住房公积金流动性风险研究——来自上海市的经验证据

Research on Liquidity Risk of Housing Provident Fund:An Empirical Evidence from Shanghai

研究了全国各省份公积金流动性现状,以上海市为例,在对该市公积金流动性分维度描述的基础上,就公积金归集额、个贷额和存贷比进行Monte Carlo模拟,详细分析了住房公积金流动性风险现状和演变趋势,研究表明:公积金存在流动性不足的风险,且呈现出城市分化严重、资金萎缩加速、市场干扰明显等特征,上海市公积金"存贷逆差"有不断增大的趋势,存贷比也有突破1.5的可能。为了防范公积金流动性风险,建议采取"防治结合"的思路,从制度入手进行调整和改革,包括对公积金扩面和异地贷款进行规范,减少或中止公积金救市任务,适当拓宽公积金增值渠道,尝试构建同业拆借机制以及严控公积金贷款违约风险等。

The liquidity risk of the housing provident fund is exposed,this paper explains the various provinces and cities'provident fund liquidity situation systematically,and taking Shanghai city as an example,based on the provident fund's liquidity description and discussion,estimates the provident fund,loan amount and loan deposit ratio by Monte Carlo simulation,makes a detailed analysis of the housing provident fund liquidity risk's status and evolution trend.The results show that from the view of reality or prediction,there is a risk of housing provident fund liquidity shortage,and a deepening trend for the degree of risk.In order to effectively cope with the liquidity risk of the provident fund,this paper suggests taking the idea of"combination of prevention and control",and emphasizing the necessary adjustment and reform from the system itself.Including correcting fund expansion and foreign loan,reducing or stopping the provident fund bailout task,broadening the fund value-added channels appropriately,trying to construct the inter-bank lending mechanism and strictly controlling the default risk.