信贷约束、房地产抵押与金融加速器——一个DSGE分析框架

Credit Constraints,Real Estate Collateral and Financial Accelerator:A DSGE Framework

建立一个内嵌房地产信贷抵押约束的新凯恩斯主义DSGE分析框架,发现房地产价格波动对宏观经济具有金融加速器的作用,能显著放大外生冲击对经济的影响;金融加速器的核心在于房地产信贷抵押约束,信贷抵押约柬越宽松,金融加速器机制越显著。同时,在信贷抵押约束机制下,房地产市场存在价格自我加速机制,导致"价量双高",能够部分解释我国一线城市房地产市场的非理性繁荣。房地产的金融加速器机制存在巨大的潜在风险,为了预防金融加速器导致的经济负向波动,需结构性理顺房地产抵押属性。

This paper establishes an embedded credit constraints DSGE model to study the financial accelerator effect of real estate mortgage, which fits the Chinese data from 2001 to 2015 in a high degree. This paper finds that：（1） the credit constraints determine the collateral capacity of real estate and the size of the financial accelerator effect, which leads to a big fluctuations of economic system.（2） Owe to the credit channels, real estate price has a self-reinforcing mechanism, which can explain the irrational exuberance of real estate market.（3） In order to prevent the negative fluc- tuations of financial accelerator mechanism, the mortgage property of real estate market should be treated seriously.