中国房地产价格上涨的广义财富效应研究
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摘要
我国房地产市场自1998年市场化改革以来,进入了突飞猛进的高速发展通道,房地产价格持续上涨成为社会各界广泛关注的热点和焦点问题。然而,房地产价格上涨引起房地产财富存量的迅速增加,是如何影响消费和投资,进而影响宏观经济,其作用机制并没有被系统梳理,其影响程度和大小并没有一致的、公认的结论。
本文以我国房地产价格上涨的广义财富效应为研究主题。为了使研究更深入、系统,首先对房地产财富效应概念进行了丰富和深化,拓展到更广义的层面。以宏观经济学、货币银行学、金融经济学理论为基础,结合行为科学、心理学的相关理论,通过理论建模、计量分析、统计分析、以及对比分析等方法,试图探讨解决以下问题:我国房地产市场化改革近十年来,伴随着房地产价格的高速增长,房地产财富存量的增加,在微观层面上对居民消费和企业投资产生了何种影响?进而对宏观层面的金融稳定和物价稳定产生了怎样的冲击?房地产财富差距是否拉大了居民收入差距?我国政策当局应该如何有效利用和解读房地产价格信息等。
本文的主要工作和研究结论如下:
作为研究起点和后继章节的基础,首先对我国现阶段房地产价格上涨的“非理性繁荣”特性进行实证检验和判断。利用非平稳面板计量方法,基于房地产的投资特性,对房价与租金关系进行分析,结果表明我国房价已脱离租金所确定的基本面,房地产价格上涨呈现出非理性的繁荣。
在对房地产价格上涨的狭义财富效应,即房地产价格上涨对居民消费影响的作用渠道分析的基础上,利用宏观城市面板数据和大型微观家庭调查数据对我国房地产价格上涨与居民消费之间的关系进行研究。结果表明,我国近些年房价持续上涨对居民消费产生了一定的“挤出”效果和“抑制”作用;而且,这种“抑制”作用的发挥在不同地区和不同类型的家庭存在着差异,并且与西方发达国家相比也有所不同。
在对房地产价格上涨的广义财富效应,即房地产价格上涨引起房地产财富增加进而对居民消费(包含房地产消费)和企业投资产生影响的作用渠道分析的基础上。利用国内某城市近十年来家庭购房贷款的抽样数据,对房地产消费的广义财富效应进行分析,结果表明当房价越高时,居民所购住房中每平米所担负的抵押贷款越大,家庭月收入中每元收入所能带动的购房总房价也越高,表明居民住房消费的广义财富效应在我国是存在的。利用全国宏观数据对房地产价格与投资之间的关系进行研究,结果表明,我国房地产价格上涨对房地产投资、房地产消费、固定资产投资和经济增长都产生了显著的拉动效应。
引入“位置消费”理论对住房消费特性分析的基础上,对房地产价格上涨、居民住房财富增长的广义财富效应在住房财富差距分化及其社会影响进行研究。利用微观家庭面板调查数据,借鉴“基尼系数”和“收入流动性”的测度原理,首创性对我国城镇居民住房资源和住房财富占有的“静态”差距,以及住房财富差距随着时间推移的流动性进行“动态”测度和分析。“静态”差距分析表明,伴随着房价上涨,住房财富快速向高收入人群积聚,住房财富分化程度越来越高,加剧了收入的不平等;“动态”流动性分析表明,虽然城镇居民房地产财富的“水平流动性”增长了,“位置流动性”却明显降低,特别是反映福利水平的King指标明显下降,可见,房改后房价上涨给特定人群带来的社会福利改进是降低的。
房地产价格上涨与信贷扩张相互强化,导致金融不稳定,是房地产广义财富效应的另一宏观层面的影响。为揭示房地产价格与信贷关系,采用一般均衡模型和存量流量模型进行理论分析,并借鉴金融资产时间序列的动态相关分析DCC-MGARCH模型实证检验。结果显示,给房价增长率一个单位的正向冲击,将导致信贷和房地产投资之间的动态相关性增强,表明我国房地产价格上涨的金融加速器效应是存在的。另一方面,我国房地产信贷风险暴露值被严重低估,与国际标准以及亚洲危机爆发前一些国家信贷风险暴露值相比,情况不容乐观,应该引起相关政策当局的注意。
房地产价格波动通过影响总需求和总供给,进而对物价稳定和产出波动产生影响,这是房地产广义财富效应的又一宏观层面的影响。从实物和金融资产两个视角,对房价波动对未来通货膨胀的影响渠道和作用机制进行分析,利用VAR模型的状态空间表示与卡尔曼滤波对通货膨胀预期进行估计,H-P滤波法对潜在GDP进行估算,最后采用SUR法对扩展的混合IS-PC模型系数进行估计。结果表明,我国房价波动通过作用于产出缺口对通货膨胀的影响显著存在,相比较地,我国股票价格对产出的影响并不显著。结合当前全球货币当局和理论界热议的“货币政策是否应对以及如何应对资产价格波动?”的讨论,通过构建适合我国情况的金融状况指数(FCI),发现房价占有较大的权重,包含房地产价格的FCI指数对我国通货膨胀的具有良好的预测力,可以成为货币政策的短期指示器。
本文的创新点主要体现在以下五个方面:
(1)对房地产财富效应概念进行丰富和深化(研究视角创新)。房地产财富效应概念拓展到更广义的层面,把研究层次由微观层次拓展到宏观层面,不仅拓展了研究视野,而且也使得房地产财富效应的研究更加深化和系统化。
(2)利用非平稳面板计量方法研究我国房地产广义财富效应(研究方法创新)。采用最新发展的非平稳面板计量方法,包括面板单位根、面板协整、面板DOLS、面板因果关系检验等,对我国房地产价格的非理性繁荣、房地产财富效应存在性以及房地产价格与通货膨胀关系进行了实证检验。克服了以往同类研究中小样本带来的低效果以及忽略了各城市间差异的问题,提高了结果的可靠性。
(3)采用CHNS大型家庭微观调查数据分析房地产财富与消费的关系(研究内容创新)。微观家庭调查数据的使用,解决了现阶段利用宏观数据研究我国房地产财富效应所存在的样本量不足的局限性,而且在揭示家庭房地产财富效应的微观机制方面,有着宏观加总数据不可比拟的优势。
(4)从“静态”和“动态”角度分析我国房地产财富差距的分化(研究对象创新)。与以往房地产财富差距的描述性分析不同,利用微观家庭面板调查数据,借鉴“基尼系数”和“收入流动性”测度原理,首创性地对我国城镇居民住房财富占有的“静态”差距,以及住房财富差距随着时间推移的流动性进行“动态”测度和分析。
(5)采用动态相关性DCC-MGARCH模型分析我国房地产价格上涨的金融加速器效应(研究方法创新)。在采用一般均衡模型和存量流量模型对房地产价格上涨、信贷扩张和金融不稳定进行理论分析的基础上,借鉴金融资产时间序列的动态相关分析DCC-MGARCH模型,对我国房地产广义财富效应和金融加速器效应的进行检验。
Since market-oriented reform in1998, China's real estate market has entered a high-speed development access. With the real estate price continued to rising, domestic scholars and policy authorities have paid close attention to the problem. However, the rapid increasing of real estate wealth caused by real estate price rising is how to affect consumption and investment, thereby how to affect macroeconomic. Its mechanism has not been systematically combing, and the extent of its effect has not consistent conclusion.
The research topic of this dissertation is generalized wealth effects of real estate price rising in China. Firstly, this dissertation deepens and riches the conception of real estate wealth effect. Based on the theory of macroeconomics, money and banking and financial economics, combined with the relevant theory of behavioral sciences and psychology, using the methods of theoretical modeling, econometric analysis, statistical analysis and comparative analysis etc, this dissertation tries to answer these questions: accompanied by the rapid growth of real estate price over the past decade after China’s real estate market-oriented reforms, real estate wealth has been increasing rapidly, what influence have been made to consumption and investment at the micro level, what influence have been made to financial stability and price stability in the macro level? If has the real estate wealth gap widening the income gap? How should the authorities concern about real estate and effectively use and interpret the information of real estate price.
The main works and conclusions of this dissertation are as follows:
As a research starting and basis for subsequent chapters, this dissertation firstly empirical analyze the "irrational exuberance" of China's real estate prices rising. Based on the investment properties of real estate, using the methods of non-stationary panel econometric, this dissertation tests the relationship between housing price and rent. The result shows that China’s housing price has gone beyond the fundamentals determined by the rent, the real estate price has shown irrational exuberance.
Based on theoretical analysis on the mechanisms and channels of wealth effect in real estate market to consumptions, this dissertation analyzes the influence of real estate price rising to consumptions with the macro-data and micro-data. The empirical result shows that the housing wealth has significantly promoted residents’consumption in china in past ten yeas. But the housing wealth effect has diminished with the growth of housing wealth. And China's real estate wealth effect plays differently in different regions and different types of families, and is different with the developed countries.
Through the generalized wealth effects, the real estate price rising not only effects on the consumption, but also influences investment, and thus impacts on the macroeconomic. Using the micro-level sample data of house purchasing in certain city of China, this dissertation finds that the residents have beard a higher mortgage per square meter and every yuan of income have leaded a higher housing consume when housing price was higher. This shows that the generalized wealth effect of housing consumption is being. Using the national macro-level data, this dissertation finds that real estate price rising has improved the development of real estate investment and consumption, fixed investment, and has produced a significant promotion effect on economic growth.
Based on introducing the theory of“location of consumption”, the effect of housing wealth gap caused by real estate price rising is been studied. Referring to the theory of“Gini coefficient”and“income mobility”, using the panel survey data, this dissertation measures the housing wealth gap from the“static”and“dynamic”perspectives. The result shows that housing wealth accumulates rapidly to high-income groups and the income gap exacerbates along with housing prices rising. The“horizontal mobility”of real estate wealth is increasing as the real estate price rising, but the“positional mobility”is lower. The welfare of specific groups is reduced.
Real estate price and credit expansion are mutually reinforcing, and then leading to financial instability, which is another macro-level effect of generalized wealth effect of real estate. Using and expanding the general equilibrium model, this dissertation analyzes theoretically the relationship between real estate price, credit expansion and financial instability. Referring to the DCC-MGARCH model, the empirical result shows that the dynamic correlation between real estate investment and credit would increase as real estate price rising. This shows that the financial accelerator effect is being as real estate prices rising in China. Chinese policy authorities should pay more attention to the risk exposure of real estate credit because it is underestimated.
Real estate price would affect the aggregate demand and supply through the channel of consumption and investment, and then effect inflation and output, which is another macro-level effect of generalized wealth effect of real estate. This dissertation analyzes the mechanisms and channels from the perspectives of physical and financial assets. With the extended hybrid IS-PC model which coefficients estimated by the method of SUR, the result shows that the impact of real estate price fluctuation on inflation is significant exist. On the basis of combing the main viewpoints about how to respond to asset price volatility, by building China's financial conditions index (FCI), this dissertation discovers that real estate price accounts for a larger weight in FCI than stock price index, interest rate and exchange rate, and that the FCI index is a short-term indicator of monetary policy because it is a good predictive power of inflation.
The main innovation of this dissertation is reflected in the following five areas:
(1) The concept of real estate wealth effect is enriched and deepens. Which not only expand the research vision from the micro-level to the macro-level, but also deepen and systematize the real estate wealth effect study.
(2) Firstly using non-stationary panel method to study the generalized wealth effect of China’s real estate price rising. This dissertation empirical test the irrational exuberance of real estate, the wealth effect, the relationship between real estate price and influence using the latest non-stationary panel methods including panel unit root, panel cointegration and panel DOLS methods. These methods overcome the questions of low-effect from small samples and ignored the differences among different cities in past similar researches, improve the reliability of the study.
(3) This dissertation investigates the housing wealth effect by firstly using large-scale families survey micro data. Using the families’micro survey data does not only solve the questions of small sample existed in early relevant studies using the macro data, but also testes the families’individual differences in behavior.
(4) From the "static" and "dynamic" perspective to study the wealth gap(innovation from research object. Different from previous descriptive analysis, this dissertation measures the housing wealth gap from the“static”and“dynamic”perspectives, referring to the theory of“Gini coefficient”and“income mobility”, using the panel survey data.
(5) Using the DCC-MGARCH model to study the financial accelerator of China's real estate price rising (innovation from research methods). Using and expanding the general equilibrium model, this dissertation analyzes theoretically the relationship between real estate price, credit expansion and financial instability. Referring to the DCC-MGARCH model, this dissertation empirical test the effect of financial accelerator.
本文以我国房地产价格上涨的广义财富效应为研究主题。为了使研究更深入、系统,首先对房地产财富效应概念进行了丰富和深化,拓展到更广义的层面。以宏观经济学、货币银行学、金融经济学理论为基础,结合行为科学、心理学的相关理论,通过理论建模、计量分析、统计分析、以及对比分析等方法,试图探讨解决以下问题:我国房地产市场化改革近十年来,伴随着房地产价格的高速增长,房地产财富存量的增加,在微观层面上对居民消费和企业投资产生了何种影响?进而对宏观层面的金融稳定和物价稳定产生了怎样的冲击?房地产财富差距是否拉大了居民收入差距?我国政策当局应该如何有效利用和解读房地产价格信息等。
本文的主要工作和研究结论如下:
作为研究起点和后继章节的基础,首先对我国现阶段房地产价格上涨的“非理性繁荣”特性进行实证检验和判断。利用非平稳面板计量方法,基于房地产的投资特性,对房价与租金关系进行分析,结果表明我国房价已脱离租金所确定的基本面,房地产价格上涨呈现出非理性的繁荣。
在对房地产价格上涨的狭义财富效应,即房地产价格上涨对居民消费影响的作用渠道分析的基础上,利用宏观城市面板数据和大型微观家庭调查数据对我国房地产价格上涨与居民消费之间的关系进行研究。结果表明,我国近些年房价持续上涨对居民消费产生了一定的“挤出”效果和“抑制”作用;而且,这种“抑制”作用的发挥在不同地区和不同类型的家庭存在着差异,并且与西方发达国家相比也有所不同。
在对房地产价格上涨的广义财富效应,即房地产价格上涨引起房地产财富增加进而对居民消费(包含房地产消费)和企业投资产生影响的作用渠道分析的基础上。利用国内某城市近十年来家庭购房贷款的抽样数据,对房地产消费的广义财富效应进行分析,结果表明当房价越高时,居民所购住房中每平米所担负的抵押贷款越大,家庭月收入中每元收入所能带动的购房总房价也越高,表明居民住房消费的广义财富效应在我国是存在的。利用全国宏观数据对房地产价格与投资之间的关系进行研究,结果表明,我国房地产价格上涨对房地产投资、房地产消费、固定资产投资和经济增长都产生了显著的拉动效应。
引入“位置消费”理论对住房消费特性分析的基础上,对房地产价格上涨、居民住房财富增长的广义财富效应在住房财富差距分化及其社会影响进行研究。利用微观家庭面板调查数据,借鉴“基尼系数”和“收入流动性”的测度原理,首创性对我国城镇居民住房资源和住房财富占有的“静态”差距,以及住房财富差距随着时间推移的流动性进行“动态”测度和分析。“静态”差距分析表明,伴随着房价上涨,住房财富快速向高收入人群积聚,住房财富分化程度越来越高,加剧了收入的不平等;“动态”流动性分析表明,虽然城镇居民房地产财富的“水平流动性”增长了,“位置流动性”却明显降低,特别是反映福利水平的King指标明显下降,可见,房改后房价上涨给特定人群带来的社会福利改进是降低的。
房地产价格上涨与信贷扩张相互强化,导致金融不稳定,是房地产广义财富效应的另一宏观层面的影响。为揭示房地产价格与信贷关系,采用一般均衡模型和存量流量模型进行理论分析,并借鉴金融资产时间序列的动态相关分析DCC-MGARCH模型实证检验。结果显示,给房价增长率一个单位的正向冲击,将导致信贷和房地产投资之间的动态相关性增强,表明我国房地产价格上涨的金融加速器效应是存在的。另一方面,我国房地产信贷风险暴露值被严重低估,与国际标准以及亚洲危机爆发前一些国家信贷风险暴露值相比,情况不容乐观,应该引起相关政策当局的注意。
房地产价格波动通过影响总需求和总供给,进而对物价稳定和产出波动产生影响,这是房地产广义财富效应的又一宏观层面的影响。从实物和金融资产两个视角,对房价波动对未来通货膨胀的影响渠道和作用机制进行分析,利用VAR模型的状态空间表示与卡尔曼滤波对通货膨胀预期进行估计,H-P滤波法对潜在GDP进行估算,最后采用SUR法对扩展的混合IS-PC模型系数进行估计。结果表明,我国房价波动通过作用于产出缺口对通货膨胀的影响显著存在,相比较地,我国股票价格对产出的影响并不显著。结合当前全球货币当局和理论界热议的“货币政策是否应对以及如何应对资产价格波动?”的讨论,通过构建适合我国情况的金融状况指数(FCI),发现房价占有较大的权重,包含房地产价格的FCI指数对我国通货膨胀的具有良好的预测力,可以成为货币政策的短期指示器。
本文的创新点主要体现在以下五个方面:
(1)对房地产财富效应概念进行丰富和深化(研究视角创新)。房地产财富效应概念拓展到更广义的层面,把研究层次由微观层次拓展到宏观层面,不仅拓展了研究视野,而且也使得房地产财富效应的研究更加深化和系统化。
(2)利用非平稳面板计量方法研究我国房地产广义财富效应(研究方法创新)。采用最新发展的非平稳面板计量方法,包括面板单位根、面板协整、面板DOLS、面板因果关系检验等,对我国房地产价格的非理性繁荣、房地产财富效应存在性以及房地产价格与通货膨胀关系进行了实证检验。克服了以往同类研究中小样本带来的低效果以及忽略了各城市间差异的问题,提高了结果的可靠性。
(3)采用CHNS大型家庭微观调查数据分析房地产财富与消费的关系(研究内容创新)。微观家庭调查数据的使用,解决了现阶段利用宏观数据研究我国房地产财富效应所存在的样本量不足的局限性,而且在揭示家庭房地产财富效应的微观机制方面,有着宏观加总数据不可比拟的优势。
(4)从“静态”和“动态”角度分析我国房地产财富差距的分化(研究对象创新)。与以往房地产财富差距的描述性分析不同,利用微观家庭面板调查数据,借鉴“基尼系数”和“收入流动性”测度原理,首创性地对我国城镇居民住房财富占有的“静态”差距,以及住房财富差距随着时间推移的流动性进行“动态”测度和分析。
(5)采用动态相关性DCC-MGARCH模型分析我国房地产价格上涨的金融加速器效应(研究方法创新)。在采用一般均衡模型和存量流量模型对房地产价格上涨、信贷扩张和金融不稳定进行理论分析的基础上,借鉴金融资产时间序列的动态相关分析DCC-MGARCH模型,对我国房地产广义财富效应和金融加速器效应的进行检验。
Since market-oriented reform in1998, China's real estate market has entered a high-speed development access. With the real estate price continued to rising, domestic scholars and policy authorities have paid close attention to the problem. However, the rapid increasing of real estate wealth caused by real estate price rising is how to affect consumption and investment, thereby how to affect macroeconomic. Its mechanism has not been systematically combing, and the extent of its effect has not consistent conclusion.
The research topic of this dissertation is generalized wealth effects of real estate price rising in China. Firstly, this dissertation deepens and riches the conception of real estate wealth effect. Based on the theory of macroeconomics, money and banking and financial economics, combined with the relevant theory of behavioral sciences and psychology, using the methods of theoretical modeling, econometric analysis, statistical analysis and comparative analysis etc, this dissertation tries to answer these questions: accompanied by the rapid growth of real estate price over the past decade after China’s real estate market-oriented reforms, real estate wealth has been increasing rapidly, what influence have been made to consumption and investment at the micro level, what influence have been made to financial stability and price stability in the macro level? If has the real estate wealth gap widening the income gap? How should the authorities concern about real estate and effectively use and interpret the information of real estate price.
The main works and conclusions of this dissertation are as follows:
As a research starting and basis for subsequent chapters, this dissertation firstly empirical analyze the "irrational exuberance" of China's real estate prices rising. Based on the investment properties of real estate, using the methods of non-stationary panel econometric, this dissertation tests the relationship between housing price and rent. The result shows that China’s housing price has gone beyond the fundamentals determined by the rent, the real estate price has shown irrational exuberance.
Based on theoretical analysis on the mechanisms and channels of wealth effect in real estate market to consumptions, this dissertation analyzes the influence of real estate price rising to consumptions with the macro-data and micro-data. The empirical result shows that the housing wealth has significantly promoted residents’consumption in china in past ten yeas. But the housing wealth effect has diminished with the growth of housing wealth. And China's real estate wealth effect plays differently in different regions and different types of families, and is different with the developed countries.
Through the generalized wealth effects, the real estate price rising not only effects on the consumption, but also influences investment, and thus impacts on the macroeconomic. Using the micro-level sample data of house purchasing in certain city of China, this dissertation finds that the residents have beard a higher mortgage per square meter and every yuan of income have leaded a higher housing consume when housing price was higher. This shows that the generalized wealth effect of housing consumption is being. Using the national macro-level data, this dissertation finds that real estate price rising has improved the development of real estate investment and consumption, fixed investment, and has produced a significant promotion effect on economic growth.
Based on introducing the theory of“location of consumption”, the effect of housing wealth gap caused by real estate price rising is been studied. Referring to the theory of“Gini coefficient”and“income mobility”, using the panel survey data, this dissertation measures the housing wealth gap from the“static”and“dynamic”perspectives. The result shows that housing wealth accumulates rapidly to high-income groups and the income gap exacerbates along with housing prices rising. The“horizontal mobility”of real estate wealth is increasing as the real estate price rising, but the“positional mobility”is lower. The welfare of specific groups is reduced.
Real estate price and credit expansion are mutually reinforcing, and then leading to financial instability, which is another macro-level effect of generalized wealth effect of real estate. Using and expanding the general equilibrium model, this dissertation analyzes theoretically the relationship between real estate price, credit expansion and financial instability. Referring to the DCC-MGARCH model, the empirical result shows that the dynamic correlation between real estate investment and credit would increase as real estate price rising. This shows that the financial accelerator effect is being as real estate prices rising in China. Chinese policy authorities should pay more attention to the risk exposure of real estate credit because it is underestimated.
Real estate price would affect the aggregate demand and supply through the channel of consumption and investment, and then effect inflation and output, which is another macro-level effect of generalized wealth effect of real estate. This dissertation analyzes the mechanisms and channels from the perspectives of physical and financial assets. With the extended hybrid IS-PC model which coefficients estimated by the method of SUR, the result shows that the impact of real estate price fluctuation on inflation is significant exist. On the basis of combing the main viewpoints about how to respond to asset price volatility, by building China's financial conditions index (FCI), this dissertation discovers that real estate price accounts for a larger weight in FCI than stock price index, interest rate and exchange rate, and that the FCI index is a short-term indicator of monetary policy because it is a good predictive power of inflation.
The main innovation of this dissertation is reflected in the following five areas:
(1) The concept of real estate wealth effect is enriched and deepens. Which not only expand the research vision from the micro-level to the macro-level, but also deepen and systematize the real estate wealth effect study.
(2) Firstly using non-stationary panel method to study the generalized wealth effect of China’s real estate price rising. This dissertation empirical test the irrational exuberance of real estate, the wealth effect, the relationship between real estate price and influence using the latest non-stationary panel methods including panel unit root, panel cointegration and panel DOLS methods. These methods overcome the questions of low-effect from small samples and ignored the differences among different cities in past similar researches, improve the reliability of the study.
(3) This dissertation investigates the housing wealth effect by firstly using large-scale families survey micro data. Using the families’micro survey data does not only solve the questions of small sample existed in early relevant studies using the macro data, but also testes the families’individual differences in behavior.
(4) From the "static" and "dynamic" perspective to study the wealth gap(innovation from research object. Different from previous descriptive analysis, this dissertation measures the housing wealth gap from the“static”and“dynamic”perspectives, referring to the theory of“Gini coefficient”and“income mobility”, using the panel survey data.
(5) Using the DCC-MGARCH model to study the financial accelerator of China's real estate price rising (innovation from research methods). Using and expanding the general equilibrium model, this dissertation analyzes theoretically the relationship between real estate price, credit expansion and financial instability. Referring to the DCC-MGARCH model, this dissertation empirical test the effect of financial accelerator.
引文
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