【作者】 范伟；

【导师】 马理；

【作者基本信息】 武汉大学 ， 金融学， 2021， 博士

【摘要】 党的十九大报告中指出:“要坚持房子是用来住的、不是用来炒的定位,加快建立多主体供给、多渠道保障、租购并举的住房制度,让全体人民住有所居”。强化房地产的居住属性,抑制房地产的投资属性,让老百姓有房住、住得起房,有利于引导房地产回归居住的本源属性,防止房地产泡沫对宏观经济造成伤害,并促进实体经济的健康发展。近年来,我国的经济增速逐渐下行,但在全国不少地区,房地产的价格仍然较高。根据国家统计局公布的数据,2000年至今中国城市房地产价格上涨了 4.82倍,部分一线城市例如北京、上海、深圳等地的房地产价格涨幅甚至达到7至9倍。与此同时,我国的货币供应量一直保持着高速增长的态势,货币政策释放的流动性并未完全润泽实体经济,资金可能脱实向虚流入了房地产市场。根据中国人民银行的数据,近十年来房地产相关贷款占总体贷款的平均比重高达40%,如果考虑通过影子银行流入房地产市场的资产,我国房地产市场吸纳的流动性将更庞大。大量资金进入房地产市场,挤压了实体经济的融资空间并可能挤出了实体经济的发展。房地产价格的快速上涨反映出我国的房地产市场可能偏离了实体经济的发展趋势。在此背景下,分析房地产价格过快上涨对宏观经济波动造成的影响,并有的放矢地提出应对措施,对于构建房地产长效调控机制、实现经济长期高效增长和维护金融稳定有非常重要的研究意义。本文研究的理论意义在于:丰富与完善房地产与宏观经济的理论模型框架,拓展经济增速放缓背景下的货币政策理论和宏观审慎政策理论。研究的现实意义在于:科学评价房地产价格对宏观经济的综合影响,提高货币政策和宏观审慎政策双支柱调控的有效性,为促进房地产业与实体经济的健康发展提供决策参考。本文研究在高房价背景下央行资金脱实向虚流入房地产市场的机制,分析房价泡沫对宏观经济的影响,并构建促进“房住不炒”的货币政策和宏观审慎双支柱机制来进行调控,从而引导房地产回归居住的本源、降低系统性风险以及实现经济高质量发展。各章节的逻辑关联是:第一章和第二章分别为导论和文献综述,阐述了课题的选题背景和研究意义,总结前人的研究成果、本文的创新点以及不足之处;第三章探讨了高房价背景下央行资金脱实向虚流向房地产市场的机制;第四章实证检验了高房价对宏观经济的影响;第五章将房地产价格分解为投资价格和基础价格,构建了高房价影响机理的理论模型;第六章分析房地产价格大幅偏离基础价格后对宏观经济的影响,并进行经济学解释;第七章研究了利用货币政策、宏观审慎政策以及双支柱政策调控高房价的效果与机制设计;第八章总结了本文研究的主要结论,提出了政策建议以及研究展望。本文的主要研究内容与结论可以提炼归纳为以下四个方面:(一)资金脱实向虚与高房价从企业、银行和居民三个层面收集微观数据,分别测算了微观主体资金的流向和数量,并建立面板固定效应模型,实证研究了宽松的货币政策对企业、银行和居民行为选择的影响。研究显示:当央行释放的流动性增加时,企业基于利润最大化和缓解融资约束的动机,会显著增加对房地产的投资规模;当央行释放的流动性的增加时,由于资产供给短缺以及居民的投资动机,居民将会加大对房地产的投资;当央行释放的流动性增加时,由于房地产作为抵押品的金融加速器效应以及商业银行的逐利动机,商业银行会增加对房地产市场的贷款投放规模;房地产兼具消费品与投资品的双重属性,目前适合居民投资的金融资产相对匮乏,因此居民较为偏好于对房地产的投资。(二)高房价对宏观经济的影响使用随机前沿模型测算了房地产价格中的基础价格,得到我国大中城市房地产价格偏离基础价格程度的指数,并结合我国大中城市的宏观经济数据,构建面板固定效应模型,实证分析了房价偏离基础价格对消费、投资和产出等宏观经济变量的影响。研究显示:我国大部分城市存在房价泡沫的现象,一线城市的房价泡沫水平更高;房地产价格偏离基础价格尽管提高了房地产的投资规模,但是可能挤出居民消费、实体经济投资以及实体经济产出,对经济总产出有不利影响;随着我国经济的发展,房地产偏离基础价值对宏观经济的促进效应和挤出效应此消彼长,在我国经济发展的初期以促进效应为主,随着我国城镇化与工业化的逐步提升以挤出效应为主。(三)房价偏离基础价格的脉冲响应与经济学分析建立了由工薪家庭、企业家、生产型企业、房地产企业、宏观政府组成的动态随机一般均衡方程模型(DSGE),将房地产价格分解为居住属性决定的基础价格和投资属性决定的投资价格两个部分,并引入外生的房价泡沫冲击,模拟了高房价对宏观经济的影响。研究显示:房地产投资价格包含其抵押担保品价值和投机价值,通过房地产抵押获取的贷款越多,将导致房地产投资价格越高,从而带来更高的房地产价格;对于租房者而言,高房价提升了房租,降低了租房者的消费,对于刚需型家庭而言,由于住房缺乏流动性,房地产缺乏提升消费的财富效应,因此高房价挤出了居民消费水平;高房价刺激了房地产企业扩大生产规模,但是由于更多的资源流入房地产企业,因此对实体企业的劳动供给、投资和产出产生了挤出效应,高房价带来信贷扩张,并造成宏观经济杠杆率上升,从而提升了宏观金融风险。(四)促进“房住不炒”的货币政策与宏观审慎双支柱调控机制研究了单一的货币政策或宏观审慎政策调控高房价的效果以及局限性,并根据货币政策与宏观审慎政策的优势与不足构建了促进“房住不炒”的货币政策与宏观审慎双支柱调控机制。研究显示:高房价挤出实体经济的同时造成了金融风险的上升,因此单一的货币政策或者宏观审慎政策很难在“稳增长”与“降风险”间找到平衡;货币政策与宏观审慎政策的双支柱调控不但可以控制高房价和维护金融稳定,而且可以缓解高房价对实体经济的伤害,促进实体经济发展,有效达到了两类政策扬长避短的政策效果;在疫情冲击背景下,双支柱调控机制会减少高房价对家庭消费的挤出效应,促进实体经济发展,从而提升内需并有助于国内经济大循环的形成与发展。本文的边际贡献在于:第一,从企业、银行和居民三个层面收集微观数据,测算了微观主体资金的流向,实证研究了宽松的流动性与企业、银行和居民资金脱实向虚流向房地产市场的关系。第二,利用随机前沿模型测算了我国大中城市房地产价格偏离基础价格的程度,实证分析了房价偏离基础价格对宏观经济的影响。第三,构建了异质性多部门DSGE模型,将房地产价格分解为居住属性决定的基础价格和投资属性决定的投资价格两个部分,并引入外生的房价泡沫冲击理论模拟了高房价对宏观经济的影响。第四,研究了单一的货币政策或宏观审慎政策的调控高房价的效果及局限性,并构建了促进“房住不炒”的货币政策与宏观审慎双支柱调控机制,来实现既降低金融风险,又促进实体经济发展的目标。更多还原

【Abstract】 The report issued at the 19th National Congress of the Chinese Communist Party states:"We must not forget that housing is for living in,not for speculation.With this in mind,we will move faster to put in place a housing system that ensures supply through multiple sources,provides housing support through multiple channels,and encourages both housing purchase and renting.This will make us better placed to meet the housing needs of all of our people.”The emphasis on the "living" nature of the property and the restraint on speculative investments in the property market demonstrate the party’s determination to provide affordable housing for its people.As it encourages property to revert to the true nature of living,this policy would help prevent any damage the property bubble may bring to the macro-economy and thus promote the healthy development of the substantial economy.In recent years,the Chinese economic growth is slowing down,yet property prices remain high in many regions.According to the data published by the National Bureau of Statistics,Chinese urban property price has risen by 4.82 times since 2000.In some first-tier cities like Beijing,Shanghai,and Shenzhen,the rise in property prices reaches sevenfold or even ninefold.The past few years have witnessed a steady high-speed growth of China’s monetary supply.Yet the fluidity released by such a monetary policy may have left little impact on the substantial economy,as the capital flows into the more insubstantial property market.According to the data released by the People’s Bank of China,the average proportion of property-related loans in the total loan is as high as 40%.If we take into consideration assets entering the property market via shadow banks,the fluidity absorbed by the Chinese property market should be even higher than the official figure released.As huge amounts of capital flood into the property market,funding that could have been reserved and raised for the substantial economy is strained,and so is the growth of the substantial economy.The accelerated rise of property prices reveals that changes in the Chinese property price may have deviated from the development trend of the substantial economy.In this context,it is of great significance to analyse the impacts caused by the over-rapid rise of property prices on macro-economic fluctuations,and then offer corresponding solutions.Such analysis and solutions would help construct a long-term property regulatory mechanism,achieve a longterm effective growth of the economy,and maintain financial stability.The theoretical significance of this thesis is to enrich and improve the theoretical framework of property and macroeconomy,extend the theoretical application of monetary and macroprudential policies to the context of economic slowdown.The practical significance of this thesis is to scientifically evaluate the comprehensive influence of property price on the macroeconomy,improve the efficacy of the twofold regulation of monetary and macroprudential policies,and offer decision-making reference for the healthy development of property industry and substantial economy.In the context of the high property prices,this thesis investigates the mechanism with which the central bank money runs free from the substantial economy and flows instead into the property market.It then analyses the property bubble’s impacts on the macroeconomy and proposes to construct a "dual pillar" regulation mechanism combining monetary and macroprudential policies.This mechanism would lead the regression of property back to its true nature—"housing for living",reduce systematic risks and achieve high-quality economic growth.The first two chapters are "Introduction" and "Literature Review",where the author expounds on the background and significance of conducting this research.He summarizes the achievements of his predecessors and introduces the innovation as well as the inadequacies of this present thesis.The third chapter discusses the mechanism with which central bank money breaks free from the substantial economy and flows instead to the property market,given the high property price.The fourth chapter is an empirical examination of high property prices’impact on the macroeconomy.In the fifth chapter,the author constructs a theoretical model and dissects property price into two components,the investment value and the base value.The sixth chapter analyses the impact of the property price on the macroeconomy should the property price deviate substantially from the base value,before offering an economic explanation for this phenomenon.The seventh chapter investigates the effects of either the dual-pillar mechanism or just one of these two policies on manipulating the high property price.The eighth chapter concludes the major arguments raised in this thesis and proposes policy recommendations as well as prospects of further studies.The contents and conclusions of this thesis could be summarized as the following four aspects:Ⅰ.High Property Price and Capital’s Flow from the Substantial to the Insubstantial MarketThe author has gathered microscopic data from three parties,namely the enterprise,the bank and the civilian,before calculating the amount of capital flown from each microscopic party.A fixed effects model for panel data analysis is thus established,serving the empirical investigation on the effects of loose fluidity on entrepreneurial,banking and civilian behaviour.The investigation reveals that,with increased fluidity released by the central bank,enterprises would evidently increase the scale of their investment in real estate,given their motive to maximize profits and ease the financial restraints.In the same condition,civilians would also increase their investment in real estate out of their investing motive and due to the shortage of asset supply.Similarly,with such increased fluidity,commercial banks would increase their loan issuance volume to the property market,given the financial accelerator effect of collateral real estate and banks’pursuit of profits.Property is both a consumer product and investment goods,and given the relative shortage of financial assets suitable for civilian investment,individuals prefer to invest in real estate.Ⅱ.Impacts of High Property Price on MacroeconomyThe author uses the stochastic frontier model to measure the base value in the property price,and thus obtained the index representing the degree of property price’s deviation from the base value in large-and-medium-sized Chinese cities.With the macroeconomic data of these cities taken into consideration,a fixed effects model for panel data analysis is constructed for empirical analysis of the impacts of such deviation on macroeconomic variables like consumption,investment and production.Research reveals that property bubble exists in most Chinese cities,and first-tier cities fare the worst.Property price’s deviation from the base value,though beneficial for increasing the scale of property investment,brings adverse impacts on the GDP level,as it causes declining civilian consumption and discourages substantial economy’s investment and production.The encouragement and the discouragement on macroeconomy caused by property price’s deviation from its base value take turns to play a key role in the course of China’ economic growth.At the early stage of China’s economic growth,the encouragement effect predominates.As urbanization and industrialization gradually upgrade to a higher level,the discouragement effect takes charge.Ⅲ.Pulse Response of Property Price’s Deviation from Base Value and Economic AnalysisThe thesis constructs a dynamic stochastic general equilibrium model(DSGE)comprising working families,entrepreneurs,manufacturers,real estate enterprises and the macroscopic government.The property price is divided into two parts:the base value determined by the property’s habitation attribute,and the investment value determined by the investment attribute.The author also introduces into the model the external threat brought by the property bubble,thereby theoretically simulating the impact of high property prices on the macroeconomy.The study reveals that a property’s investment price includes both collateral value and investment value.The more loans a property gains as a mortgage,the higher its investment value,which leads to an ever-higher property price.For lodgers,high property price increases their rents and reduces their consumption spendings.For families in urgent need of housing,their level of consumption is brought low by the high property price,since properties can hardly mobilize and lack the wealth effect to encourage any extra spendings.Stimulated by the high property price,the real estate enterprises enlarge their production scale and attract more resources at the cost of substantial enterprises’ labour supply,investment and production.Loan expansion brought by the high property price leads to the rise in macroeconomic leverage ratio and,further still,the macroscopic financial risks.Ⅳ.The Mechanism of Monetary Policy and Macro-prudential "Dual Piallar" Regulation to Promote "Houses for Living and not for Speculation"The thesis investigates the effect and limitations on regulating high property prices by single monetary policy and macroprudential policy respectively.Based on the strengths and inadequacies of monetary and macroprudential policies,the author constructs a“dual pillar"regulation mechanism,combining monetary and macroprudential policies to strengthen the idea that "housing is for living in,not for speculation".Study reveals that high property price is responsible for the pressure on the substantial economy and the rise in financial risks.Therefore,it is difficult for either monetary policy or macroprudential policy alone to reach a balance between“steady growth" and "reduced risks".Instead,the“dual pillar" regulation which combines the two policies can maintain financial stability while restraining the high property price.Moreover,it could also reduce the damage caused by high property prices on the substantial economy and encourage the latter’s development,thereby effectively performing the desirable effects of both policies while bypassing their disadvantages.In the onslaught of the epidemic,the "dual pillar" regulation mechanism reduces the“crowding-out"effect of the high property price on family spendings and encourages the development of the substantial economy,thus boosting the domestic demands for the better service of the growing domestic economic cycle.The thesis’s contributions are as follows.Firstly,it gathers microscopic data from enterprises,banks and civilians respectively,based on which it measures the microscopic subjects’ capital flow.The author conducts an empirical investigation on the relationship between loose fluidity and the fact that entrepreneurial,banking and civilian capital flows from the substantial economy to the insubstantial property market.Secondly,the author uses the stochastic frontier model to measure the base value in the property price,before running an empirical analysis of the impacts of property price’s deviation from the base value on the macroeconomy.Thirdly,the author constructs a heterogenous DSGE model covering multiple departments,which divides property price into two components,namely the base value determined by the property’s habitation attribute,and the investment value determined by the investment attribute.The author also introduces into the model the external threat brought by the property bubble,to theoretically simulate the impact of high property prices on the macroeconomy.Fourthly,the thesis investigates the effect and limitations on regulating high property prices by single monetary policy and macroprudential policy respectively.Then it constructs a dual-pillar regulation mechanism,combining monetary and macroprudential policies to strengthen the idea that "housing is for living in,not for speculation".This mechanism can withstand financial risks while stimulating the growth of the substantial economy at the same time.更多还原