我国房地产价格波动与金融风险研究
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摘要
房地产业产业关联度高,前向和后向带动力强,自1998年住房商品化改革以来,我国房地产业快速发展,对扩大内需,拉动相关产业发展,增加就业,促进国民经济发展做出了重要贡献,逐渐成为国民经济中的支柱性产业。与此同时,房地产业运行发展的核心元素——房地产价格也快速上涨,部分地区出现房价过高,上涨过快,涨幅过大的现象,不断上涨的房价引出“房地产泡沫”的议题。
与房地产价格过快上涨共同被关注的另一议题是房地产价格泡沫可能导致的金融风险。房地产业与金融业之间存在着密切的联系。一方面,房地产业资金需求量大,供需双方都需要金融业的支持,目前我国房地产金融体系的突出特点是：房地产业资金来源渠道非常单一,过度地依赖银行信贷,其他资金来源占比甚小。据中国人民银行的研究估计,房地产业的开发资金中55%以上,土地购置资金中有80%来自于银行信贷。另一方面,在房地产业发展的繁荣时期,房地产投资回报率高,各路资金都纷纷大量流向房地产业。掌握着大量社会闲置资金的银行机构,也热衷于向房地产业发放大量信贷。但是对房地产业的信贷过度集中,不利于风险分散,从而使银行系统暴露于房地产市场波动风险中。近几年,国内主要商业银行的房地产开发贷款和个人住房贷款额占贷款总额的比例,平均约25%左右,有的达到30%以上,占银行总资产的比例在12%左右,而且成逐年上升趋势。日本20世纪80年代后期房地产泡沫高峰时期,银行房地产抵押贷款余额占贷款总额的比例在1988年底也只有22%,1992年为35.5%。可见,我国银行机构目前的房地产信贷风险暴露程度值得引起警惕。国际国内历次房地产泡沫导致的危机几乎都与银行信贷大量投向房地产业有关。如美国20世纪80年代的房地产泡沫与储蓄贷款业危机、日本80年代末的泡沫经济崩溃和1997年东南亚金融危机,我国海南房地产泡沫与银行危机等等。
金融系统的稳定对一国经济社会的重要作用毋容置疑。我国房地产业融资过度依赖银行体系,而银行体系又将信贷过度集中于房地产业的现实表明,房地产业与金融业之间的联系和相互渗入程度在我国表现得尤为突出,我国金融系统也就更容易受房地产市场运行状况的影响,受影响程度也将更大。因此,探讨最能反映房地产业市场运行状况的房地产价格波动对银行体系的影响,对有效调控房地产价格波动,促进房价合理回归,减小价格异常波动对银行体系的影响,进而防范银行风险,具有重要的现实意义。
在此背景下,本文通过对近年来我国房地产价格波动进行分析,以期理清对当前我国房地产市场状态、房地产价格水平的认识；然后就我国商业银行对房地产业的风险暴露程度和对房价波动的敏感性进行分析,以期对我国商业银行抵御房地产价格波动风险的能力做出判断；最后就如何对房地产业进行调控,防止房地产泡沫,完善房地产金融体系,防范金融风险提出建议。
具体来讲,本文试图回答以下几方面的问题：
(一)房地产价格泡沫是如何形成的,为什么会出现房地产泡沫?在第一章对本文研究意义、目的、内容、思路、国内外相关研究现状进行介绍后,本文第二章从虚拟资本理论和预期理论入手,引入相关模型阐释房地产价格泡沫的形成机理。随着人们经济活动的日益广泛以及现代信用的发展,房地产作为一种商品,越来越多的表现出虚拟资产的特性。随着房地产作为投资品功能的加强,房地产价格与其成本、自身属性等因素的关系逐渐脱离,而受纯市场因素的影响程度越来越大,即越容易出现大涨大跌的异常波动,引发房地产泡沫的膨胀和破裂。在理论分析之后,进一步通过投资者利益最大化模型,对银行信贷如何导致房地产泡沫进行分析,阐释了金融系统与房地产泡沫的密切联系,为后文房地产价格波动导致金融风险的实证分析提供理论基础。
(二)金融风险和金融危机是如何形成的,房地产价格波动是如何导致金融系统风险累积进而爆发金融危机的?本文第三章通过对一定资本金约束条件下的银行利益最大化行为的模型分析,阐释是什么因素促使银行将大量的信贷资金投向房地产业。房地产贷款的预期高收益率、银行对贷款违约率的乐观预期是吸引银行向房地产部门发放大量贷款的主要因素。接着进一步从行为金融学的角度分析了哪些因素导致了银行对房地产业的乐观预期和房地产信贷扩张,从而使风险不断累积。同时,第三章通过对房地产泡沫与金融危机的典型案例进行梳理,通过实例展示了房地产价格与金融风险之间相互促进的作用机制和金融风险乃至金融危机的形成机理和过程。
(三)当前我国房地产价格水平处于什么样的状态,是否已经出现严重泡沫?房价增长过快,房价过高,目前几乎已经成为普通民众的共识,但学术界和实业界对我国是否存在泡沫尚存在争议。由于采用的评价指标、标准、方法各不相同,导致了不同的论断,影响了对目前房地产业发展状况的科学认识。本文第四章在对我国房地产总体价格水平与经济基本面和居民支付能力进行比对分析的基础上,进一步建立房地产价格模型,采用实证方法对我国总体和典型城市的房价泡沫进行检验测度,以期对我国当前房地产市场状态做出客观理性的判断。分析结果认为我国房地产市场总体上处于稳定状态,房地产价格并没有严重脱离经济发展基础。对全国和北京、上海、重庆房地产价格的泡沫检验结果表明,依据房价变化进行的投机对房价有显著正向推动作用,而基于从众行为的从众投机在单个城市并不显著。价格投机对房价的影响更为显著,这提示房地产市场调控应着力改变人们对价格变化的预期,减少房地产投机。
(四)我国金融系统(本文主要针对银行系统)对房地产业的风险暴露有多大,抵御房地产价格波动风险的能力如何?目前对房地产价格上涨过快,房价过高可能导致的金融风险已经引起了越来广泛的关注,但社会各界更关注的是面对目前过高的房地产价格未来可能的下行波动,我国银行系统是否安全。本文第五章在对我国房地产业与金融业进行产业关联分析的基础上,对我国银行系统的房地产信贷风险暴露进行分析,结果表明从房地产业资金来源中的银行贷款占比和商业银行房地产贷款占贷款总额的比例两项指数来看,我国银行系统的风险暴露度已经处于一个值得警惕的水平。同时进一步通过建立SUR模型,对国内四类银行进行房地产价格波动的压力测试,应用蒙特卡洛模拟方法模拟四类银行在压力情景下的贷款损失情况。测试结果表明,房价下跌冲击对我国商业银行有显著负面影响,四类主要银行的贷款损失率在冲击下显著增加,尤其是近年来发展较快的城市商业银行。
(五)针对我国目前的房地产价格和房地产金融体制现状,如何进行调控以促进房价合理回归和防范金融风险?本文第六章在借鉴国外房地产调控成功经验的基础上,就加强房地产宏观调控,防范金融风险提出了思路和建议。建议中提出加快保障性住房建设是稳定房地产价格,纠正我国房地产市场失衡的首要措施。在完善保障性住房体系方面,尤其要注意尽快进行保障性住房相关立法,加大对保障性住房建设任务的约束力度,同时在增加土地供应、多渠道筹集建设资金以及创新保障房供应模式等方面加强引导和调控。另外,在保障房供给短期内还远不能满足需求,相当一部分需求仍需要在商品性住房市场解决的背景下,也必须加强对商品性住房市场的调控,规范各关联主体的市场行为,深化土地管理和房地产税收方面的改革,多管齐下促进房地产业健康理性发展；并通过拓宽房地产业融资渠道、完善银行自身风险管理来加强金融系统的风险防范和控制。
本文可能的创新之处有：
(一)本文基于房地产价格泡沫检验方法中“指标法”的主观性、“统计检验法”的不稳定性,采用“基础价值法”,建立房地产价格模型,将房地产价格波动区分为经济基本面推动部分和投机泡沫推动部分,定量地对我国房地产价格进行泡沫检验和测度,并分别对由价格引致的泡沫和由“从众行为”引致的泡沫进行分析。同时考虑到我国房价水平地区差异比较明显的现实,对我国整体和典型城市的房价泡沫分别进行检验,既关注全国整体房价水平又关注近年来房地产市场特别活跃的重点城市,点面结合,分析了不同城市房价的影响因素,以期对我国当前房地产价格水平做出客观理性的判断,为完善房地产业宏观调控,促进房地产业可持续发展提供参考。
(二)本文基于不同银行在资产规模、经营能力、管理模式等方面的差异以及银行之间风险的相互传染性,构建SUR模型,对我国四大类商业银行分别进行压力测试研究,使对我国主要商业银行风险抵御能力的分析更全面、更合理。采用蒙特卡洛模拟方法模拟出四类银行在压力情景下的贷款损失情况,定量分析四类银行在抵御房地产价格波动风险方面不同的稳健性,结果更直观、更可靠,为提高金融监管针对性提供一定参考。
The real estate industry is one of important pillar industries in our national economy. Since1998, with the housing commercialization reform, the real industry has gained rapid development, making considerable contribution to the whole economic growth. Meanwhile, the real estate price has increased quickly, with the price in some cities and areas soaring to an unacceptable level. The high price level and rapid growth rate have raised up more and more concerns and debates on the risk of "real estate bubble".
An accompanying topic under hot discussion is the financial risks caused by real estate bubble. It is known to all that the real estate industry and financial system have close relationship. On one hand, the real estate industry is a fund intensity industry, with large fund demand. The distinctive characteristics of our real estate funding system is that real estate industry is over dependent on bank loans, with the proportion of funding from other channels very small. According to the research of the Central Bank of China,55%of the real estate developing capital,80%of land purchasing capital is from bank loans. On the other hand, in the period of real estate prosperity, the high rate of return on real estate investment would attract huge funds from different sources, with banks providing a great deal of loans to that area too. However, the excessive loan concentration in real estate industry goes against to the principle of risk diversification and would leave banking institutions being exposed high risks. In recent years, the ratios of real estate loans to the total loans in domestic main commercial banks have reached a warning level, with25-30%on the average. Almost all cases of real estate bubble and financial crisis in the history have direct relations with the loan expanding of bank system, for example, the real estate bubble and the saving&credit industry crisis in the Unite States, the real estate bubble of economic crisis in1980s in Japan, the Asian financial crisis in1998, and so on.
It is undoubted that a stable finance system is of utmost importance for any country. The fact that the real estate industry is over dependent on bank system for funds and the bank system exposes itself excessively in real estate industry indicates that the inter-acting relations between the two industries is especially close, which imply that the financial system in our country is more sensitive to the fluctuations in real estate area and would suffer more once there be unfavorable variation in real estate industry, such as the decline of real estate price. Therefore, it is of great practical significance to analyze the influences on financial system caused by real estate price fluctuation for regulating the real estate industry, stabilizing the price, avoiding adverse impact caused by abnormal real estate price fluctuation and prevent financial risks.
Specifically, the main contents of this paper include the following aspects:
(1) How does the real estate bubble form and why it would appear? In Chapter2of this paper, starting with the theory of fictitious capital and expectation, we introduce an econometric model to explain the forming mechanism of real estate bubble. As the real estate is more and more considered as investment commodities, its price is growingly less related with its cost or natural property but more and more related with pure market factors, resulting in more abnormal fluctuations, even bubbles. With the help of the econometric model, we analyze the mechanism of how bank loans facilitate the form of real estate bubbles, revealing the close relationship between real estate industry and financial system from a theoretic perspective and providing a theoretic basis for empirical analysis in the following parts of this paper.
(2) How do financial risks or financial crisis form and how does the real estate price fluctuation causes the accumulation of financial risks and even crisis? In Chapter3, we introduce an econometric model of bank's return-maximization to interpret what kinds of factors impel the expansion of bank loans to real estate industry. The result of the analysis indicates the high rate of return on real estate investment and the optimistic assessment on default are the main facilitating elements. Furthermore, we spread the analysis to demonstrate the process and mechanism of how real estate bubble could result in financial crisis through picturing the representative cases of bubble and crisis in Japan and United States.
(3) How to judge the level of the present real estate price in china and is there any severe price bubble? The high price level and too rapid growth rate have become common view of the public, but there are still controversies on this problem in academic and business circles. In Chapter4, we provide a general analysis on the level of real estate price by comparing the price level with the economic base and residents' affordability for housing. After that, with a purpose of giving an objective and reasonable judge on the present real estate price, we spread the analysis to building a real estate price model to test whether there is any bubble in china and three typical cities, Beijing, Shanghai and Chongqing, and measure the degree if there be. The result finds that the price level in China is in a relatively stable state in general, with no serious bubble tested in our model. But the price level in Beijing and Chongqing deserve our special attention.
(4)To what extent the bank system is exposed in the risk of real estate price fluctuations and how is banks' capability for resisting risk from real estate? There have been considerable concerns about whether the banking system is safe if the real estate price would decline sharply. In Chapter5, we first analyze the bank system's risk exposure degree through two indices:the proportion of real estate loans in the total loans issued by bank system and the proportion of fund from commercial banks in the total funds used by the real estate industry, which indicates that the exposure degree has reached an alerting level. Then we build a SUR model to perform stress testing on the main commercial banks of4categories. The result of stress testing indicates that the decline of real estate price would exert adverse impact on all commercial banks of4categories, with the City Commercial Banks most vulnerable to the real estate price decline.
(5)How to regulate the development and operation of the real estate industry and finance industry to ovoid price bubble and prevent financial risks? In Chapter6, on the basis of drawing on the experience of real estate regulation from the developed countries:the United States, Germany and Singapore, we provide some ideas and suggestions for enhancing the regulation on real estate market and preventing financial risks. We suggest that the government should improve the measures in leading the construction of social housing system for residents with medium and low income, and strengthen the regulation on commercial housing market.
The main innovations of this paper lie in:
(1) The paper adopts "basic value method", not the method of indices and statistic testing which are subjective or unstable in results, to build real estate price model to test the bubble and measure the degree of bubble. In the analysis, on the basis of discriminating the part driven by economic factors and the part driven by real estate speculation, the paper tests the bubble in the whole country in general and three typical cities quantitatively. The analysis specializes itself at that it focuses not only on the general price level in the country but also pay attention to the cities having an active real estate markets, not only analyzing the bubble impelled by the price growth, but give analysis on the bubble promoted by people's conformity behavior.
(2)The paper build a SUR model to conduct stress testing on commercial banks, which has the advantage of covering both the difference among different banks, such as differences in size, management capability, operation efficiency, and the close relations among them, making the analysis more complete and reasonable. More important, the paper use Monte Carlo Simulation Method to exam how vulnerable the commercial banks are if the real estate price decline considerably and recognize the most vulnerable banks, which contribute to the reliability and precision of the analysis results.
与房地产价格过快上涨共同被关注的另一议题是房地产价格泡沫可能导致的金融风险。房地产业与金融业之间存在着密切的联系。一方面,房地产业资金需求量大,供需双方都需要金融业的支持,目前我国房地产金融体系的突出特点是：房地产业资金来源渠道非常单一,过度地依赖银行信贷,其他资金来源占比甚小。据中国人民银行的研究估计,房地产业的开发资金中55%以上,土地购置资金中有80%来自于银行信贷。另一方面,在房地产业发展的繁荣时期,房地产投资回报率高,各路资金都纷纷大量流向房地产业。掌握着大量社会闲置资金的银行机构,也热衷于向房地产业发放大量信贷。但是对房地产业的信贷过度集中,不利于风险分散,从而使银行系统暴露于房地产市场波动风险中。近几年,国内主要商业银行的房地产开发贷款和个人住房贷款额占贷款总额的比例,平均约25%左右,有的达到30%以上,占银行总资产的比例在12%左右,而且成逐年上升趋势。日本20世纪80年代后期房地产泡沫高峰时期,银行房地产抵押贷款余额占贷款总额的比例在1988年底也只有22%,1992年为35.5%。可见,我国银行机构目前的房地产信贷风险暴露程度值得引起警惕。国际国内历次房地产泡沫导致的危机几乎都与银行信贷大量投向房地产业有关。如美国20世纪80年代的房地产泡沫与储蓄贷款业危机、日本80年代末的泡沫经济崩溃和1997年东南亚金融危机,我国海南房地产泡沫与银行危机等等。
金融系统的稳定对一国经济社会的重要作用毋容置疑。我国房地产业融资过度依赖银行体系,而银行体系又将信贷过度集中于房地产业的现实表明,房地产业与金融业之间的联系和相互渗入程度在我国表现得尤为突出,我国金融系统也就更容易受房地产市场运行状况的影响,受影响程度也将更大。因此,探讨最能反映房地产业市场运行状况的房地产价格波动对银行体系的影响,对有效调控房地产价格波动,促进房价合理回归,减小价格异常波动对银行体系的影响,进而防范银行风险,具有重要的现实意义。
在此背景下,本文通过对近年来我国房地产价格波动进行分析,以期理清对当前我国房地产市场状态、房地产价格水平的认识；然后就我国商业银行对房地产业的风险暴露程度和对房价波动的敏感性进行分析,以期对我国商业银行抵御房地产价格波动风险的能力做出判断；最后就如何对房地产业进行调控,防止房地产泡沫,完善房地产金融体系,防范金融风险提出建议。
具体来讲,本文试图回答以下几方面的问题：
(一)房地产价格泡沫是如何形成的,为什么会出现房地产泡沫?在第一章对本文研究意义、目的、内容、思路、国内外相关研究现状进行介绍后,本文第二章从虚拟资本理论和预期理论入手,引入相关模型阐释房地产价格泡沫的形成机理。随着人们经济活动的日益广泛以及现代信用的发展,房地产作为一种商品,越来越多的表现出虚拟资产的特性。随着房地产作为投资品功能的加强,房地产价格与其成本、自身属性等因素的关系逐渐脱离,而受纯市场因素的影响程度越来越大,即越容易出现大涨大跌的异常波动,引发房地产泡沫的膨胀和破裂。在理论分析之后,进一步通过投资者利益最大化模型,对银行信贷如何导致房地产泡沫进行分析,阐释了金融系统与房地产泡沫的密切联系,为后文房地产价格波动导致金融风险的实证分析提供理论基础。
(二)金融风险和金融危机是如何形成的,房地产价格波动是如何导致金融系统风险累积进而爆发金融危机的?本文第三章通过对一定资本金约束条件下的银行利益最大化行为的模型分析,阐释是什么因素促使银行将大量的信贷资金投向房地产业。房地产贷款的预期高收益率、银行对贷款违约率的乐观预期是吸引银行向房地产部门发放大量贷款的主要因素。接着进一步从行为金融学的角度分析了哪些因素导致了银行对房地产业的乐观预期和房地产信贷扩张,从而使风险不断累积。同时,第三章通过对房地产泡沫与金融危机的典型案例进行梳理,通过实例展示了房地产价格与金融风险之间相互促进的作用机制和金融风险乃至金融危机的形成机理和过程。
(三)当前我国房地产价格水平处于什么样的状态,是否已经出现严重泡沫?房价增长过快,房价过高,目前几乎已经成为普通民众的共识,但学术界和实业界对我国是否存在泡沫尚存在争议。由于采用的评价指标、标准、方法各不相同,导致了不同的论断,影响了对目前房地产业发展状况的科学认识。本文第四章在对我国房地产总体价格水平与经济基本面和居民支付能力进行比对分析的基础上,进一步建立房地产价格模型,采用实证方法对我国总体和典型城市的房价泡沫进行检验测度,以期对我国当前房地产市场状态做出客观理性的判断。分析结果认为我国房地产市场总体上处于稳定状态,房地产价格并没有严重脱离经济发展基础。对全国和北京、上海、重庆房地产价格的泡沫检验结果表明,依据房价变化进行的投机对房价有显著正向推动作用,而基于从众行为的从众投机在单个城市并不显著。价格投机对房价的影响更为显著,这提示房地产市场调控应着力改变人们对价格变化的预期,减少房地产投机。
(四)我国金融系统(本文主要针对银行系统)对房地产业的风险暴露有多大,抵御房地产价格波动风险的能力如何?目前对房地产价格上涨过快,房价过高可能导致的金融风险已经引起了越来广泛的关注,但社会各界更关注的是面对目前过高的房地产价格未来可能的下行波动,我国银行系统是否安全。本文第五章在对我国房地产业与金融业进行产业关联分析的基础上,对我国银行系统的房地产信贷风险暴露进行分析,结果表明从房地产业资金来源中的银行贷款占比和商业银行房地产贷款占贷款总额的比例两项指数来看,我国银行系统的风险暴露度已经处于一个值得警惕的水平。同时进一步通过建立SUR模型,对国内四类银行进行房地产价格波动的压力测试,应用蒙特卡洛模拟方法模拟四类银行在压力情景下的贷款损失情况。测试结果表明,房价下跌冲击对我国商业银行有显著负面影响,四类主要银行的贷款损失率在冲击下显著增加,尤其是近年来发展较快的城市商业银行。
(五)针对我国目前的房地产价格和房地产金融体制现状,如何进行调控以促进房价合理回归和防范金融风险?本文第六章在借鉴国外房地产调控成功经验的基础上,就加强房地产宏观调控,防范金融风险提出了思路和建议。建议中提出加快保障性住房建设是稳定房地产价格,纠正我国房地产市场失衡的首要措施。在完善保障性住房体系方面,尤其要注意尽快进行保障性住房相关立法,加大对保障性住房建设任务的约束力度,同时在增加土地供应、多渠道筹集建设资金以及创新保障房供应模式等方面加强引导和调控。另外,在保障房供给短期内还远不能满足需求,相当一部分需求仍需要在商品性住房市场解决的背景下,也必须加强对商品性住房市场的调控,规范各关联主体的市场行为,深化土地管理和房地产税收方面的改革,多管齐下促进房地产业健康理性发展；并通过拓宽房地产业融资渠道、完善银行自身风险管理来加强金融系统的风险防范和控制。
本文可能的创新之处有：
(一)本文基于房地产价格泡沫检验方法中“指标法”的主观性、“统计检验法”的不稳定性,采用“基础价值法”,建立房地产价格模型,将房地产价格波动区分为经济基本面推动部分和投机泡沫推动部分,定量地对我国房地产价格进行泡沫检验和测度,并分别对由价格引致的泡沫和由“从众行为”引致的泡沫进行分析。同时考虑到我国房价水平地区差异比较明显的现实,对我国整体和典型城市的房价泡沫分别进行检验,既关注全国整体房价水平又关注近年来房地产市场特别活跃的重点城市,点面结合,分析了不同城市房价的影响因素,以期对我国当前房地产价格水平做出客观理性的判断,为完善房地产业宏观调控,促进房地产业可持续发展提供参考。
(二)本文基于不同银行在资产规模、经营能力、管理模式等方面的差异以及银行之间风险的相互传染性,构建SUR模型,对我国四大类商业银行分别进行压力测试研究,使对我国主要商业银行风险抵御能力的分析更全面、更合理。采用蒙特卡洛模拟方法模拟出四类银行在压力情景下的贷款损失情况,定量分析四类银行在抵御房地产价格波动风险方面不同的稳健性,结果更直观、更可靠,为提高金融监管针对性提供一定参考。
The real estate industry is one of important pillar industries in our national economy. Since1998, with the housing commercialization reform, the real industry has gained rapid development, making considerable contribution to the whole economic growth. Meanwhile, the real estate price has increased quickly, with the price in some cities and areas soaring to an unacceptable level. The high price level and rapid growth rate have raised up more and more concerns and debates on the risk of "real estate bubble".
An accompanying topic under hot discussion is the financial risks caused by real estate bubble. It is known to all that the real estate industry and financial system have close relationship. On one hand, the real estate industry is a fund intensity industry, with large fund demand. The distinctive characteristics of our real estate funding system is that real estate industry is over dependent on bank loans, with the proportion of funding from other channels very small. According to the research of the Central Bank of China,55%of the real estate developing capital,80%of land purchasing capital is from bank loans. On the other hand, in the period of real estate prosperity, the high rate of return on real estate investment would attract huge funds from different sources, with banks providing a great deal of loans to that area too. However, the excessive loan concentration in real estate industry goes against to the principle of risk diversification and would leave banking institutions being exposed high risks. In recent years, the ratios of real estate loans to the total loans in domestic main commercial banks have reached a warning level, with25-30%on the average. Almost all cases of real estate bubble and financial crisis in the history have direct relations with the loan expanding of bank system, for example, the real estate bubble and the saving&credit industry crisis in the Unite States, the real estate bubble of economic crisis in1980s in Japan, the Asian financial crisis in1998, and so on.
It is undoubted that a stable finance system is of utmost importance for any country. The fact that the real estate industry is over dependent on bank system for funds and the bank system exposes itself excessively in real estate industry indicates that the inter-acting relations between the two industries is especially close, which imply that the financial system in our country is more sensitive to the fluctuations in real estate area and would suffer more once there be unfavorable variation in real estate industry, such as the decline of real estate price. Therefore, it is of great practical significance to analyze the influences on financial system caused by real estate price fluctuation for regulating the real estate industry, stabilizing the price, avoiding adverse impact caused by abnormal real estate price fluctuation and prevent financial risks.
Specifically, the main contents of this paper include the following aspects:
(1) How does the real estate bubble form and why it would appear? In Chapter2of this paper, starting with the theory of fictitious capital and expectation, we introduce an econometric model to explain the forming mechanism of real estate bubble. As the real estate is more and more considered as investment commodities, its price is growingly less related with its cost or natural property but more and more related with pure market factors, resulting in more abnormal fluctuations, even bubbles. With the help of the econometric model, we analyze the mechanism of how bank loans facilitate the form of real estate bubbles, revealing the close relationship between real estate industry and financial system from a theoretic perspective and providing a theoretic basis for empirical analysis in the following parts of this paper.
(2) How do financial risks or financial crisis form and how does the real estate price fluctuation causes the accumulation of financial risks and even crisis? In Chapter3, we introduce an econometric model of bank's return-maximization to interpret what kinds of factors impel the expansion of bank loans to real estate industry. The result of the analysis indicates the high rate of return on real estate investment and the optimistic assessment on default are the main facilitating elements. Furthermore, we spread the analysis to demonstrate the process and mechanism of how real estate bubble could result in financial crisis through picturing the representative cases of bubble and crisis in Japan and United States.
(3) How to judge the level of the present real estate price in china and is there any severe price bubble? The high price level and too rapid growth rate have become common view of the public, but there are still controversies on this problem in academic and business circles. In Chapter4, we provide a general analysis on the level of real estate price by comparing the price level with the economic base and residents' affordability for housing. After that, with a purpose of giving an objective and reasonable judge on the present real estate price, we spread the analysis to building a real estate price model to test whether there is any bubble in china and three typical cities, Beijing, Shanghai and Chongqing, and measure the degree if there be. The result finds that the price level in China is in a relatively stable state in general, with no serious bubble tested in our model. But the price level in Beijing and Chongqing deserve our special attention.
(4)To what extent the bank system is exposed in the risk of real estate price fluctuations and how is banks' capability for resisting risk from real estate? There have been considerable concerns about whether the banking system is safe if the real estate price would decline sharply. In Chapter5, we first analyze the bank system's risk exposure degree through two indices:the proportion of real estate loans in the total loans issued by bank system and the proportion of fund from commercial banks in the total funds used by the real estate industry, which indicates that the exposure degree has reached an alerting level. Then we build a SUR model to perform stress testing on the main commercial banks of4categories. The result of stress testing indicates that the decline of real estate price would exert adverse impact on all commercial banks of4categories, with the City Commercial Banks most vulnerable to the real estate price decline.
(5)How to regulate the development and operation of the real estate industry and finance industry to ovoid price bubble and prevent financial risks? In Chapter6, on the basis of drawing on the experience of real estate regulation from the developed countries:the United States, Germany and Singapore, we provide some ideas and suggestions for enhancing the regulation on real estate market and preventing financial risks. We suggest that the government should improve the measures in leading the construction of social housing system for residents with medium and low income, and strengthen the regulation on commercial housing market.
The main innovations of this paper lie in:
(1) The paper adopts "basic value method", not the method of indices and statistic testing which are subjective or unstable in results, to build real estate price model to test the bubble and measure the degree of bubble. In the analysis, on the basis of discriminating the part driven by economic factors and the part driven by real estate speculation, the paper tests the bubble in the whole country in general and three typical cities quantitatively. The analysis specializes itself at that it focuses not only on the general price level in the country but also pay attention to the cities having an active real estate markets, not only analyzing the bubble impelled by the price growth, but give analysis on the bubble promoted by people's conformity behavior.
(2)The paper build a SUR model to conduct stress testing on commercial banks, which has the advantage of covering both the difference among different banks, such as differences in size, management capability, operation efficiency, and the close relations among them, making the analysis more complete and reasonable. More important, the paper use Monte Carlo Simulation Method to exam how vulnerable the commercial banks are if the real estate price decline considerably and recognize the most vulnerable banks, which contribute to the reliability and precision of the analysis results.
引文
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