房价波动与银行稳定性的门槛效应研究——基于抵押物价值视角

Study on the Threshold Effect of House Price Fluctuations and Bank Stability——Based on the Perspective of Collateral Value

构建微观层面房价与银行稳定性之间关系的理论模型,并采用中国21个大中城市及所辖城商行数据,建立非线性面板门槛模型进行实证研究。结果表明:在房价上涨幅度低于11.64%的门槛值内,出现"抵押效应",银行稳定性增强;房价上涨幅度在11.64%~13.29%区间内则出现"偏离效应",银行稳定性弱化,且"偏离效应"比"抵押效应"更明显。进一步研究发现:东部城市的门槛效应略高于全国平均水平。研究认为:银行在住房贷款决策时不宜过分倚重抵押物,并且应逐渐改变过度依赖房地产贷款的现状;政府应尽快建立房价波动预警体系,防止房价过度上涨,在房价调控时应强化区间管理思维,避免出现"一刀切"。

This paper constructs a theoretical model at the micro level on the relationships be- tween house price and bank stability, and an empirical study is made by building a nonlinear panel data model based on the data from business concerns in 21 cities. Results show that when the raise of house price is smaller than the threshold value of 11.64%, ＂collateral effect＂ can be found and bank stability is strengthened. When the raise of house price reaches 11.6% ~ 13.9%, ＂deviation effect＂ can be found, bank stability is weakened and the ＂deviation effect＂ is stronger than ＂collat- eral effect＂. Further researches show that the threshold effect of eastern cities is slightly higher than the average of the country. The author believes that when making decisions on house mortgages, banks should not rely heavily on collaterals, and they should change their role of relying too much on real estate mortgages. Government should establish an early warning system as soon as possible to avoid excessive house price raise. Meanwhile, the idea of regional management should be taken into consideration when controlling house price to avoid the way of ＂one size fits all＂.