房地产债务扩张与货币政策有效性下降:理论及实证

Real Estate Debt Expansion and the Decline in Monetary Policy Effectiveness:Theory and Empirical Evidence

目前中国经济面临的一个重大挑战是房地产企业的高负债率和居民部门因长期房贷负担而引起的需求疲软,这两大因素的共同作用导致货币政策效果减弱。本文基于多部门动态随机一般均衡(DSGE)模型,探讨了房地产企业债务扩张和居民部门住房债务扩张对货币政策有效性的影响。模型的模拟结果显示,这两大因素均会削弱货币政策效果,其潜在传导机制包括信贷挤压效应和影子银行扩张替代效应。基于理论分析的结果,本文运用状态依存的局部投影方法进行了实证分析,证实了房地产企业债务扩张和居民部门住房债务扩张确实会削弱货币政策效果。此外,本文还验证了传导机制的存在。在广义的“脱实向虚”的背景下,本文的研究可以为近年来货币政策有效性下降的现象提供新的解释,并为控制房地产相关债务规模的必要性提供新的证据。

This paper first establishes a multi‑sector dynamic general equilibrium model containing heterogeneous households.In this model,the exogenous changes in the debt of the household sector,the real sector,and the real estate sector are considered.This paper analyzes how the debt changes of different sectors affect the effectiveness of monetary policy from the perspective of comparative static analysis and find that changes in unit debt of the household sector and the real sector have a greater impact on the effectiveness of monetary policy,but changes in the debt of the real estate sector only have a relatively weak impact.Combined with the data on the changes in the debt ratios of various sectors in the past two decades,we attribute the above process to the credit resource squeezing mechanism on both the supply and demand sides of real estate,that is,the excessive crowding out of the credit resources of the real sector by household mortgages and real estate loans,thereby weakening the effectiveness of monetary policy.In addition,considering the tightening real estate regulation policy,real estate developers can only obtain limited credit resources.The extended model takes into account that real estate developers use shadow banking to achieve debt expansion.This paper also finds that rising debt levels weaken the effectiveness of monetary policy.This paper interprets the above mechanism as a mechanism of intensified financial friction caused by real estate debt expansion.After obtaining the above theoretical simulation conclusions,this paper uses the state‑dependent local projection method(State‑LP)for empirical testing.First,based on the resident debt ratio and the real estate industry debt ratio as state variables,this paper constructs the binary cross‑product local projection regression.The results show that high debt ratios of residents and real estate developers weaken the effectiveness of monetary policy.This conclusion is established through multiple robustness tests.Further,based on the continuous variable cross‑local projection regression,this paper selects personal mortgage loans and domestic loans from real estate development funding sources as proxy indicators for resident and real estate developer credit expansion,respectively.The results show that the credit expansion of the above two sectors weaken the effectiveness of monetary policy.Compared with previous literature,this paper has the following extensions.First,it provides a new idea for the reasons for the decline in the effectiveness of China’s monetary policy,that is,it examines the effectiveness of monetary policy from the perspective of the“reservoir”of the real estate sector and demonstrates the potential harm of excessive expansion of real estate sector debt through theoretical simulation and empirical testing.Second,it emphasizes the necessity of regulating the scale of real estate‑related debt,unblocking the financing channels of the real sector,and alleviating the pressure of housing loans in the resident sector,and supplements relevant research on the problem of“decoupling from the real economy and moving towards the virtual economy”.