住房金融宏观审慎政策能抑制房地产市场系统性风险吗?

Does the Housing Finance Macro-prudential Policy Restrainthe Systemic Risk of Real Estate Market?

本文以中国53个城市2009~2018年数据为样本,将股票市场对房价波动反应因素纳入边际期望损失模型,测度我国房地产市场系统性风险,在此基础上,考察了住房金融宏观审慎政策对房地产市场系统性风险的影响,进一步研究了地方政府财政压力和经济增长压力对住房金融宏观审慎政策调控效果的影响。研究表明,紧缩的住房金融宏观审慎政策对房地产市场系统性风险有显著抑制作用,并且这种抑制作用存在明显滞后效应。当面临较大的财政压力和经济增长压力时,地方政府缺乏调控土地价格和住房价格的激励,这会削弱住房金融宏观审慎政策的调控效果,上述作用效果在一线和二线城市更为显著。本文的政策启示在于,相关部门应进一步丰富住房金融宏观审慎政策工具箱,将房价增速纳入中央对地方政府考核体系,从供需两端合力防范房地产市场系统性风险。

In order to measure the systemic risk in Chinese real estate market,this paper firstly in cludes the responsive fluctuation of stock market towards Chinese house price into the Marginal Expected Shortfall model,then uses the quarterly city-level data of 53 Chinese cities during 2009~2018 to prove it,and on this basis,examines the impact of housing finance macro-prudential policies on the systemic risks of the real estate market,and further studies the impact of local government fiscal pressure and economic growth pressure on the effect of housing finance macro-prudential policies.The research shows that the tightening housing finance macro-prudential policy can effectively restrain the systemic risk of the real estate market,which has a significant lag effect.When the local government is confronted with more financial pressure and economic growth pressure,they lack incentives to regulate land prices and housing prices,which will weaken the regulatory effect of housing finance macro-prudential policy.The above effect is more significant in first-tier and second-tier cities.The policy implication is that the regulating departments should further enrich the housing finance macro-prudential policy toolbox,incorporate housing price growth into the central government’s assessment system for local governments,and prevent systemic risks in the real estate market from both sides of supply and demand.