【作者】 吴婷；

【导师】 杨柳；

【作者基本信息】 华中师范大学 ， 金融学， 2015， 硕士

【摘要】 自2008年美国次贷危机爆发进而蔓延至全球演变成全球性的重大金融危机后,关于房地产市场波动与宏观经济的互动机制研究越来越受到学者们的重视。其中DSGE模型由于其微宏观逻辑的一致性,逐渐成为国际上宏观经济研究的主流模型之一。我国自2004年开始房地产市场经历了近10年的“繁荣期”,价格只增不减。为了稳固市场发展,政府自2009年开始密集出台了房市调控政策,其中常用的包括利率调整和首付比例调整,但其收效并不明显,甚至出现了“越调越涨”和“调量不调价”的奇怪现象。基于此背景,本文利用DSGE模型并引入预期冲击来分析预期冲击对房地产市场的影响并试图解释上述调控怪圈现象。本文具体根据2001-2013年间中国宏观经济数据,结合贝叶斯方法估计了包含房地产市场及经济增长、通货膨胀、金融环境和货币政策四类预期冲击的新凯恩斯模型,实证分析了中国经济中庇古周期的存在,其研究结果显示：技术预期冲击对宏观经济解释力度最大,且主导了房价变动的解释；借贷预期冲击和不可预期利率冲击则主导了房产需求变动的解释;该结论对房市中“调量不调价”现象给予了解读。而预期借贷紧缩冲击在房产“替代效应”的作用下则会产生房市“越调越涨”的困境和“高房价、低消费、低产出”共存的房市过热现象。更多还原

【Abstract】 Since 2008, the US subprime mortgage crisis evolved, spread to the global and then gradually became into a global financial crisis, the interaction mechanism of the real estate market volatility with macroeconomic is getting more and more attention of scholars. Considering DSGE model of its logical consistency of micro and macro, it’s been the main stream method of international macroeconomic research. Since 2004, our country’s real estate market has suffered nearly 10 years of "boom". To stabilize market development, the government, since 2009, has issued many housing market regulation policies, commonly used including interest rate adjustment and the proportion of down payment, but the effect was not obvious, and even the odd circle of house price turned out more higher. Based on this background, this paper use DSGE model and introduce the expected shocks to analyze the impact.In this paper, we empirically analyze the existence of pigou cycle in China’s economic, and use Bayesian methods based on the China’s macroeconomic data between 2001-2013 to estimate the New Keynesian model which contains real estate market, News shocks of economic growth, inflation, financial environment and monetary policy. The results show:news shock of technology explains the most of macroeconomic fluctuations and mainly drives the house price; anticipated shock of borrowing and unanticipated shock of interest dominant changes in the house demand; also, this result explains the phenomenon of "adjusting the house demand while not the house price" in real estate. Expected credit tightening shock would create "more higher house price when being adjusted" under the substitution effect of real estate and the overheating phenomenon of "high house price, low consumption, low output" at the same time.更多还原