明,住房财富对不同类型的消费具有不同的促进作用,不同地区和拥有住房数量的差别均会对住房财富产生不同影响。根据本文研究,在控制风险的前提下,可发挥既有住房财富对平滑家庭消费的积极作用,促进家庭消费增长,改善家庭消费结构,进一步推进家庭消费升级。     

金融加速器效应研究述评

2007年由美国次债危机引发的经济危机表明,金融因素对实体经济的波动具有重要的影响作用。在金融市场信息不对称的基础上对既有关于金融加速器的研究文献进行了综述,并分析了金融加速器效应在货币政策传导上的应用。我们发现金融加速器效应很好地解释了经济波动的成因,并为最近的危机发生及政府救助提供了理论依据。最后,我们提出了金融加速器效应在理论和实证研究方面存在的不足之处及未来进一步研究的方向。     

住房资产的财富效应:一个文献综述

以住房资产代表的非金融资金对居民消费的影响成为关注的热点。本文对国内外近年来房产财富效应的理论、方法和实证上的最近进展进行了梳理和评论。总的来看,已有文献表明:发达经济体内住房资产更多地体现了正向财富效应,而我国由于制度不完善、市场流通不畅等原因,住房资产对居民效应主要存在抑制作用。同时本文还发现,相关研究已逐步深入至微观层面,从而排除异质性的影响。但仍存在数据受限和异质性研究范围局限两大主要不足。     

房地产市场的金融加速机制--基于抵押品视角的研究

基于动态随机一般均衡框架构建模型,采用校准和贝叶斯技术对模型参数进行估计,并通过对比实际经济与模拟经济评价模型。通过引入货币政策、房地产偏好、供给和通胀四种冲击,对比有无抵押品的模型以观察房地产抵押品渠道视角的金融加速机制是否存在。研究发现,抵押品效应是金融加速机制存在的重要原因。表现一是抵押品效应存在时,各冲击下的主要经济变量的波动更显著,二是房地产作为重要资产,在抵押品效应存在时房地产的财富效应更明显。     

房地产市场的金融加速机制——基于抵押品视角的研究

基于动态随机一般均衡框架构建模型,采用校准和贝叶斯技术对模型参数进行估计,并通过对比实际经济与模拟经济评价模型。通过引入货币政策、房地产偏好、供给和通胀四种冲击,对比有无抵押品的模型以观察房地产抵押品渠道视角的金融加速机制是否存在。研究发现,抵押品效应是金融加速机制存在的重要原因。表现一是抵押品效应存在时,各冲击下的主要经济变量的波动更显著,二是房地产作为重要资产,在抵押品效应存在时房地产的财富效应更明显。     

中国货币政策金融加速器效应的行业差异性分析

文章使用SUR计量方法.对制造业30个子类行业的行业层面的金融加速器效应大小进行分析.得出结论:有15个行业没有表现出明显的行业层面的金融加速器效应;另外15个行业中.金属制品业表现出最大的行业层面的金融加速器效应,效应大小为1.982%,木材加工及木、竹、藤、棕、草制品业行业层面的金融加速器效应最小,效应大小为0.50%.其他行业的行业层面金融加速器效应大小在0.56%-1.73%之间.这些结论对政府的信贷政策有一定的参考作用.     

试论中国房地产市场的金融加速器效应之我见

房地产业在国民经济中的重要地位及房地产开发企业的高负债率决定了我国房地产市场金融加速器效应的显著性。同时，通过期房预售实现滚动开发的筹资模式也增强了金融加速器效应的非对称性。为缓和房地产景气周期进入下降通道时，金融加速器效应引发的产业衰退与宏观经济紧缩，除应采取适度宽松的货币政策外，还需要转变开发模式和拓宽筹资渠道，降低房地产业负债水平及对银行资金的过度依赖。     

Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? If So,Why?

This paper uses long-run equilibrium relationship between consumption and different components of wealth to estimate the effect of changes in housing wealth and financial wealth on consumption. By exploiting this long-run property, it has been shown that a dollar increase in housing wealth increases consumption by seven cents, whereas, a corresponding dollar increase in financial wealth increases consumption by only three cents. This difference in the wealth effect arises because transitory shocks dominate variation in financial wealth, whereas permanent shocks account for most of the variation in housing wealth. This paper also shows that the relative importance of permanent component for housing wealth has witnessed an increase over the last thirty years. Therefore, housing wealth effect has also increased over time.     

可持续发展下金融深化对区域财富的影响研究

可持续发展背景下,研究金融深化对区域财富的作用效果对促进国民财富积累具有重要意义。本文选取我国2006~2017年省际面板数据,采用双向固定效应模型对金融深化对区域财富影响进行实证研究。结果表明:第一,我国财富积累由东向西呈现递减趋势,且东部地区财富积累显著高于中西部地区;第二,不同特征发展区间作用相互抵消导致全国范围内金融深化对区域财富积累存在不显著影响;第三,东部、中部地区金融深化与区域财富积累之间存在显著的倒U型关系,而西部地区金融深化对财富积累不存在显著影响。因此,我国要实施多维度金融改革,建立跨区域财富积累合作关系,促进可持续发展社会化共识的形成。     

Risk Attitude and Housing Wealth Effect

This paper examines whether the housing wealth effect—the consumption change induced by house price appreciation is dependent upon households’ attitudes toward risk. A simple theoretical model is introduced to highlight a negative relationship between the wealth effect and risk aversion. The paper empirically tests for this negative relationship, using data from the U.S. Consumer Expenditure Survey. The investigation involves two steps. In the first step, we make use of households’ demographics and their risky and liquid asset holdings to estimate risk aversion. The Heckman correction model is applied to address the issue of limited stock market participation. For the second step, we construct pseudo panel data through grouping households by their birth years and their predicted values of risk aversion, and then, we estimate the responses of households’ consumption changes to house price fluctuations by risk-attitude group. Consistent with the prediction of the theoretical model, the estimation results suggest a significant negative relationship between the housing wealth effect and households’ risk attitudes. Households, who are less risk averse, experience greater consumption changes in response to house price appreciation.     

Housing Wealth,Financial Wealth and Consumption Expenditure: The Role of Consumer Confidence

The objective of this paper is to examine the role of consumer confidence on the relationship between two forms of wealth—housing and financial—and four categories of consumption expenditure, which include total consumption, service, durable goods and nondurable goods consumption. This paper uses U.S. quarterly data from 1978 to 2012 for its analysis. Applying the FMOLS estimation method, the results show that consumer confidence has a positive effect on the association between housing wealth and consumption expenditure, whereas its effect on the association between financial wealth and consumption expenditure is negative. The implications of these results are discussed.     

Financial and Housing Wealth,Expenditures and the Dividend to Ownership

For a household, home ownership provides necessary shelter, potential investment returns associated with property appreciation and a hedge against increased housing related cash outlays. In addition to potential appreciation, individual households benefit over time from a housing dividend defined as the difference between the market rent for the individual household’s housing unit and the household’s actual house ownership costs. The purchase of a house can substantially fix a household’s recurring housing related expenditures and generates a hedge (implied housing dividend) that increases with ownership tenure. This expenditure hedge (dividend) to home ownership is documented using pooled, cross-year samples from the Consumer Expenditure Survey (CEX). The housing dividend delivers a non-trivial effect on household non-housing expenditures after controlling for housing value, housing equity, financial assets and income.     

全球金融危机对印度资本市场的影响

尽管最近的全球会融危机对印度资本市场造成了一定程度的冲击,但从整体上来看,印度资本市场仍然保持了较好的弹性和灵活性.有序的资本账户开放政策、严格的银行业监管以及审慎的非银行金融公司管理,都是维持印度资本市场弹性的重要基础制度.     

超越房市的救市之争

我国部分城市的房价收入比过高,表明房地产市场存在泡沫,要使其持续健康发展,就必须挤压出累积的泡沫。目前房地产市场成交量低迷,正是市场步入自然调整状态的信号,人为中断调整只会埋下更大的隐患。房地产价格的调整可以促使房地产市场回归理性,促进产业间的均衡发展并有利于自主创新。当前,我们应更加关注市场运行规则和监管机制,而不是纠缠救市之争。     

Financial Crisis and Credit Crunch in the Housing Market

We investigate the recent financial crisis with an emphasis on the interlock among housing, mortgage, and credit markets. Following Geanakoplos (Econometric Society Monographs 2:170–205, 2003, 2010), we develop a model in which both prices of the mortgage and its collateral are simultaneously and endogenously determined. Our empirical tests confirm the model’s prediction that an adverse change in the risk free rate or the loan recovery rate can trigger the financial crisis as we observed. Finally, we discuss how the pro-cyclical leveraging practice by financial intermediaries can magnify their losses in mortgage-related assets and consequently cause significant contraction in the balance sheets of these firms.     

离岸市场对货币主权国金融市场的影响分析——基于亚洲美元市场的实证研究

离岸金融市场受益于税收优惠及高度自由化的政策环境,近年来规模不断扩大,在国际金融市场上的重要性逐步提升。与此同时,离岸市场资金短借长贷的特点也使得国际金融市场变得更加脆弱。本文利用亚洲美元市场数据,运用计量模型就离岸市场对货币主权国金融市场的冲击进行了实证分析。研究表明,在离岸金融市场繁荣发展阶段,离岸市场的波动对货币主权国的冲击影响比较大,此阶段应是监管部门风险调控的关键时期。