摘要
房地产信贷是基于潜在资产的看跌期权,贷款人是卖方,借款人是买方。贷款人对看跌期权价值的低估会导致资产价格膨胀、偏离基础价值,而银行家和股东均存在低估看跌期权的正向激励。开放经济条件下,贷款利率、存款利率与汇率三个因素增加资产市场价格与基础价值的差距。基于对PW模型的扩展分析,中国2005年7月至2007年12月的数据也证实了房地产价格与利差和汇率负相关,与存款利率正相关。
Credit is the put option based on the potential assets, the lender is option seller, the borrower is option buyer. The lenders＇ underestimation of the value of the put option would lead to asset price inflation, differing from the fundamental value. However, both bankers and shareholders have a positive incentive to underpin their opinions. In an open economy, lending rate, deposit interest rate and exchange rate increase the difference of market price and its fundamental value. Under the extending PW model , the author believes that there is negative correlation between real estate prices, interest spread and exchange rate, and positive correlation with deposit rate, Chinese data from July, 2005 to December, 2007 can testify this conclusion.
出处
《广东金融学院学报》
CSSCI
2008年第5期54-64,共11页
Journal of Guangdong University of Finance
基金
国家自然科学基金(03BJY098)
