贷款定价中的低估行为与房地产价格泡沫——扩展的PW模型与中国经验

发布时间：2018-06-20 17:38

本文选题：低估行为 + 房地产价格泡沫　；参考：《数理统计与管理》2010年03期

【摘要】：Pavlov和Wachter清晰地阐述了商业银行对抵押贷款看跌期权内在价值的低估导致资产价格膨胀,使其脱离基础价值,即产生泡沫。但是其假设条件缺乏一般性,并且没有考虑开放条件下的汇率风险。本文在对其假设条件进行修正,并添加汇率因素的基础上,对PW模型进行扩展,从而得出开放条件下商业银行贷款定价行为与房地产价格泡沫的相关分析模型,得出的结论是,房地产价格与利差和汇率负相关,与存款利率正相关,而提高借款人的自付权益成本可削弱贷款定价中的低估行为对房价的影响。最后,采用我国2005年7月至2008年9月的月度数据进行计量分析,基本证实了模型的结论,同时,也说明了房地产需求对样本期间内的房价飚涨影响不大,货币政策的调控效果也非常微弱。
[Abstract]:Pavlov and Wachter clearly explain that the undervaluation of the commercial banks' intrinsic value of the mortgage put option leads to the expansion of the asset price, which makes it out of the basic value, that is, to produce bubbles. But the hypothesis is not general and does not consider the exchange rate risk under the open condition. On the basis of the rate factor, the PW model is extended to obtain the correlation analysis model of the loan pricing behavior of commercial banks and the real estate price bubble under the open condition. The conclusion is that the real estate price is negatively related to the interest rate and the exchange rate, and is positively related to the deposit interest rate, while the higher borrower's self pay cost can weaken the loan pricing. The influence on the price behavior underestimate. Finally, analyze the monthly data of China from July 2005 to September 2008, basically confirmed the conclusion of the model, at the same time, also shows that the demand for real estate in the sample period, the housing price surge has little effect on regulation effect of monetary policy is also very weak.
【作者单位】：厦门大学金融系;
【基金】：教育部人文社科专项任务项目(批准号07JD790007) 国家社科重大项目(批准号08&ZD034)
【分类号】：F832.4;F293.3;F224

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