中国房地产金融领域的金融加速器机理研究

发布时间：2018-03-30 05:05

本文选题：金融加速器　切入点：房地产　出处：《上海师范大学》2013年硕士论文

【摘要】：房地产行业作为国民经济的支柱行业，其健康发展越来越受到人们的关注。根据金融加速器理论，初始的外部冲击通过信贷市场的放大作用，最终将引发大幅度的市场波动，即使冲击趋于零，由于金融摩擦的存在，这一冲击也将被金融加速器机制无限放大，从而导致剧烈的经济波动，破坏实体经济的正常运行。房地产行业的高负债率和开发模式决定了房地产市场中金融加速器效应十分显著，尤其是在政策变动和楼市供求关系发生逆转的情况下，表现更为明显。房地产价格的波动通过改变经济主体的行为方式，从而对实体经济产生广泛的影响。具体而言，房地产的波动通过金融加速器机制对投资、居民消费行为产生影响，进而影响到社会总需求和总供给的平衡。之前关于房地产行业金融加速器效应的研究多是集中在货币政策的变动通过加速器机制对投资的影响，而作为信贷的主体部门银行却一直被忽略，银行部门作为企业贷款的主要来源，其违约概率、银行资本和贷款利率水平在此过程中起到重要的作用，而由于数据的可得性和实证的可行性，，这里我们仅考虑贷款利率。我们感兴趣的是，贷款利率是不是才是其中真正的“传染源”?即货币政策的变动引起的货币供应量的变化，是不是率先反应在信贷市场上引起贷款利率的变化，而贷款利率的变化又进一步引起了房地产销售额的变化，房地产销售额的变化又引起了房地产贷款额的变化，最终引起房地产投资额的变化。基于这样的研究假设，本文通过理论论证和实证分析，证实了之前的猜想，并得到以下结论：由货币供应量变动率、房地产销售额变动率、房地产贷款变动率、房地产投资额变动率和贷款利率五个内生变量构建VAR模型，通过格兰杰因果检验我们可以看出五个变量有相当高的因果关系。通过变量关系我们可以看出我国房地产信贷市场对货币政策的传导存在明显的金融加速器效应。由脉冲响应图可以清晰的看出，国家出台新的货币政策，即货币供应量的变动，引起贷款利率的变动，进而引起房地产销售额、贷款额和投资额的变动。至此，房地产金融领域的金融加速器机制传导路径就被清晰的刻画出来了。
[Abstract]:As the pillar industry of the national economy, the healthy development of the real estate industry has attracted more and more attention. According to the theory of financial accelerator, the initial external impact will be amplified by the credit market, which will eventually lead to large market fluctuations. Even if the impact tends to be zero, due to the existence of financial friction, the impact will be amplified indefinitely by the financial accelerator mechanism, resulting in violent economic fluctuations. Disrupting the normal functioning of the real economy. The high debt ratio and development model of the real estate industry have determined that the financial accelerator effect in the real estate market is very significant, especially in the event of policy changes and a reversal of the supply and demand relationship in the real estate market. The volatility of real estate prices has a wide impact on the real economy by changing the behavior of the economic entities. In particular, the volatility of real estate affects investment through the financial accelerator mechanism. Consumer behavior has an impact on the balance between total demand and total supply. Previous studies on the financial accelerator effect of the real estate industry focused on the impact of monetary policy changes on investment through the accelerator mechanism. However, as the main sector of credit, banks have been neglected. As the main source of enterprise loans, the bank sector plays an important role in the process, such as the probability of default, the level of bank capital and loan interest rate. Because of the availability of data and the feasibility of empirical evidence, we only consider the loan interest rate here. What we are interested in is whether the loan interest rate is the real "source of infection"? That is, is the change in the money supply caused by the change in monetary policy the first response to the change in the loan interest rate in the credit market, and the change in the loan interest rate has further led to the change in real estate sales. The change of real estate sales leads to the change of real estate loan amount, and finally the change of real estate investment. Based on this hypothesis, this paper confirms the former conjecture by theoretical argumentation and empirical analysis, and draws the following conclusions: the change rate of money supply, the change rate of real estate sales, the change rate of real estate loan, The VAR model is constructed by five endogenous variables, the rate of change of real estate investment and the interest rate of loan. Through the Granger causality test, we can see that the five variables have quite high causality. Through the variable relationship, we can see that the conduction of real estate credit market to monetary policy has obvious financial accelerator effect. Can be clearly seen from the pulse response diagram, The new monetary policy introduced by the state, that is, the change in the money supply, causes the change in the interest rate of the loan, thus causing changes in real estate sales, loan amount and investment. The transmission path of financial accelerator mechanism in real estate finance field is clearly described.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832;F299.23

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