房价波动、住房信贷与宏观审慎政策

doi:10.16381/j.cnki.issn1003-207x.2019.06.001

中国管理科学 ›› 2019, Vol. 27 ›› Issue (6): 1-9.doi: 10.16381/j.cnki.issn1003-207x.2019.06.001

• 论文 • 下一篇

房价波动、住房信贷与宏观审慎政策

张李登, 唐齐鸣, 张誉航

华中科技大学经济学院, 湖北武汉 430074

收稿日期:2018-04-16 修回日期:2018-11-26 出版日期:2019-06-20 发布日期:2019-07-01
通讯作者: 张李登(1992-),男(汉族),湖北武汉人,华中科技大学经济学院,博士研究生,研究方向:宏观金融,E-mail:zhanglideng@hust.edu.cn. E-mail:zhanglideng@hust.edu.cn
基金资助:
国家自然科学基金资助项目（71473092）

Housing Price Volatility, Housing Credit, and Macroprudential Policy

ZHANG Li-deng, TANG Qi-ming, ZHANG Yu-hang

School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China

Received:2018-04-16 Revised:2018-11-26 Online:2019-06-20 Published:2019-07-01

摘要/Abstract

摘要： 金融危机表明住房信贷违约可能引发系统性风险，但现有理论研究并未将住房信贷违约风险纳入分析框架。本文通过构建包含异质性房价冲击和住房信贷违约的房地产动态随机一般均衡（DSGE）模型，探究房价波动的溢出效应，同时研究宏观审慎政策对住房信贷的监管效果。基于中国的实际数据，通过模拟分析得出以下结论：房地产市场对实体经济的溢出效应主要集中在消费而不是产出和通胀，对金融系统的溢出效应要大于实体经济。采用以住房信贷扩张速度为目标的动态资本充足率监管方式能有效地控制信贷风险，短期效果更加明显。房价波动冲击和利率冲击是引起我国住房信贷波动的主要原因。

关键词: 房价波动, 信贷违约, 资本充足率, DSGE模型

Abstract: The existing literature does not take housing credit default into a general analysis framework, albeit the subprime crisis proved that it would lead to systemic risk. By implanting the idiosyncratic housing shock and housing credit default into a dynamic stochastic general equilibrium (DSGE) model, the spillover effects of housing price volatility are explored and the supervisory effects of macroprudential policy on housing credit are studied. Based on China's actual data, the following conclusions are drawn from the simulation analysis:The spillovers from the housing market to the broader economy are concentrated on consumption rather than output and inflation, the spillover effect on the financial system is greater than the broader economy. The fluctuation of housing price will increase the default rate of housing credit and reduce the supply of housing credit for commercial banks. The dynamic capital adequacy ratio targeting the expansion of housing credit can effectively control credit risk, and the short-term effect is even more pronounced. The housing price volatility shock and interest rate shock are the main cause of fluctuations in China's housing credit.

Key words: housing price volatility, credit default, capital adequacy, DSGE model

中图分类号:

F832.45

张李登, 唐齐鸣, 张誉航. 房价波动、住房信贷与宏观审慎政策[J]. 中国管理科学, 2019, 27(6): 1-9.

ZHANG Li-deng, TANG Qi-ming, ZHANG Yu-hang. Housing Price Volatility, Housing Credit, and Macroprudential Policy[J]. Chinese Journal of Management Science, 2019, 27(6): 1-9.

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房价波动、住房信贷与宏观审慎政策

Housing Price Volatility, Housing Credit, and Macroprudential Policy

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