家庭债务、宏观经济波动与房价预期冲击

doi:10.16381/j.cnki.issn1003-207x.2021.1886

Abstract

Abstract:

In recent years， the scale of China's household debt continues to grow. At the same time， China's housing prices and real estate investment show a rapid upward trend， while the growth rate of GDP， consumption and fixed asset investment has decreased to varying degrees. This is the phenomenon of “shifting from real to fictitious”. It intends to interpret the above economic phenomenon from the perspective of housing price expectation in this paper. Based on the statistical data from 2007 to 2019， it is found that： household debt continues to increase， but the volatility is small； household debt and the main macroeconomic variables show a weak positive correlation. Then a DSGE model is built which including heterogeneous households， credit constraints and GHH utility function. Numerical simulation shows that under the impact of technology shock and weak expectation shock of housing price rising， the model can explain the cyclical characteristics of household debt， real estate market and real economy. When the wealth effect of technology shock is greater than the speculative effect of weak expected shock of house price rising， the wealth effect dominates， the total demand increases， and the household debt forms a positive co-movement with the real estate market and the real economy. If the expectation of house prices rising becomes stronger， speculative effect will dominate， and household debt， real estate market and real economy will move in reverse. Once a strong expectation of rising house prices is formed and speculative effect is dominant， household debt will restrain aggregate demand and crowd out the real economy. And then household debt， house prices and real estate investment will rise rapidly， while GDP， consumption and fixed asset investment will decline. That is to say， household debt， real estate market and real economy will move in reverse， and credit constraints will have amplification effect. The counterfactual simulation shows that the strong expectation of house price rising will lead to the problem of “shifting from real to fictitious”. And then the strong expectation of house price falling has significant “deleveraging” and tightening effect on household debt and real estate market. Therefore， the expectation of house price stable can avoid the ups and downs of the macro-economy， which is conducive to the smooth operation of the macro-economy.

Key words: household debt, shifting from real to fictitious, stable expectation, wealth effect, speculative effect

CLC Number:

F015

Hebei Liu,Junbin Wang,Maoqing Fei. Household Debt, Macroeconomic Fluctuation and Expected Shock of House Price[J]. Chinese Journal of Management Science, 2024, 32(10): 56-65.

Figures/Tables 6

参数	概率密度函数	先验分布		后验分布
参数	概率密度函数	均值	标准差	均值	5%	95%
$β c$	正态分布	0.985	0.1	0.9885	0.9712	0.9953
$β d$	正态分布	0.95	0.1	0.9651	0.9426	0.9782
$L ˉ c$	正态分布	0.2	0.1	0.2105	0.1851	0.2376
$L ˉ d$	正态分布	0.25	0.1	0.2457	0.2307	0.2583
$δ$	正态分布	0.025	0.1	0.0268	0.0217	0.0291
$δ H$	正态分布	0.008	0.1	0.0075	0.0063	0.0090
$? c$	正态分布	2	0.1	1.8013	1.4875	2.3152
$? d$	正态分布	3	0.1	3.2041	2.7822	3.6104
$χ ˉ$	正态分布	0.7	0.1	0.7431	0.6033	0.8999
$γ c$	正态分布	0.6	0.1	0.2463	0.1540	0.3346
$γ d$	正态分布	0.6	0.1	0.6281	0.3877	0.8875
$α$	正态分布	0.5	0.1	0.4825	0.3076	0.6846
$α f$	正态分布	0.012	0.1	0.0145	0.0096	0.0154
$θ B$	逆伽玛分布	0.005	0.1	0.0048	0.0019	0.0071
$θ D$	逆伽玛分布	0.005	0.1	0.0046	0.0025	0.0062
$η h$	伽玛分布	600	10	598.8753	585.7168	613.2197
$ρ A$	贝塔分布	0.9	0.1	0.8604	0.7554	0.9499
$ρ θ h$	贝塔分布	0.5	0.2	0.6465	0.3148	0.9371
$ε t A$	逆伽玛分布	0.023	Inf	0.0223	0.0157	0.0287
$ε t θ h$	逆伽玛分布	0.01	Inf	0.0089	0.0052	0.0130

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变量X	标准差	相对标准差（相对于GDP）	家庭债务与X的相关系数
家庭债务	0.0234	0.6281	1
房价	0.0159	0.4274	0.4129
房地产投资	0.1051	2.8261	0.3315
GDP	0.0372	1	0.4283
消费	0.0263	0.7066	0.3988
投资	0.1388	3.7334	0.3312

变量	实际数据	模型①	模型②	模型③	模型④	模型⑤	模型⑥
相对于GDP的标准差（相对标准差）
家庭债务	0.6281	0.4222	0.7683	2.6617	2.1120	0.5846	0.6443
房价	0.4274	0.3121	0.6249	1.6315	1.3418	0.4193	0.3414
房地产投资	2.8261	0.4735	0.8704	1.9130	1.5620	0.9486	0.5872
GDP	1	1	1	1	1	1	1
消费	0.7066	0.8022	0.5365	0.9310	0.9025	0.6390	0.7291
投资	3.7334	1.9492	3.5415	3.0251	2.6903	2.1359	2.0816
与家庭债务的相关系数
家庭债务	1	1	1	1	1	1	1
房价	0.4129	0.6250	0.2592	0.7658	0.7753	0.2492	-0.0843
房地产投资	0.3315	0.3432	-0.1132	0.5668	0.6058	0.3182	-0.5138
GDP	0.4283	0.3592	-0.3360	-0.6407	-0.4753	-0.2080	-0.3949
消费	0.3988	0.4241	-0.1706	-0.2697	-0.2313	0.0950	-0.4673
投资	0.3312	0.2128	-0.2420	-0.5194	-0.4160	-0.4599	-0.1996

变量	0.30	0.45	0.65	0.85	0.95
变量	与家庭债务的相关系数
家庭债务	1	1	1	1	1
房价	0.6250	0.6153	0.6107	0.6881	0.7753
房地产投资	0.3432	0.3342	0.3271	0.4118	0.6058
GDP	0.3592	0.3288	0.1987	-0.1755	-0.4753
消费	0.4241	0.4020	0.3301	0.0944	-0.2313
投资	0.2128	0.1679	0.0192	-0.3541	-0.4160

[1]	ZHOU Li, YI Xing-jian. Rising Housing Price, Household Debt and Urban Household Consumption Perspective from LTV [J]. Chinese Journal of Management Science, 2020, 28(11): 80-89.
[2]	YANG Zhong-zhi, SUN Hao-chen, PENG Jun-wei. Computational Solving and Parameters Analysis of Bargaining Pricing for Properties Based on the Wealth Utility [J]. Chinese Journal of Management Science, 2014, 22(2): 129-134.

Household Debt, Macroeconomic Fluctuation and Expected Shock of House Price

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