房地产风险溢价与商业银行风险偏好关系研究

发布时间：2018-05-15 18:20

本文选题：商业银行 + 风险偏好　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：2008年美国发生波及广泛的“次贷危机”,使人们深刻意识到金融中介机构的行为导致严重金融危机的可能性。由此,大量针对证券公司、商业银行等金融中介机构在发生危机和经济平稳时风险偏好的研究出现在危机之后。研究发现,金融中介机构的风险偏好对资产的风险溢价水平有显著影响。特别在房地产市场,发现其风险偏好的改变会对信贷产生影响从而影响房地产市场的溢价水平。我国房地产市场正处于加速发展阶段,房价屡创新高,泡沫化问题严重。但同时由于我国房地产市场改革时间较短,政策的制定执行以及金融机构在面对房价过快上涨时对信贷风险的评估有所不足,对我国房地产风险溢价与金融中介机构风险偏好关系的研究显得非常重要。而我国房地产业资金来源渠道大部分为银行信贷,因此,研究房地产风险溢价与商业银行风险偏好的关系更具实际意义。但目前针对我国两者之间关系的研究非常少,因此本文拟对我国房地产风险溢价与商业银行风险偏好之间的关系进行研究,以期得出两者在我国之间存在的联系。本文将中国人民银行公布的商业银行不良贷款率作为商业银行风险偏好的代表变量,分别搜集了2006年至2015年商业银行、房地产市场以及宏观层面的季度数据和年度数据。首先,运用VAR模型、协整检验等计量方法从全国角度出发探讨了房地产风险溢价与商业银行风险偏好两者之间的关系。其次,考虑到房地产市场的区域性、不可分割性等特点以及经济发展水平的差异,搜集了31个省市自治区的数据,对这31个省市自治区运用固定效应变系数的面板模型进行研究,同时考虑到国务院2010年颁布的新国十条,引入虚拟变量“限购令”考察在此条件下对房地产溢价水平的影响。研究结果表明,我国商业银行风险偏好与房地产风险溢价之间存在正向影响,但该影响显示为非对称性。商业银行风险偏好的增加会提高其扩大信贷规模的倾向,从而进一步推高房地产溢价,而房地产风险溢价的提升会在一定程度上影响到商业银行风险偏好,由于我国商业银行风险偏好受到诸多因素影响,房地产市场的状况并非决定性因素。且由于房地产市场具有不可移动性、区域性等特点,以及我国不同省市之间经济及房地产市场发展速度各异,两者关系的程度产生了显著的差异,经济越发达地区两者之间的正向影响越明显。
[Abstract]:In 2008, the subprime mortgage crisis occurred in the United States, which made people deeply aware of the possibility of serious financial crisis caused by the actions of financial intermediaries. As a result, a large number of financial intermediaries such as securities companies, commercial banks and other financial institutions in crisis and economic stability when risk preference research appeared after the crisis. It is found that the risk preference of financial intermediaries has a significant impact on the risk premium level of assets. Especially in the real estate market, it is found that the change of risk preference will have an impact on the credit and thus affect the premium level of the real estate market. The real estate market of our country is in the accelerating development stage, the house price sets the high record time and time again, the bubble problem is serious. But at the same time, because of the short time of the real estate market reform in our country, the policy formulation and implementation and the financial institutions' assessment of the credit risk in the face of the rapid rise of house prices are insufficient. It is very important to study the relationship between real estate risk premium and financial intermediary risk preference. However, most of the sources of real estate funds in China are bank credit. Therefore, it is more meaningful to study the relationship between real estate risk premium and commercial banks' risk preference. However, there is very little research on the relationship between the real estate risk premium and the risk preference of commercial banks in China, in order to find out the relationship between them. In this paper, the non-performing loan ratio of commercial banks published by the people's Bank of China is regarded as the representative variable of commercial banks' risk preference, and the quarterly and annual data of commercial banks, real estate market and macro level from 2006 to 2015 are collected respectively. Firstly, the relationship between real estate risk premium and commercial banks' risk preference is discussed from the perspective of the whole country by using VAR model and cointegration test. Secondly, considering the regional and indivisible characteristics of the real estate market and the differences in the level of economic development, we collected data from 31 provinces, municipalities and autonomous regions. In this paper, the panel model with variable coefficient of fixed effect is applied to the 31 provinces and autonomous regions. Taking into account the new ten items issued by the State Council in 2010, the virtual variable "purchase restriction order" is introduced to examine the effect on the premium level of real estate under this condition. The results show that there is a positive effect between commercial banks' risk preference and real estate risk premium, but the effect is asymmetric. The increase of risk preference of commercial banks will increase their tendency to expand the scale of credit, thus further push up the real estate premium, and the increase of real estate risk premium will affect the risk preference of commercial banks to some extent. As the risk preference of commercial banks in China is affected by many factors, the condition of the real estate market is not the decisive factor. Because the real estate market has the characteristics of immobility, regionality and so on, as well as the different development speed of economy and real estate market between different provinces and cities of our country, the degree of the relationship between the two has produced the remarkable difference. The more developed the economic area between the two between the positive impact is more obvious.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.23;F832.4

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