金融稳定性视角下的中国家庭债务与房价的自我强化效应研究

发布时间：2018-05-12 17:41

本文选题：家庭债务 + 房价　；参考：《湘潭大学》2017年硕士论文

【摘要】：自1998年我国实行住房商品化改革以来,我国房价和家庭债务均经历了一个较为迅速的增长过程,商品房平均销售价格从2000年的2112元上涨到2015年的6792元,正规金融市场上的家庭债务则从1997的172亿元猛增至2016年的25万亿元。飞速上涨的房价和不断扩张的住房抵押贷款引发了有关住房泡沫化和对中国版“次贷危机”的隐忧。这种担忧不无道理,起源于美国次贷危机的金融危机已经向世人展示了金融市场和房地产市场的密切联系。房地产建设具有开发周期长、资本密集等特点,近二十年来我国房地产市场的发展离不开金融市场的信贷支持,1997年以来家庭消费信贷和住房抵押贷款的发展是我国房地产市场蓬勃发展的重要推动力,而房价的上涨也是家庭债务增长的重要动力。长期以来,家庭债务和房价变动之间形成了较强的双向驱动的自我强化关系,这种自我强化关系的形成在房价发生剧烈波动时可能会对金融稳定乃至整个宏观经济形成冲击。因此,考查家庭债务和房价波动之间的自我强化及其对金融稳定的影响具有重要的现实意义。本文基于米什金的金融不稳定性理论、家庭债务理论、金融加速器理论和债务-通缩理论等理论基础,综合运用理论与实证相结合的方法,选取1997-2016年以来我国的宏观经济季度数据,从金融稳定性视角考察中国家庭债务与房价波动之间的长短期动态关系及自我强化机制。本文首先对家庭债务和房价波动之间变动关系及其影响的相关理论基础进行了梳理,并对近二十年来我国家庭债务和房价变动的典型事实进行了较为细致的描述性统计,对家庭债务和房价波动的一致性展开了分析,并在此基础上构建了家庭债务和房价变动之间的理论模型,进一步提出了本文的研究假设。通过构建多元GARCH-BEKK模型,将银行不良贷款作为金融稳定的代理指标,就家庭债务和房价变动之间所存在的自我强化效应以及这种自我增强效应对金融稳定的影响进行了实证检验。本文的实证结果表明:(1)家庭债务和房价波动之间存在着双向驱动的自我强化效应,家庭债务每增加1%,房屋销售价格指数将上升0.01%,而当房价上涨1%时,家庭债务余额将会增加0.04%,房价波动和家庭债务余额波动以及二者的联合波动均存在较强的ARCH效应和GARCH效应。(2)家庭债务和房价波动之间的自我强化效应在房价波动时会对金融稳定产生放大的加速器作用,家庭债务余额变动和房价波动以及二者所形成联合波动是影响金融稳定的重要因素。(3)银行等金融机构对不良贷款的变动存在明显的反馈机制,这种反馈机制的存在会对房价变动和家庭消费信贷供给形成影响,而家庭债务和房价的自我增强效应则起到了放大房价冲击的作用。本文的研究对于深入理解房地产市场和金融市场的互动关系及其潜在影响具有重要意义,能够为政府的房地产市场调控和金融市场规制提供一定的政策借鉴,有助于防范房地产泡沫化和信贷无限扩张所带来的系统性金融风险。针对我国房地产市场、家庭债务市场和金融稳定的现实情况,结合文本的研究结论,本文就我国房地产市场调控、家庭消费信贷政策以及维护金融稳定等提出了一系列具有针对性的政策建议。
[Abstract]:Since the reform of housing commercialization in China in 1998, China's house price and family debt have experienced a rapid growth process, the average sales price of commercial housing rose from 2112 yuan in 2000 to 6792 yuan in 2015, and the family debt in the regular financial market increased from 1997 to 25 trillion yuan in 2016. Housing prices and expanding housing mortgage loans have triggered housing bubbles and the Chinese version of the "subprime crisis". This is a concern. The financial crisis, originated from the United States subprime mortgage crisis, has shown the world a close link between the financial market and the real estate market. Real estate has a long development cycle, capital In the past twenty years, the development of the real estate market in China is inseparable from the credit support of the financial market. Since 1997, the development of household consumption credit and housing mortgage loan is an important driving force for the vigorous development of the real estate market in China, and the rise of the house price is also an important driving force for the growth of family debt. There is a strong two-way driving self strengthening relationship with the change of house prices. The formation of this self strengthening relationship may impact on financial stability and the whole macro-economy when the house price fluctuates violently. Therefore, it is important to examine the self strengthening of the family debt and the fluctuation of house price and its impact on the financial stability. On the basis of Mishkin's theory of financial instability, family debt theory, financial accelerator theory and debt deflation theory, this paper uses a combination of theory and empirical method to select the quarterly data of China's macro-economy for 1997-2016 years and investigate the Chinese family debt from the perspective of financial stability. The dynamic relationship between the long and short period of the house price fluctuation and the self strengthening mechanism. This paper first reviews the relationship between the fluctuation of family debt and the fluctuation of house price and the theoretical basis of its influence, and makes a more detailed descriptive statistics on the typical facts of the changes of family debt and house prices in China in the last twenty years, and the family debt. On the basis of the analysis, the theoretical model between family debt and house price changes is built on this basis, and the research hypothesis of this paper is further proposed. By building a multiple GARCH-BEKK model, the bank's bad loan is regarded as the proxy of financial stability, and the existence of the family debt and the change of house price is existed. The self reinforcement effect and the effect of this self enhancement effect on financial stability are empirically tested. The empirical results show that: (1) there is a two-way driving self strengthening effect between family debt and house price fluctuations, home debt increases by 1%, the housing sales index will rise by 0.01%, and when house prices rise by 1%, families The debt balance will increase by 0.04%, the fluctuation of house price and the fluctuation of family debt balance and the joint fluctuation of the two parties all have strong ARCH effect and GARCH effect. (2) the self strengthening effect between family debt and house price fluctuation will enlarge the accelerator effect on financial stability, the change of family debt balance and house price wave in the fluctuation of house price. The joint volatility formed by the movement and the two parties is an important factor affecting the financial stability. (3) there is a clear feedback mechanism for the change of non-performing loans by banks and other financial institutions. The existence of this feedback mechanism will affect the change of house prices and the supply of household consumption credit, and the self enhancement effect of family debt and house prices has been magnified. The study of this paper is of great significance to understanding the interactive relationship between the real estate market and the financial market and its potential impact. It can provide some policy reference for the government's real estate market regulation and financial market regulation, and help to prevent the system brought by the real estate bubble and the unlimited expansion of credit. In view of the real situation of the real estate market, the family debt market and the financial stability in China, this paper puts forward a series of pertinent policy suggestions on the regulation of the real estate market, the policy of household consumption credit and the maintenance of the financial stability in combination with the conclusion of the study of the text.

【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.23;F126

【参考文献】