房价波动、住房信贷与宏观审慎政策

Housing Price Volatility,Housing Credit,and Macroprudential Policy

金融危机表明住房信贷违约可能引发系统性风险,但现有理论研究并未将住房信贷违约风险纳入分析框架。本文通过构建包含异质性房价冲击和住房信贷违约的房地产动态随机一般均衡(DSGE)模型,探究房价波动的溢出效应,同时研究宏观审慎政策对住房信贷的监管效果。基于中国的实际数据,通过模拟分析得出以下结论:房地产市场对实体经济的溢出效应主要集中在消费而不是产出和通胀,对金融系统的溢出效应要大于实体经济。采用以住房信贷扩张速度为目标的动态资本充足率监管方式能有效地控制信贷风险,短期效果更加明显。房价波动冲击和利率冲击是引起我国住房信贷波动的主要原因。

The existing literature does not take housing credit default into a general analysis framework,albeit the subprime crisis proved that it would lead to systemic risk.By implanting the idiosyncratic housing shock and housing credit default into a dynamic stochastic general equilibrium(DSGE)model,the spillover effects of housing price volatility are explored and the supervisory effects of macroprudential policy on housing credit are studied.Based on China’s actual data,the following conclusions are drawn from the simulation analysis:The spillovers from the housing market to the broader economy are concentrated on consumption rather than output and inflation,the spillover effect on the financial system is greater than the broader economy.The fluctuation of housing price will increase the default rate of housing credit and reduce the supply of housing credit for commercial banks.The dynamic capital adequacy ratio targeting the expansion of housing credit can effectively control credit risk,and the short-term effect is even more pronounced.The housing price volatility shock and interest rate shock are the main cause of fluctuations in China’s housing credit.