房价“粘性”、系统性金融风险与宏观经济波动——基于内生化系统性风险的DSGE模型

发布时间：2018-03-08 09:09

本文选题：房价“粘性”　切入点：系统性金融风险　出处：《当代经济科学》2017年06期 　论文类型：期刊论文

【摘要】：面对处于高位的房地产市场,我国政府开启了新一轮严苛的房地产市场调控,然而房价却出现下行困难的高价格粘性局面,使得我国金融与宏观经济稳定受到威胁。本文构建了包含房地产部门的系统性金融风险内生化DSGE模型,分别考察了在不同房价粘性下,杠杆率等金融变量和宏观经济变量在面对不同外生冲击时的动态响应。研究结果表明:技术冲击使房价、产出和通货膨胀等宏观变量呈现正向响应,使系统性金融风险和风险溢价呈现负向响应;紧缩的货币政策冲击使房价和产出等宏观经济变量下降,杠杆率和系统性金融风险水平上升。此外,不同的房价粘性情况下,金融变量和宏观经济变量对外生冲击的响应程度存在差异。高房价粘性情况下偏离稳态的幅度较小,同时高房价粘性的存在会影响货币政策对房地产市场的调控效果。本文研究结论对我国房地产市场有效调控和降低系统性金融风险、实现我国宏观经济稳定具有重要政策启示。
[Abstract]:In the face of the high real estate market, the Chinese government has opened up a new round of stringent real estate market regulation, but the price of house prices has experienced a difficult situation of high price stickiness in the downward direction. This paper constructs a systemic financial risk endogenous DSGE model including the real estate sector, and investigates the different price stickiness. The dynamic response of financial and macroeconomic variables such as leverage ratio to different exogenous shocks. The results show that the technology shock makes the macro variables such as house price, output and inflation show a positive response. Negative response to systemic financial risk and risk premium; tight monetary policy shocks reduce macroeconomic variables such as house prices and output, and leverage and systemic financial risk levels rise. In addition, under different house price stickiness, The degree of response to external shocks between financial variables and macroeconomic variables is different. In the case of high house price viscosity, the extent of deviation from steady state is relatively small. At the same time, the existence of high house price stickiness will affect the effect of monetary policy on the real estate market. The conclusion of this paper has important policy implications for the effective regulation of the real estate market and the reduction of systemic financial risks and the realization of macroeconomic stability in China.
【作者单位】：天津财经大学大公信用管理学院;天津财经大学经济学院;
【基金】：国家社会科学基金青年项目“房价波动对系统性金融风险影响的传导机制、动态特征及对策研究”(15CJY080);国家社会科学基金重大项目“金融风险度量的新理论与新方法及其在中国金融机构的应用研究”(14ZDB124) 天津财经大学研究生科研资助计划(2016TCS02)
【分类号】：F124;F299.23;F832

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