房地产风险传染机制及其动态效应研究

中文摘要本文以房地产风险传染为研究对象，基于国内外相关文献研究以及房地产风险传染造成的现实影响两个层面，概括了房地产风险传染的本质及其特征，系统地分析了房地产风险在金融体系、宏观经济中传染的渠道、过程和机制。在此基础上，一方面使用VAR-MVGARCH-Asymmetric-BEKK 模型，从溢出效应视角验证了我国房地产市场价格和银行信贷之间的联动关系以及我国房地产风险在银行体系的传染效应；另一方面采用结构化向量自回归模型、ABEK 模型对房地产风险在宏观部门的传染机制以及房地产风险传染的直接效应和间接效应进行了验证。通过上述研究，论文得出的基本结论是：第一，房地产风险传染的本质是房地产市场风险带来的冲击对金融体系及宏观经济的稳定产生影响从而导致系统性风险爆发的过程，或者说是指房地产行业由于价格波动导致的风险对于其它行业或者部门以及宏观经济产生的溢出效应。第二，房地产风险传染的主要领域是与之密切联系的金融体系和宏观部门。房地产风险在金融体系中的传染主要是通过影响银行体系的流动性而对银行信贷体系的稳定性形成冲击，同时房地产价格波动通过加剧信息不对称以及传递未来信息变化而影响金融体系的稳定性；其在金融体系中的传染过程大致上可以分为在个别金融机构间的传染、在银行体系间的传染以及在金融体系间的传染三个阶段；房地产风险在金融体系中的传染机制表现为房地产泡沫的生成、膨胀和破灭对金融体系的影响。房地产风险在宏观部门间的传染主要是通过影响消费、投资和产出、就业、通货膨胀和货币存量等因素而影响宏观经济；这一过程可以分为三个阶段：房地产风险在直接相关产业间的传染、在间接相关产业间的传染、在整个国民经济体系中的传染；房地产风险在宏观部门中的传染机制表现为房地产价格波动在托宾 Q 效应主导下的由行业风险向宏观经济系统性风险的转变。第三，从房地产风险在金融体系中的传染来看，房地产市场价格波动与银行信贷规模二者之间在均值和波动两个层面存在广泛且显著的关联性，房地产风险能够同时通过均值、波动两个层面对银行信贷稳定构成影响和冲击。此外，对非对称效应的考察结果表明，房地产市场处于价格下降通道时，房地产风险更容易积聚放大，其对银行信贷稳定的影响也最为明显。第四，从房地产风险在宏观部门中的传染来看，房地产风险在宏观经济部门之间的传染是基于财富效应和资产负债表效应。但是财富效应与资产负债表效应在家庭和中间品生产部门中的差异导致二者会对宏观经济产生不同的影响，即房地产风险具有很强的部门属性。由不同部门所造成的房地产价格的波动会在宏观经济各部门中有不同的传染机制和不同的影响程度。其中，房地产市场的托宾 Q 效应主导了房地产价格波动在宏观经济中的传染过程，且房地产市场容易因企业部门突变的投资行为而造成房地产风险的累积与爆发。同时，房地产市场与宏观经济之间相关性较强，波动性较大，但这种相关性并未在过去十多年间发生显著的突变。论文可能的创新之处：一是同时从均值和波动两个层面来检验房地产市场价格和银行信贷二者之间的联动关系，将房地产市场价格上升或下降、银行信贷扩张或收缩所引起的非对称效应引入均值波动模型，并对其进行相关性分析。不仅能够有效地反映房地产市场风险变化、银行信贷变化所带来的差异化效应，而且能够更加深入和全面地理解房地产风险传染对金融体系的影响。二是构造了用于分析房地产风险在宏观经济部门之间传染的完整分析框架。论文构建了包含房地产部门在内的新凯恩斯动态随机一般均衡理论模型，利用参数校准方法分析了房地产风险对宏观经济的动态影响特征和作用传染机制。此外，本文还使用结构化向量自回归模型(Structural Vector Auto Regression)、波动溢出模型分析了房地产部门和宏观经济之间的关联关系。这些模型分别研究了房地产风险在均值和波动层面的传染特征，从不同角度分析了房地产风险在宏观经济中的传染效应与联动关系。关键词：房地产风险传染，资产价格波动，金融体系，宏观经济稳定性AbstractThe research focuses on real estate risk infection，on the basis of the review on relevantliterature, defines the essence and feature of real estate risk infection. Besides, the papersystematically describes the process, channels and mechanism of the formation of real estaterisk and the infection in finance system and macro sectors. Specifically, on the one hand, byemploying VAR-MVGARCH-Asymmetric-BEKK model, tests the correlation between realestate market price and bank credit of China from the perspective of spillover effects, also theinfection effects of real estate risk in bank system. On the other hand, by employing SVARand ABEK model，the paper tests the infection mechanism of real estate risk in macro sectors,also the direct and indirect effects of real estate risk infection. The basic conclusion of theresearch is as follows:Firstly, the essence of real estate risk infection is the risk and probability of impacts withwhich the whole economic system is confronted due to the influence of single-sector marketrisk of real estate. The correlations between different sections of economic system lead to theexplosion of systematical risk of the economy，that is, the probability which price fluctuationof real estate industry arouses a series of loss in industries and system composed of industries.Actually, real estate risk infection is the process of the formation, swell and evaporation ofreal estate bubble. The essential features are manifested as randomness and abruptness,wealth effect, balance sheet effect, currency effect, and external effect. Real estate riskinfection is defined as the spillover effects of market risk generated from real estate industryrelative to other industries, or sectors, and macro economy.Secondly，the primary fields of real estate risk infection are relevant finance system andmacro sectors. The channel via which real estate risk infects finance system is influencingstability of bank credit system through credit expansion of bank system and liquidity,meantime, influencing stability of finance system through information asymmetry caused byreal estate price fluctuation and transmission of future information variation. The process ofreal estate risk infection in finance system is haply divided into three stages，that is, infectionamong individual financial institutions, bank systems and finance systems. The mechanism ofreal estate risk infection in finance system is manifested as impacting on finance industryowing to evaporation of price bubble of real estate assets, or infection mechanism of riskresult from real estate price fluctuation in bank system. Real estate risk infection amongmacro sectors influences macro economy mainly by influencing consumption, investment,output，employment, price inflation and money stock. The process of the influence of assetsprice bubble on economic stability can be divided into three stages, that is，real estate riskinfection among directly related industries, indirectly related industries, and the wholeeconomic system.Thirdly, seen from real estate risk infection in finance system, there is comprehensiveand significant correlation between real estate market fluctuation and bank credit scale onmean and fluctuation, real estate risk has impacts on bank credit stability through mean andfluctuation simultaneously. In addition, observation on asymmetrical effect shows that, whenreal estate market price is downward, real estate risk is more likely to accumulate andmagnify，the impact on bank credit stability is the most significant at this moment.Fourthly, seen from real estate risk infection among macro sectors, based on the analysisof general equilibrium model of New Keynesian dynamic random, real estate risk infectionamong macroeconomic sectors is based on effect of wealth and balance sheet. Whereas，whenthe difference of effect of wealth and balance sheet between families and middle sectorsresults in that real estate risk originates in different sectors，the impact on macro economy isdiverse, namely that real estate risk has strong attribute of sector. Real estate pricefluctuations result from sector difference give rise to diverse infection mechanism andaffection degree in macroeconomic sectors. Tobins Q effect plays a pivotal role in theinfection process of real estate price fluctuation in macro economy; moreover, enterpriseschoppy investments on real estate market are likely to result in accumulation and explosion ofreal estate risk. Meanwhile, there is strong correlation between real estate market and macroeconomy, which is usually fluctuant, yet has not observably varied during the past decade.The research has three innovative points. Firstly, tests the correlation between real estatemarket price and bank credit on level of mean and fluctuation simultaneously. Particularlyintroduces asymmetric effect，caused by rise or decline of real estate market price andexpansion or contraction of bank credit, into mean-fluctuation model, and then takescorrelation analysis on the effect. That can not only effectively reflect the differentiationeffect as a result of variations of real estate market risk and bank credit, but also thoroughlyand comprehensively reveal the influence of real estate risk infection oil finance system.Secondly, structures a complete analytical framework on analyzing real estate risk infectionamong macroeconomic sectors. Constructs general equilibrium model of New Keynesiandynamic random embracing real estate with microcosmic basis，in which analyzes features ofdynamic effect and infection mechanism of impact of real estate sector variations on macroeconomy utilizing parameter calibration method. Thirdly, It analyzes the correlation betweenreal estate sector and macro economy employing SVAR and fluctuation-spillover model, bywhich researches infection characteristics on layer of mean and fluctuation respectively，andalso analyzes infection effects and correlations of real estate risk i