信用风险、房价与宏观经济波动

Credit risk,Housing Price and Macroeconomic Fluctuation

本文旨在揭示房地产市场、信用市场和真实经济之间存在互动加速机制。在内生化信用风险的基础上,将信用风险纳入经济周期模型一般分析框架,通过建立动态随机一般均衡模型研究信用风险对宏观经济周期波动的作用机制。研究发现,与传统模型相比,信用风险的加入使周期波动的程度显著加强,信用风险对周期波动具有放大效应。相较于TFP冲击,宏观经济周期波动更多受到房价冲击影响。本文模型能更好拟合实际数据,反映真实经济更大波动性和持续性特征。

The purpose of this paper is to reveal the interactive acceleration mechanism among the real estate market,the credit market and the real economy.By putting credit risk into the general analysis framework of business cycle,the mechanism of the credit risk on the macroeconomic cycle is studied by establishing a dynamic stochastic general equilibrium model.The study found that,compared with the traditional model,the credit risk is added to make the degree of cyclical fluctuations significantly strengthened.Credit risk has amplification effect on the period fluctuation.Compared to the TFP shock,macroeconomic cycle fluctuations are more affected by the house prices shock.The model can better fit into the actual data,reflecting greater volatility and persistence of the real economy.