房价“粘性”、系统性金融风险与宏观经济波动——基于内生化系统性风险的DSGE模型

House Prices' “Stickiness”,Financial Systemic Risks and Macroeconomic Volatility——Based on the DSGE Model of Endogenous Systemic Financial Risks

面对处于高位的房地产市场,我国政府开启了新一轮严苛的房地产市场调控,然而房价却出现下行困难的高价格粘性局面,使得我国金融与宏观经济稳定受到威胁。本文构建了包含房地产部门的系统性金融风险内生化DSGE模型,分别考察了在不同房价粘性下,杠杆率等金融变量和宏观经济变量在面对不同外生冲击时的动态响应。研究结果表明:技术冲击使房价、产出和通货膨胀等宏观变量呈现正向响应,使系统性金融风险和风险溢价呈现负向响应;紧缩的货币政策冲击使房价和产出等宏观经济变量下降,杠杆率和系统性金融风险水平上升。此外,不同的房价粘性情况下,金融变量和宏观经济变量对外生冲击的响应程度存在差异。高房价粘性情况下偏离稳态的幅度较小,同时高房价粘性的存在会影响货币政策对房地产市场的调控效果。本文研究结论对我国房地产市场有效调控和降低系统性金融风险、实现我国宏观经济稳定具有重要政策启示。

This paper constructs the endogenous DSGE model which includes the real estate department,in addition,this paper also examines the impact of exogenous shock on financial variables includes leverage and macroeconomic variables under different real estate price stickiness.The results show that technical shocks and monetary policy shocks will lead to a negative and positive response to the systemic financial risks respectively,while macroeconomic variables respond positively to the impact of technology,with most negative responses under monetary policy shocks.Moreover,there are differences in the degree of response between financial variables and macroeconomic variables to exogenous shocks at different real estate price stickiness,variables normally deviate smaller from the steady state under high price stickiness.The conclusion of this paper has important policy implications for the effective regulation and control of the real estate market in China and the reduction of systemic financial risks and the realization of China's macroeconomic stability.