房地产价格周期波动与成因研究.docx

摘 要20 世纪 80 年代以来，全球房地产市场接连发生了膨胀与紧缩的巨大波动。我国房地产市场以 1987 年为起点，1998 年才完全实现市场化分配，短短的二十几年间房价在波动中急剧膨胀。尤其是 2003 年以后，大部分城市房价持续高涨，引发了对房地产泡沫的巨大争论。2008 年国际金融危机前后，房价短期经历了大涨大跌的剧烈波动，与之相伴随的是对房地产价格一系列调控政策的出台。从一些发达国家的历史经验来看，房价的波动给宏观经济稳定带来了巨大的威胁，甚至导致了长时间经济萧条，这对市场调控与监管提出更高的要求。我国的市场调控经验表明，仅仅使用货币政策的市场效果不明显，不得不采取直接行政干预措施。而这些措施的合理性一直是理论界争论不休的问题。论文通过房地产价格周期测度与解读、与国外房地产周期比较、分析房地产周期与宏观经济、股市周期和通货膨胀周期的关系，对房地产价格周期波动特征做出具体的刻画，归纳了关于房价周期波动特征的典型事实。结果表明，我国房价周期波动频率高、波动幅度大。房价中期具有上涨刚性，不存在明显的中周期。房价周期、消费物价周期和股价周期之间存在一定的领先滞后关系。在宏观经济中的行业定位、政策导向与房价之间也存在显著的相关性。论文分析了我国房价周期增长和波动的成因。房地产价格的持续上涨主要受到体制创新、经济增长、工业化和城市化进程、流动性过剩几方面因素的影响。基于房地产定价模型，论文提出实现房价周期波动的三个假设：假设一：消费者根据房地产市场价格和理论价格之间的权衡进行购房决策，市场价格与理论价格之间存在互动关系，导致房价周期性波动；假设二：信贷的扩张与紧缩对房地产业与非房地产业投资的影响产生周期波动；假设三：金融自由化进程中伴随着增长过快的货币供给，加速了房价上涨趋势，也为市场带来不确定性。从实证结果来看，利率变化对房价的影响很小，无法与理论分析相一致，房价周期波动的利率调整机制失灵；银行信贷与价格周期存在稳定的一致性，银行信贷对价格周期的影响小于货币供给。货币供给弹性在 1998 年最高，到 2005 年达到最低值，2005 年以后货币供给对房价增长的推动作用增强。货币供给对价格的影响大于对投资的影响，说明资金通过房地产开发投资之外的途径直接对价格产生影响。本文认为，1998 年以前，市场环境不稳定是周期波动频繁的主要原因；1999 年至 2005年利率稳定、供求关系平衡，市场处于短暂的过渡期；2005 年以后房价周期波动频繁而剧烈，周期表现出明显的外生性，论文重点分析了这个阶段房价周期的原因。II2005 年以后，购房者购房动机发生了由居住到投资的转变，对于市场行为的解释需要突破房地产供给需求局部均衡的框架，在与宏观经济结构相关的一般均衡框架内分析。在低利率的条件下，购房者具有强烈的购房动机，房价具有上涨刚性，由市场价格与理论价格之间动态变化形成的价格周期性下行的机制无法实现；利率失灵加剧了实体经济和房地产价格趋势的背离，使房地产与实体经济的结构性失衡恶化，二者之间相对价格的变化机制无法实现；中国特色的货币政策传导渠道使房价周期产生强烈的政策性或者外生性，在房价上涨阶段银行自主信贷约束动机弱化，房价周期无法以银行信用自住紧缩为内在机制形成；2005 年以后的价格波动频繁，是由于在利率失灵条件下，房价变化对利率的弹性减少，对广义货币量的弹性增加，市场稳定性降低，价格容易受到流动性冲击。房价在缺乏利率弹性前提下的上涨产生两个重要的后果：首先导致无房者的福利相对下降；其次是银行风险积累。论文回顾和评价了房地产市场调控的历程。低利率和流动性问题外生于房地产行业，与货币政策和宏观经济环境密切联系，却成为影响房价正常波动的重要的内在原因。在这样的情况下，如果仅仅着眼于针对房地产行业的局部调控，问题根本却出在经济全局，短期行政措施也难以产生长期持续的效果。在现阶段，稳定预期是主要的房地产调控政策。对房地产周期波动，主要控制由于银行信贷带来的金融风险。最后提出主要结论和政策建议。长期而言，构建具有合理定价机制的房地产市场是我国房地产业发展的必然选择，制度建设是长期稳定发展的基础。提出推进金融体系改革和利率市场化、发展和完善房地产市场、增加金融供给稳定长期投资、推进房产税改革等几个方面的政策含义。关键词：房地产周期；利率失灵；变参数模型；货币冲击IIIAbstractSince the 1980s, the global real estate market has been a spate of large fluctuations of theexpansion and contraction. Chinas real estate market started in 1987 and finished themarket-oriented distribution in 1998. In a short period of twenty years house prices expandedrapidly in the fluctuations. Especially after 2003, most urban housing prices continued to rise,triggering a huge debate on the real estate bubble. During the 2008 financial crisis, pricesexperienced short-term volatility fluctuation,in hand with a series of regulatory policies on realestate prices in China. From the historical experience of some developed countries, the volatility ofhouse prices brought about a huge threat to macroeconomic stability and even leaded to a prolongedrecession. This put higher demands on market regulation and supervision. Chinas experience inmarket regulation shows that the effect of mere use of monetary policy on the market is not obvious.The government had to take direct administrative interventions. The rationality of these measureshas been the vexed issue of the theoretical circle.Focusing on Chinas real Prices estate cycle, the thesis analyzes the theoretical and empiricalintrinsic links between these phenomena.The thesis measured and interpretated the real estate price cycles, compared with foreign realestate cycle, analyzed the relationship between real estate cycle, macroeconomic, stock marketcycles and inflation cycle, made specific characterization of the characteristics of fluctuations in thereal estate price cycles, summarized typical facts on the characteristics of price cycles fluctuations.The results show that Chinas housing prices have high frequency of cyclical fluctuations. Pricesrises rigidly, the mid-cycle does not exist., There are leading and lag relationships between the Pricecycles, consumer price cycles and the stock price cycles. There is a significant correlation betweenthe positioning of the real estate in the macroeconomic policy and prices.The paper analyzes the causes of growth and volatility of Chinas housing prices cycle. Realestate prices continue to rise by institutional innovation, economic growth, industrialization andurbanization, excess liquidity factors. The paper established a general equilibrium-cycle model withconsumption habit formation and capital adjustment costs, explained that the price fluctuations arecaused by the mechanism of micro-investment and consumer behavior. Higher real estateconsumption habit formation makes the representative family transforms smaller fluctuations of themarginal utility of real estate into larger price fluctuations. Due to the presence of adjustment costs,investment fluctuations lead to price fluctuations. When the total output changes, the representationfamily tends to change it into the variation in investment rather than current consumption changes.Interest rates, credit growth, money supply have an important influence on the fluctuations inthe price cycle. They also lead to cyclical fluctuations of the real estate industry in recent years.IVOn the basis of theoretical analysis, the paper established a varying parameter model to analyze theinteraction between interest rates the credit, investment and money supply and real estate pricecycles in the different stages. From the empirical results, the impact of changes in interest rates onhouse prices is very small. This isnt consistent with the theoretical analysis. The interest rateadjustment mechanism in prices cycle fluctuations failure. There is a stable consistency betweenbank credit and price cycles. The impact of bank credit to the price cycle is less than the moneysupply. Elasticity of money supply is the highest in 1998 and reached the lowest value in 2005.After 2005 the money supply played enhanced role in promoting the growth in house prices. Moneysupplys impact on prices is greater than the impact on investment funds by way outside of the realestate investment.Therefore, we believe that our long-term real interest rates are low and this brought strongupward momentum to house prices. Under low interest rates, the banks real estate allocation ofcredit resources lacks of capital cost constraints. The dynamic adjustment mechanism between thereal estate industry and other industries lack bank credit as an intermediary. The small changes ofinterest rates at a low level make too small changes to investor decisions to make a substantial turnin the market so that fluctuations mechanism in the price cycle can not be achieved. This is why thereal estate regulation adopted direct administrative control measures. If the interest rate under thelong-term control can not reach the equilibrium interest rate where the money supply and demandare equal, the price fluctuations will lose stable base. Price fluctuations after 2005 is, the results ofthe liquidity shock in the interest rate failure conditions. Currency by resident investments, hotmoney and bank credit channels put impact on the real estate market led to a substantial increasein short-term fluctuations.High prices under the lack of interest rate elasticity have two important consequences. First,this led to the welfare of those without housing relatively declined. Due to the price continued torise rapidly with lack of interest rate elasticity , the behavior of buyers lacked the cost constraints,the initial allocation of housing wealth and income-determined housing affordability are the mainconstraints of the housing investment decisions. Rising house prices cycle resulted in the therelative welfare gap between housing and no housing continued to widen. The bank risk isaccumulated. Weakening of the investment cost constraints, the credit risk of banks is difficult toaccurately assess. Once the real interest rates rise, the cost of capital constraints of borrowersstrengthened, the potential risks of the bank exposure and may pose a threat to financial stability.The paper reviewed and evaluated the course of the real estate market regulation. With the lack offlexibility of real estate price changes, the market is in serious lack of stability and vulnerable to theimpact of the potential supply of money under certain conditions. In this context, the response of theVreal estate market for short-term government intervention is often excessive, The price either rosetoo fast or falled back too excessively. Stable expectation is the main real estate control policyoptions at this stage. With regard to fluctuations in the real estate cycle, the policy should mainlycontrol the financial risks due to bank credit.Finally, the paper put forward the main conclusions and policy recommendations. In the longrun, building a real estate market with a reasonable pricing mechanism is the inevitable choice ofChinas real estate development. Institution building is a long-term and stable basis for thedevelopment. We should push forward the development of financial system reform and interest ratemarkets, improve the real estate market, increase the financial supply, stabilize long-terminvestment, and promote property tax reform as the main institution construction measures.Keywords: Real estate cycle. Interest rates failures. Varying parameter model. Monetary shocksVI目 录1.绪论 . 11.1 研究背景和意义.11.2 研究内容.31.3 研究方法.41.4 研究框架.41.5 可能的创新之处.52.文献综述 . 72.1 国外研究.72.1.1 房地产周期的定义和性质.72.1.2 房地产周期存在性及测度.92.1.3 房地产周期的类型.102.1.4 不同国家与地区房地产周期的比较. 112.1.5 房地产周期影响因素.122.1.6 房地产调控政策.162.2 国内研究.182.2.1 房地产周期测度.182.2.2 房地产周期划分.182.2.3 房地产周期影响因素.182.3 评述.193.中国房地产价格周期波动特征 . 253.1 周期测度与解读.253.1.1 方法说明与指标确定.253.1.2 分析过程与结果.263.1.3 房地产价格周期解读.303.1.4 房地产价格增长阶段划分.353.1.5 房地产价格合理性的判断.353.1.6 房地产价格周期特征小结.363.2 中外房地产周期比较.37VII3.2.1 世界房地产周期概况与特征.373.2.2 中美房地产周期比较.403.2.3 新加坡房地产周期及其借鉴意义.443.3 房价周期与宏观经济周期、股市周期、通货膨胀周期的关系.463.3.1 房地产周期与宏观经济周期的互动关系.463.3.2 房地产周期与股市周期、通货膨胀周期相关性分析.483.4 中国房地产价格周期波动特征典型事实.524.中国房地产价格周期波动的成因 . 544.1 基于供给与需求的房价上涨趋势的一般解释与评价.544.1.1 房价周期增长趋势的主要原因.544.1.2 政府干预造成人为繁荣的评价.554.2 基于利率、银行信贷和货币供给的解释.574.2.1 价格形成与周期性变化的理论假设.574.2.2 国际经验与启示.624.2.3 实证分析.654.3 房价周期波动的成因解释.755. 房地产价格周期波动效应 . 805.1 财富效应.805.1.1 财富效应的定义.805.1.2 房地产财富效应作用机制.805.1.3 实证数据.815.1.4 结论与启示.825.2 信贷风险.835.2.1 银行信贷风险与房价周期的互动过程.835.2.2 信贷风险产生的原因.846. 房地产调控政策 . 866.1 房地产调控的理论依据.866.1.1 自然垄断和制度垄断.866.1.2 利率失灵.86VIII6.1.3 价格波动的负效应.866.2 房地产调控体系.876.2.1 调控目标.876.2.2 调控手段.876.2.3 调控机制.886.3 房地产调控政策回顾与评价.886.3.1 2003 年以前的调控政策.896.3.2 2003 年以后的调控政策.896.4 美国房地产调控的主要做法.906.5 完善房地产调控政策.917. 结论与建议 . 927.1 主要结论.927.2 政策建议.937.3 需完善之处.95参考文献 . 96附录 . 103图表索引 . 108在读博士期间发表的论文、专著和承担的科研项目清单 . 110后 记 . 11111.绪论1.1 研究背景和意义经济周期是宏观经济学一个重要的研究领域，房地产周期是经济周期的重要组成部分。已有的大量研究结果表明：房地产周期是客观存在的。学术界最早研究房地产周期可以追朔到20世纪30年代，Wesley Mitchell是美国房地产周期的理论基础和实证研究的开创者，建立了较为坚实的知识体系。与此同时，房地产周期也是土地经济研究的核心议题之一，成为城市土地经济学科的重要组成部分，也是房地产金融与房地产投资等学科的基础。在早期的研究以后，房地产周期一直被学术界与实业界所忽视，直到最近30年。20 世纪 90 年代之前，国外对房地产周期研究遵循“识别、解释、检验、预测”的传统范式。20 世纪 90 年代之后，由于发达国家资本市场的进一步发展和世界金融市场的形成，以及资产组合理论的应用，引发了“投资导向”型房地产周期研究的出现1。因为资产呈现出表面波动下的周期行为，使用房地产周期测度作为一种工具来做出适时资产组合投资决策对投资者产生极大兴趣。国际房地产市场在 1980 年代后期和 1990 年代早期、亚洲金融危机期间和美国次贷危机前后经历了三次全球性房地产周期。周期下行阶段伴随着资产价格泡沫的破裂和房地产投资者的负回报，这对宏观政策制定者和房地产投资者提出了一系列需要解决的问题，例如：目前房地产处于周期的什么阶段，下一个周期下行阶段何时到来，会下降到怎样的程度。“因为周期对于房地产收益的永久性和动态性的影响，房地产周期已成为了房地产投资历史上决定投资成败重要的潜在原因，一定时间的风险和投资价值的影响不能被忽略或者过于简单化对待。”2。因为这样的认知，随着房地产成为受越来越多投资者关注的资产类型，房地产投资者日益强调房地产周期理论和实证分析的战略和决策含义。以 1987 年为起点，中国房地产市场距今仅有 24 年的发展历史，与