宏观审慎监管、房地产市场调控和金融稳定——基于贷款价值比的DSGE模型分析

Research on Macro-Prudential Supervision, Housing Market Regulation and Financial Stability——Based on DSGE Model Analysis of LTV

本文通过构建存在融资约束金融摩擦、异质性家庭和房地产生产商的多部门DSGE模型,考察了住房需求冲击和杠杆率冲击对经济金融稳定的影响,比较分析了宏观审慎监管框架下贷款价值比(Loan-to-Value,LTV)动态调整规则与静态规则的宏观经济和金融稳定效果,以及LTV动态调整规则下"盯信贷"与"盯房价"的政策锚选择问题。研究发现,杠杆率冲击比住房需求冲击对经济系统,特别是金融稳定的负面影响更大,有必要施加LTV类宏观审慎政策来调控房地产市场以维护金融稳定;引入逆周期调节因子的LTV动态调整规则比现行的静态规则具有更显著的金融稳定效果;就防范系统性金融风险而言,"盯信贷"的动态调整规则比直接"盯房价"规则占优;确保动态调整规则具有适度的实施弹性,将有助于增强其实施的经济金融稳定效果。

By constructing a multisectoral DSGE model embedded in housing mortgage financing friction, heterogeneous families and real estate manufacturers as well as using parameter calibration and Bayesian estimation, this paper examines the impacts of housing demand shock and leverage shock on economic and financial stability under different conditions, compares the effects on macroeconomy and financial stability between the static and dynamic rules of loan-to-value(LTV)in the macroprudential supervision framework, and investigates the policy anchor selection problems between the dynamic rules of“anchoring credit”and“anchoring housing price”. The results show that the leverage shock of the housing market has a greater negative impact on the economy as well as the financial stability than pure housing demand shock in the environment of mortgage financing friction. It is necessary to apply macroprudential policy of LTV to regulate the housing market so as to maintain financial stability. The results also show that the dynamic rules of LTV with a counter cyclical regulation factor have more significant financial stability effect than the existing static rule, and the dynamic rule of“anchoring credit”is better than the dynamic rule of“anchoring housing price”in directly preventing systemic financial risk. Moreover, keeping the dynamic rule of“anchoring credit”with appropriate flexibility plays a helpful role in improving the macroprudential policy effects on economic and financial stability.