动态随机一般均衡模型视角下的预期冲击与住房价格波动

Expectation Shocks and Housing Price Fluctuation under a News-Driven Business Cycle Model

本文通过建立加入金融摩擦的消息推动下的经济周期模型得出房产税试点的消息冲击,预期紧缩的个人抵押贷款政策和预期紧缩的企业信贷政策均对房价具有重要作用,并且消息冲击影响下的住房价格与传统周期模型下实际政策冲击的影响下的住房价格之间具有明显的区别。同时,本文还通过对上述三种冲击进行相互组合所产生的四组混合预期对住房价格的影响发现:当经济人对未来同时产生多种预期时,由多种预期所产生的对内生变量的影响具有相互增强的性质。最后,本文发现在导致房价上涨的预期冲击中,预期紧缩的企业信贷政策是最微弱的,其次是预期紧缩的个人抵押贷款政策,房产税试点消息预期则是导致房价上涨方面最不利的预期因素。

This paper makes use of a News - Driven Business Cycle （NDBC） model with financial frictions embedded to analyze the response of housing price to various expectation shocks. This paper shows that expected tightening personal mortgage policy and business credit policies have an important effect on the housing price, and there is a distinct difference between the price of housing under the influence of the message impact and housing prices under the influence of actual policy. Meanwhile, this paper also finds out that mixed expectation has the effect of addictiveness, that is when the economic agents have a variety of expectations of the future at the same time, the influence of a variety of expectations on endogenous variables has the mutually reinforcing nature. Finally, this paper demonstrates that among the expected impacts of rising house prices, expected tightening corporate credit policy is the weakest, followed by expected tightening personal mortgage loan. And the expected pilot property tax news is the most disadvantaged factor causing the housing price to increase