房价上涨对家庭债务与企业债务的影响研究

The Impact of House Prices Rising on Household Debt and Firm Debt

探讨中国房价与家庭债务、企业债务之间的内在关联,有助于理解中国宏观经济波动。首先利用2007-2021年季度数据,构建了BVAR模型,发现在房价上涨冲击下,企业债务下降而家庭债务、名义利率和产出上升且均呈现驼峰状,即家庭债务挤出了企业债务;而后构建了一个含有异质性家庭、房地产部门、价格黏性和信贷约束的DSGE模型,数值模拟发现在房价上涨冲击下,模型能够较好地拟合以上特征事实。机制分析表明“非李嘉图家庭”的信贷约束发挥了关键作用,形成了住房抵押效应和住房与债务再分配效应,住房和债务流向“非李嘉图家庭”,推高了利率,使家庭债务上升而企业债务下降,此时产出增长主要由就业增长推动。与紧缩性货币政策相比,对家庭部门实施紧缩性信贷政策,将降低利率并形成流动性效应,能够较好地实现房地产市场、家庭债务与实体经济之间的协同发展。

In recent years,China s house prices,household debt and firm debt have shown a rapid upward trend.However,in the process of rapid rise in house prices,the rise of household debt is greater than that of firm debt.Debt accumulates to the household sector,and the household sector presents a faster leverage process.In order to explain this economic phenomenon and the economic mechanism contained therein,this paper uses the quarterly data from 2007 to 2021 to construct a BVAR model,involving five variables:house price,household debt,firm debt,output and nominal interest rate.The results of BVAR model show that under the shock of house prices rising,firm debt decreases,while household debt,output and nominal interest rate rise and show a hump,which means that household debt crowns out firm debt.Then a DSGE model containing real estate sector,heterogeneous families,price stickiness and non-Ricardo families subject to credit constraints is constructed.Numerical simulation shows that under the shock of rising house prices,DSGE model can better fit the characteristic facts of BVAR model.The credit constraint of non-Ricardo families is the key influence mechanism.On the one hand,the credit constraints of non-Ricardo families form the housing mortgage effect,which makes families increase housing purchase and increase house prices,household debt and interest rates.On the other hand,it forms the redistribution effect of credit,housing and debt,which reduces firm debt and increases household debt.In this process,the rise of house prices and household debt makes the interest rate rise,inhibits domestic consumption and fixed asset investment,and the real wage decreases.The negative wealth effect makes families reduce leisure and increase labor supply.At this time,the output growth is mainly driven by employment growth.With the help of the benchmark model,this paper further simulates the policy effect of the central bank s counter-cyclical regulation of the real estate market,and finds that although the tight monetary policy and tight credit policy can stabilize house prices and reverse the crowding out effect of household debt on firm debt,these two policies have a negative impact on the real economy.Among them,the tightening monetary policy has a greater negative impact on the real economy,mainly because the tightening monetary policy increases the interest rate,resulting in a large decline and recession in output,inflation,total employment,total consumption and investment,which is not conducive to steady growth.The implementation of the tight credit policy for the household sector reduces the interest rate,forms a positive liquidity effect,and makes the investment rise,while the output,inflation,total employment and total consumption rise to positive in the long term after experiencing a short-term recession.At this time,the growth of output is mainly driven by investment and then capital growth.From the perspective of reducing interest rates and promoting economic growth,the implementation of tight credit policy for the household sector has a policy effect similar to that of expansionary monetary policy.Therefore,the implementation of tight credit policy for the household sector is a more effective and appropriate method for the central bank to regulate the real estate market.