房地产价格波动与银行信贷关系研究
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摘要
随着世界各国房地产市场的发展,房地产行业对经济的发展起着越来越重要的作用。房地产周期往往和经济周期同步,在经济繁荣时期往往伴随房地产行业的高速发展,房地产价格高涨,房地产开发量和成交量也大幅增加,房地产抵押贷款也会急速扩张；而在经济萧条时期房地产市场也会萎靡不振,房地产价格下跌,企业和个人破产加剧,房地产抵押贷款违约率攀升。房地产行业是典型的资本密集型行业,房地产的开发、销售都离不开银行信贷资金的支持,所以房地产市场的发展、房地产价格的波动和国家的宏观经济政策、银行信贷情况有着密切联系,尤其是房地产和银行信贷之间有着相互强化的作用Goodhard (2007)。房地产价格和银行信贷的互相强化作用会扩大宏观经济的波动,对国民经济造成深远影响。因此,深入研究房地产价格和银行信贷的互动影响机制,分析我国房地产价格和银行信贷关系具有重要的理论价值和实践意义。本轮文由引言、正文和结论在内七个部分组成。
第一章主要论述了本文选题的背景及意义,综述了房地产价格和银行信贷关系的理论文献及实证文献,并对本文的研究思路、研究方法、研究框架及本文创新点进行了分析和总结。
第二章主要研究了金融加速器机制下房地产价格和银行信贷之间存在的双向影响关系。二者的顺周期行为在金融加速器作用下放大经济的波动。房地产价格和银行信贷的互动作用体现在以下三个方面。第一,银行信贷的变化影响房地产价格发生变动,如果银行扩张信贷供给,如降低首付款或者降低利率,则借款者获得融资变得容易,而且如果利率降低则将借款者的融资成本也会降低,从而导致房地产需求增加,推动房地产价格上涨。第二,房地产价格变动影响银行信贷发生变化。房地产价格上涨不仅使借款者的资产增加,导致借款者的借贷能力增加,外部融资成本下降,房地产价格上涨也使银行资产质量得到改善,银行资产净值也会增加,导致银行的放贷意愿增加,因此,房地产价格将对银行信贷起正向作用。第三,房地产价格和银行信贷共同受宏观经济因素影响。如收入增加,利率降低、信贷约束放松都将导致房地产价格上涨和银行信贷扩张。因此,宏观经济因素作用于房地产价格和银行信贷,并通过房地产价格和银行信贷的互动作用,最终使银行信贷、房地产价格和宏观经济紧密联系。本文在金融加速器模型基础上引入首付款约束,指出消费者受到首付款约束条件下,购买房产需求受到其收入、当期非耐用商品消费、预期房地产价格、消费者前期债务、融资成本以及购房首付款要求等因素的影响。房地产价格受到收入、非耐用商品消费、预期房地产价格的影响正方向变化,而受到消费者债务、融资成本以及首付款要求的影响发生反方向变化。
第三章将Flood and Garber (1980)的资产价格泡沫理论引入金融加速器模型,分别研究了在封闭经济条件下和开放经济条件下房地产价格泡沫、银行信贷膨胀以及金融不稳定之间的关系。研究得出受到消费者乐观预期的影响房地产需求增加,房地产价格上涨,当房地产价格上涨到超过其基础价格的时候会出现房地产价格泡沫,而房地产价格上涨导致的抵押品价值提升又导致银行信贷的膨胀,增加金融体系的风险。当泡沫和风险都扩张到一定程度的时候经济体系的某种冲击有可能冲破房地产价格泡沫,导致资产价格的下降,银行不良贷款率的上升,甚至造成银行的倒闭并波及实体经济。在开放经济条件下,二者之间的互相强化作用除了受到本国经济因素的影响之外还要受到汇率波动的影响及国际经济波动的影响,导致金融体系的不稳定性进一步增强。
第四章在分析历史上发生的典型房地产泡沫现象的基础上,论证了房地产价格和银行信贷的互相强化作用在过去发生的房地产价格泡沫及金融危机中所发挥的重要作用。从国际经验看,房地产价格和银行信贷具有顺周期特点,在经济高涨时期,房地产价格往往也会快速上涨,并伴随银行信贷规模的扩张,同时吸引国际资本流入本国房地产市场。随着房地产价格的不断攀升,风险不断积聚,为了给过热的经济降温,政府往往采取紧缩性的金融政策,导致个人、企业的资金链恶化,国外资本也为了规避风险而纷纷撤出,进一步恶化融资环境,加剧个人、企业的资产变卖,引发房地产价格的急剧下跌。房地产价格下跌期间,银行不良资产率上升,盈利能力下降,随着信贷紧缩—房地产价格下跌—不良资产率上升—进一步紧缩—房价进一步下跌的恶性循环的进一步演化有可能引发银行破产倒闭并爆发金融危机。
第五章本章实证检验了中国房地产价格和银行信贷之间的互动关系及中国房地产抵押贷款的潜在风险。通过建立ARDL模型研究了中国的房地产和银行信贷之间的关系,研究得出房地产价格波动和银行信贷之间确实存在一种双向关系。其次,考虑到房地产市场分割性、不可移动性,以及我国区域间经济发展的不平衡性和各省份之间经济联系的差异性,本文进一步采用35个大中城市面板数据建立Panal data模型,并运用广义矩估计(sys-GMM)法考察二者关系的地区差别效应和贷款控制或者金融控制效应。进行实证分析得出通货膨胀率对房地产价格长期存在影响,但是短期没有影响；GDP、货币供应量和利率在长、短期对房地产价格都产生影响；银行信贷短期对房地产价格产生影响,但是从长期来看其影响关系并不显著,但是房地产价格在长期和短期对银行信贷都有显著影响。最后本文实证研究房地产价格波动与信贷关系所引起的风险过程中,将家庭动态资产结构、房地产价格及其预期变化、收入及其预期作用等几个变量考虑进来分析了家庭借款人风险和抵押风险。并得出家庭负债、房地产预期价格、预期收入和银行不良贷款之间是正向关系,而房地产价格、收入与银行不良贷款之间是反向关系。
第六章主要分析了世界各国针对房地产市场的宏观调控政策,并提出我国房地产市场的宏观调控政策建议：考虑到我国城镇居民家庭按揭参与程度还比较低、家庭负债／资产占比不高的情况,本文认为,中长期按揭贷款保持较快程度增长是比较合理的预期,并且从保障房政策、金融信贷政策、税收政策等方面给出了政策建议。另外本文还研究了美国金融监管政策对我国的启示,提出房地产价格及银行信贷的调控离不开一个科学、合理、有效的监管环境。
第七章是结论。
本文的主要创新：
1.本文在理论方面的创新主要有两点：第一,通过引入首付款约束条件扩展了Aoki (2004)的房地产市场的金融加速器模型,更加深入地分析了房地产价格和银行信贷的互动机制,剖析了房地产价格、借款者净资产、首付款约束之间的互动机制。第二,引入资产价格泡沫理论,分析了房地产价格泡沫,首付款约束、银行资产质量和金融不稳定之间的联系,并进一步构建了小型开放经济国家的两期模型研究了在开放经济条件下资本流动、汇率的冲击及国际经济波动对房地产价格泡沫的催生、破灭以及金融不稳定的影响作用
2、在实证研究方面,首先,通过建立ARDL模型研究了中国的房地产和银行信贷之间的关系,研究得出房地产价格和银行信贷之间确实存在一种双向关系。其次,考虑到房地产市场分割性、不可移动性,以及我国区域间经济发展的不平衡性和各省份之间经济联系的差异性,本文进一步采用35个大中城市面板数据建立Panel data模型,并运用广义矩估计(sys-GMM)法考察二者关系的地区差别效应和贷款控制或者金融控制效应。进行实证分析得出通货膨胀率对房地产价格长期存在影响,但是短期没有影响；GDP、货币供应量和利率在长、短期对房地产价格都产生影响；银行信贷短期对房地产价格产生影响,但是从长期来看其影响关系并不显著,但是房地产价格在长期和短期对银行信贷都有显著影响。最后本文实证研究房地产价格波动与信贷关系所引起的风险过程中,将家庭动态资产结构、房地产价格及其预期变化、收入及其预期作用等几个变量考虑进来分析得出家庭负债、房地产预期价格、预期收入和银行不良贷款之间是正向关系,而房地产价格、收入与银行不良贷款之间是反向关系。
3、在政策研究方面,通过对美国、日本等国的房地产价格波动、银行信贷扩张、金融危机及采取的相应的宏观调控政策的研究,提出适合中国国情的宏观调控政策建议。
As the real estate market across the world develops, the real estate industry is playing an increasingly important role in economic development. Real estate cycles are usually in parallel with economic cycles. When the economy booms, the rapid [development of the real estate industry leads to the raise in real estate price, development volume and turnover volume, and mortgage loans. While in economic recession, the sluggish real estate market results in a decline in real estate price and increased corporate and personal bankruptcy as well as raised mortgage default rate. As a typical capital-intensive industry, real estate development and sale are inseparable from bank credit funds. Therefore, the development of real estate market and real estate price fluctuation are closely associated with national macroeconomic policies and bank credit, especially the mutual reinforcement between real estate and bank credit (Goodhard2007), which exacerbates macroeconomic instability and imposes far-reaching impact on national economy. Therefore, an in-depth study of the interactive mechanism between real estate price and bank credit, and an analysis of the relationship between real estate prices and bank credit in China are of theoretical and practical significance. The present study consists of introduction, body and conclusion,7parts included.
Chapter1discusses the background and significance of the study, offers an overview of theoretical and empirical literature related to relationships between real estate price and bank credit, and analyzes and summarizes the thoughts, methods, framework and innovations of the research.
Chapter2focuses on the two-way relationship between real estate prices and bank credit with financial accelerator mechanism, which makes the pro-cyclical behaviors of the two exacerbate economic fluctuation. Interactions between real estate prices and bank credit are seen in the following three aspects. First, bank credit changes affect real estate prices. When bank credit supply is increased, such as lowered down payment or interest rate, it is easier for borrowers to obtain financing. And lowered interest rate decreases borrowers' financing cost, thus an increased demand for real estate and raised real estate prices. Second, real estate prices fluctuations influence bank credit. Raised real estate prices not only increase borrowers' assets therefore enhanced borrowing abilities due to reduced external financing costs, but also improve bank assets and increased willingness of lending due to a net assets rise. Therefore, real estate prices play a positive role in bank credit. Third, real estate prices and bank credit are subject to macroeconomic factors. Relieved credit constraints resulting from increased income and lowered interest rate will lead to raised real estate prices and expanded bank credit. Therefore, macroeconomic factors do have impacts on real estate prices and bank credit, and tighten the correlations among the three through the interactions between real estate prices and bank credit. The study introduces payment constraints based on the financial accelerator model, which constrains consumers'purchase demands in views of their income, current non-durable commodity consumption, predicted real estate prices, accrued items, financing cost, and down payment requirements, etc. Real estate prices are|positively influenced by income, non-durable commodity consumption, and predicted real estate prices, while are reversely influenced by consumers debt, financing cost and down payment requirements.
Chapter3introduces asset price bubble theory of Flood and Garber (1980) into the financial accelerator model, and makes respective analyses of relations among estate price bubbles, bank credit expansion, and financial instability in closed and open economy. It is concluded that due to consumers' optimistic expectations, real estate demand increases and real estate prices rise. When real estate prices exceed basic prices, real estate price bubbles come into being. Raised collateral values due to increased real estate prices lead to bank credit expansion and increase the risk of financial system. When bubbles and risks are expanded to a certain extent, a given impact upon economy may break real estate price bubbles, reduce asset prices, aggravate bad loan ratio, cause bank failures, and affect the real economy. In open economy, the mutual reinforcement between the two is also subject to fluctuations of exchange rate and international economy in addition to national economic factors, aggravating the instability of financial system.
Chapter4analyzes real estate bubble cases in history and discusses the significance of the mutual reinforcement between real estate prices and bank credit in previous real estate price bubbles and financial crisis. Based on international experience, real estate prices and bank credit are pro-cyclical with each other. In an economic boom, real estate prices tend to rise together with the expansion of bank credit and attract international capital into domestic real estate market. As real estate prices continue to soar, risks accumulate. To cool the overheated economy, the government often adopts restrictive monetary policy to exacerbate personal and corporate capital chain. When foreign capitals are withdrawn from risks, financing environment is further worsened with more personal and corporate assets sold and a dramatic drop in real estate prices. Upon real estate prices drop, non-performing loan ratio increases and profitability declines. A further evolution in the vicious circle of credit crunch-real estate prices decline-non-performing loan rise-further crunch-further prices decline may lead to bank failures and financial crisis.
Chapter5has confirmed interactions between real estate prices and bank credit in China through empirical researches together with potential risks of real estate mortgage. Based on ARDL model, the study explores the relationship between real estate and bank credit in China and confirms the two-way relationship between real estate prices and bank credit. Besides, given the divisibility and immovability of real estate market, regional imbalance of economic development, and differences of economic ties among provinces, the study establishes a panel data model of35cities and observes regional differential effect as well as loan control effect and financial control effect using GMM system. Empirical analyses indicate that a) inflation has long-term rather than short-term impacts on real estate prices; b) GDP, money supply and interest rate have impacts on real estate prices both in the short and long term; c) bank credit has impacts on real estate prices in a short-term and an insignificant influence in the long run, while real estate prices have impacts on bank credit both in a long term and a short term. Finally, in the study on risks resulting from real estate prices fluctuations and credit relations, the paper analyses family borrower risk and mortgage risk taking variables as family dynamic asset structure, real estate prices and predicted changes, incomes and expected usage into consideration. It is found that household debt, expected real estate prices, expected incomes and non-performing loans enjoy a positive relationship, while real estate prices, incomes and non-performing loans enjoy a reverse relationship.
Chapter6analyzes macro control policies for real estate market all over the world and puts up with proposals of macro control policies for real estate market in China. Giving consideration to the low level of mortgage conducts among urban households and the low ratio of household debt and household assets, the study argues that it is a reasonable prediction that long-and medium-term mortgage loans would maintain a rapid growth and provide suggestions and policies in terms of low-income housing, credit financial, and taxes. In addition, the study examines the US financial regulatory policies'inspiration on China and assumes that regulations on real estate prices and bank credit lie in a scientific, rational and effective regulatory environment.
Chapter7concludes the study.
Innovations in This Study:
1. Theoretical innovations are:First, the introduction of down payment constraints enriches the financial accelerator model of Aoki (2004) in real estate market. The study makes an in-depth analysis of the interaction mechanism between real estate prices and bank credit, as well as discusses the interactions among real estate prices, borrowers'net assets, and down payment constraints. Second, the asset price bubble theory is introduced. And the study offers an analysis of the correlations among real estate price bubbles, down payment constraints, bank asset quality and financial instability, and establishes a two-period model for countries of small open economy in which capital flows, exchange rates impact, and the impact of international economic fluctuations on the birth and bust of real estate price bubbles as well as on financial instability in open economy.
2. In empirical research, first, based on ARDL model, the study explores the relationship between real estate and bank credit in China and confirms the two-way relationship between the two. Second, given the divisibility and immovability of real estate market, regional imbalance of economic development, and differences of economic ties among provinces, the study establishes a panel data model of35cities and observes regional differential effect as well as loan control effect and financial control effect using GMM system. Empirical analyses indicate that a) inflation has long-term rather than short-term impacts on real estate prices; b) GDP, money supply and interest rate have impacts on real estate prices both in the short and long term; c) bank credit has impacts on real estate prices in a short-term and an insignificant influence in the long run, while real estate prices have impacts on bank credit both in a long term and a short term. Finally, in the study on risks resulting from real estate prices fluctuations and credit relations, the paper analyses family borrower risk and mortgage risk taking variables as family dynamic asset structure, real estate prices and predicted changes, incomes and expected usage into consideration. It is found that household debt, expected real estate prices, expected incomes and non-performing loans enjoy a positive relationship, while real estate prices, incomes and non-performing loans enjoy a reverse relationship.
3. For policy proposal, the study on real estate price fluctuation, bank credit expansion, financial crisis and corresponding macro-control policies in the US and Japan leads to suggestions on macro-control policy in China.
第一章主要论述了本文选题的背景及意义,综述了房地产价格和银行信贷关系的理论文献及实证文献,并对本文的研究思路、研究方法、研究框架及本文创新点进行了分析和总结。
第二章主要研究了金融加速器机制下房地产价格和银行信贷之间存在的双向影响关系。二者的顺周期行为在金融加速器作用下放大经济的波动。房地产价格和银行信贷的互动作用体现在以下三个方面。第一,银行信贷的变化影响房地产价格发生变动,如果银行扩张信贷供给,如降低首付款或者降低利率,则借款者获得融资变得容易,而且如果利率降低则将借款者的融资成本也会降低,从而导致房地产需求增加,推动房地产价格上涨。第二,房地产价格变动影响银行信贷发生变化。房地产价格上涨不仅使借款者的资产增加,导致借款者的借贷能力增加,外部融资成本下降,房地产价格上涨也使银行资产质量得到改善,银行资产净值也会增加,导致银行的放贷意愿增加,因此,房地产价格将对银行信贷起正向作用。第三,房地产价格和银行信贷共同受宏观经济因素影响。如收入增加,利率降低、信贷约束放松都将导致房地产价格上涨和银行信贷扩张。因此,宏观经济因素作用于房地产价格和银行信贷,并通过房地产价格和银行信贷的互动作用,最终使银行信贷、房地产价格和宏观经济紧密联系。本文在金融加速器模型基础上引入首付款约束,指出消费者受到首付款约束条件下,购买房产需求受到其收入、当期非耐用商品消费、预期房地产价格、消费者前期债务、融资成本以及购房首付款要求等因素的影响。房地产价格受到收入、非耐用商品消费、预期房地产价格的影响正方向变化,而受到消费者债务、融资成本以及首付款要求的影响发生反方向变化。
第三章将Flood and Garber (1980)的资产价格泡沫理论引入金融加速器模型,分别研究了在封闭经济条件下和开放经济条件下房地产价格泡沫、银行信贷膨胀以及金融不稳定之间的关系。研究得出受到消费者乐观预期的影响房地产需求增加,房地产价格上涨,当房地产价格上涨到超过其基础价格的时候会出现房地产价格泡沫,而房地产价格上涨导致的抵押品价值提升又导致银行信贷的膨胀,增加金融体系的风险。当泡沫和风险都扩张到一定程度的时候经济体系的某种冲击有可能冲破房地产价格泡沫,导致资产价格的下降,银行不良贷款率的上升,甚至造成银行的倒闭并波及实体经济。在开放经济条件下,二者之间的互相强化作用除了受到本国经济因素的影响之外还要受到汇率波动的影响及国际经济波动的影响,导致金融体系的不稳定性进一步增强。
第四章在分析历史上发生的典型房地产泡沫现象的基础上,论证了房地产价格和银行信贷的互相强化作用在过去发生的房地产价格泡沫及金融危机中所发挥的重要作用。从国际经验看,房地产价格和银行信贷具有顺周期特点,在经济高涨时期,房地产价格往往也会快速上涨,并伴随银行信贷规模的扩张,同时吸引国际资本流入本国房地产市场。随着房地产价格的不断攀升,风险不断积聚,为了给过热的经济降温,政府往往采取紧缩性的金融政策,导致个人、企业的资金链恶化,国外资本也为了规避风险而纷纷撤出,进一步恶化融资环境,加剧个人、企业的资产变卖,引发房地产价格的急剧下跌。房地产价格下跌期间,银行不良资产率上升,盈利能力下降,随着信贷紧缩—房地产价格下跌—不良资产率上升—进一步紧缩—房价进一步下跌的恶性循环的进一步演化有可能引发银行破产倒闭并爆发金融危机。
第五章本章实证检验了中国房地产价格和银行信贷之间的互动关系及中国房地产抵押贷款的潜在风险。通过建立ARDL模型研究了中国的房地产和银行信贷之间的关系,研究得出房地产价格波动和银行信贷之间确实存在一种双向关系。其次,考虑到房地产市场分割性、不可移动性,以及我国区域间经济发展的不平衡性和各省份之间经济联系的差异性,本文进一步采用35个大中城市面板数据建立Panal data模型,并运用广义矩估计(sys-GMM)法考察二者关系的地区差别效应和贷款控制或者金融控制效应。进行实证分析得出通货膨胀率对房地产价格长期存在影响,但是短期没有影响；GDP、货币供应量和利率在长、短期对房地产价格都产生影响；银行信贷短期对房地产价格产生影响,但是从长期来看其影响关系并不显著,但是房地产价格在长期和短期对银行信贷都有显著影响。最后本文实证研究房地产价格波动与信贷关系所引起的风险过程中,将家庭动态资产结构、房地产价格及其预期变化、收入及其预期作用等几个变量考虑进来分析了家庭借款人风险和抵押风险。并得出家庭负债、房地产预期价格、预期收入和银行不良贷款之间是正向关系,而房地产价格、收入与银行不良贷款之间是反向关系。
第六章主要分析了世界各国针对房地产市场的宏观调控政策,并提出我国房地产市场的宏观调控政策建议：考虑到我国城镇居民家庭按揭参与程度还比较低、家庭负债／资产占比不高的情况,本文认为,中长期按揭贷款保持较快程度增长是比较合理的预期,并且从保障房政策、金融信贷政策、税收政策等方面给出了政策建议。另外本文还研究了美国金融监管政策对我国的启示,提出房地产价格及银行信贷的调控离不开一个科学、合理、有效的监管环境。
第七章是结论。
本文的主要创新：
1.本文在理论方面的创新主要有两点：第一,通过引入首付款约束条件扩展了Aoki (2004)的房地产市场的金融加速器模型,更加深入地分析了房地产价格和银行信贷的互动机制,剖析了房地产价格、借款者净资产、首付款约束之间的互动机制。第二,引入资产价格泡沫理论,分析了房地产价格泡沫,首付款约束、银行资产质量和金融不稳定之间的联系,并进一步构建了小型开放经济国家的两期模型研究了在开放经济条件下资本流动、汇率的冲击及国际经济波动对房地产价格泡沫的催生、破灭以及金融不稳定的影响作用
2、在实证研究方面,首先,通过建立ARDL模型研究了中国的房地产和银行信贷之间的关系,研究得出房地产价格和银行信贷之间确实存在一种双向关系。其次,考虑到房地产市场分割性、不可移动性,以及我国区域间经济发展的不平衡性和各省份之间经济联系的差异性,本文进一步采用35个大中城市面板数据建立Panel data模型,并运用广义矩估计(sys-GMM)法考察二者关系的地区差别效应和贷款控制或者金融控制效应。进行实证分析得出通货膨胀率对房地产价格长期存在影响,但是短期没有影响；GDP、货币供应量和利率在长、短期对房地产价格都产生影响；银行信贷短期对房地产价格产生影响,但是从长期来看其影响关系并不显著,但是房地产价格在长期和短期对银行信贷都有显著影响。最后本文实证研究房地产价格波动与信贷关系所引起的风险过程中,将家庭动态资产结构、房地产价格及其预期变化、收入及其预期作用等几个变量考虑进来分析得出家庭负债、房地产预期价格、预期收入和银行不良贷款之间是正向关系,而房地产价格、收入与银行不良贷款之间是反向关系。
3、在政策研究方面,通过对美国、日本等国的房地产价格波动、银行信贷扩张、金融危机及采取的相应的宏观调控政策的研究,提出适合中国国情的宏观调控政策建议。
As the real estate market across the world develops, the real estate industry is playing an increasingly important role in economic development. Real estate cycles are usually in parallel with economic cycles. When the economy booms, the rapid [development of the real estate industry leads to the raise in real estate price, development volume and turnover volume, and mortgage loans. While in economic recession, the sluggish real estate market results in a decline in real estate price and increased corporate and personal bankruptcy as well as raised mortgage default rate. As a typical capital-intensive industry, real estate development and sale are inseparable from bank credit funds. Therefore, the development of real estate market and real estate price fluctuation are closely associated with national macroeconomic policies and bank credit, especially the mutual reinforcement between real estate and bank credit (Goodhard2007), which exacerbates macroeconomic instability and imposes far-reaching impact on national economy. Therefore, an in-depth study of the interactive mechanism between real estate price and bank credit, and an analysis of the relationship between real estate prices and bank credit in China are of theoretical and practical significance. The present study consists of introduction, body and conclusion,7parts included.
Chapter1discusses the background and significance of the study, offers an overview of theoretical and empirical literature related to relationships between real estate price and bank credit, and analyzes and summarizes the thoughts, methods, framework and innovations of the research.
Chapter2focuses on the two-way relationship between real estate prices and bank credit with financial accelerator mechanism, which makes the pro-cyclical behaviors of the two exacerbate economic fluctuation. Interactions between real estate prices and bank credit are seen in the following three aspects. First, bank credit changes affect real estate prices. When bank credit supply is increased, such as lowered down payment or interest rate, it is easier for borrowers to obtain financing. And lowered interest rate decreases borrowers' financing cost, thus an increased demand for real estate and raised real estate prices. Second, real estate prices fluctuations influence bank credit. Raised real estate prices not only increase borrowers' assets therefore enhanced borrowing abilities due to reduced external financing costs, but also improve bank assets and increased willingness of lending due to a net assets rise. Therefore, real estate prices play a positive role in bank credit. Third, real estate prices and bank credit are subject to macroeconomic factors. Relieved credit constraints resulting from increased income and lowered interest rate will lead to raised real estate prices and expanded bank credit. Therefore, macroeconomic factors do have impacts on real estate prices and bank credit, and tighten the correlations among the three through the interactions between real estate prices and bank credit. The study introduces payment constraints based on the financial accelerator model, which constrains consumers'purchase demands in views of their income, current non-durable commodity consumption, predicted real estate prices, accrued items, financing cost, and down payment requirements, etc. Real estate prices are|positively influenced by income, non-durable commodity consumption, and predicted real estate prices, while are reversely influenced by consumers debt, financing cost and down payment requirements.
Chapter3introduces asset price bubble theory of Flood and Garber (1980) into the financial accelerator model, and makes respective analyses of relations among estate price bubbles, bank credit expansion, and financial instability in closed and open economy. It is concluded that due to consumers' optimistic expectations, real estate demand increases and real estate prices rise. When real estate prices exceed basic prices, real estate price bubbles come into being. Raised collateral values due to increased real estate prices lead to bank credit expansion and increase the risk of financial system. When bubbles and risks are expanded to a certain extent, a given impact upon economy may break real estate price bubbles, reduce asset prices, aggravate bad loan ratio, cause bank failures, and affect the real economy. In open economy, the mutual reinforcement between the two is also subject to fluctuations of exchange rate and international economy in addition to national economic factors, aggravating the instability of financial system.
Chapter4analyzes real estate bubble cases in history and discusses the significance of the mutual reinforcement between real estate prices and bank credit in previous real estate price bubbles and financial crisis. Based on international experience, real estate prices and bank credit are pro-cyclical with each other. In an economic boom, real estate prices tend to rise together with the expansion of bank credit and attract international capital into domestic real estate market. As real estate prices continue to soar, risks accumulate. To cool the overheated economy, the government often adopts restrictive monetary policy to exacerbate personal and corporate capital chain. When foreign capitals are withdrawn from risks, financing environment is further worsened with more personal and corporate assets sold and a dramatic drop in real estate prices. Upon real estate prices drop, non-performing loan ratio increases and profitability declines. A further evolution in the vicious circle of credit crunch-real estate prices decline-non-performing loan rise-further crunch-further prices decline may lead to bank failures and financial crisis.
Chapter5has confirmed interactions between real estate prices and bank credit in China through empirical researches together with potential risks of real estate mortgage. Based on ARDL model, the study explores the relationship between real estate and bank credit in China and confirms the two-way relationship between real estate prices and bank credit. Besides, given the divisibility and immovability of real estate market, regional imbalance of economic development, and differences of economic ties among provinces, the study establishes a panel data model of35cities and observes regional differential effect as well as loan control effect and financial control effect using GMM system. Empirical analyses indicate that a) inflation has long-term rather than short-term impacts on real estate prices; b) GDP, money supply and interest rate have impacts on real estate prices both in the short and long term; c) bank credit has impacts on real estate prices in a short-term and an insignificant influence in the long run, while real estate prices have impacts on bank credit both in a long term and a short term. Finally, in the study on risks resulting from real estate prices fluctuations and credit relations, the paper analyses family borrower risk and mortgage risk taking variables as family dynamic asset structure, real estate prices and predicted changes, incomes and expected usage into consideration. It is found that household debt, expected real estate prices, expected incomes and non-performing loans enjoy a positive relationship, while real estate prices, incomes and non-performing loans enjoy a reverse relationship.
Chapter6analyzes macro control policies for real estate market all over the world and puts up with proposals of macro control policies for real estate market in China. Giving consideration to the low level of mortgage conducts among urban households and the low ratio of household debt and household assets, the study argues that it is a reasonable prediction that long-and medium-term mortgage loans would maintain a rapid growth and provide suggestions and policies in terms of low-income housing, credit financial, and taxes. In addition, the study examines the US financial regulatory policies'inspiration on China and assumes that regulations on real estate prices and bank credit lie in a scientific, rational and effective regulatory environment.
Chapter7concludes the study.
Innovations in This Study:
1. Theoretical innovations are:First, the introduction of down payment constraints enriches the financial accelerator model of Aoki (2004) in real estate market. The study makes an in-depth analysis of the interaction mechanism between real estate prices and bank credit, as well as discusses the interactions among real estate prices, borrowers'net assets, and down payment constraints. Second, the asset price bubble theory is introduced. And the study offers an analysis of the correlations among real estate price bubbles, down payment constraints, bank asset quality and financial instability, and establishes a two-period model for countries of small open economy in which capital flows, exchange rates impact, and the impact of international economic fluctuations on the birth and bust of real estate price bubbles as well as on financial instability in open economy.
2. In empirical research, first, based on ARDL model, the study explores the relationship between real estate and bank credit in China and confirms the two-way relationship between the two. Second, given the divisibility and immovability of real estate market, regional imbalance of economic development, and differences of economic ties among provinces, the study establishes a panel data model of35cities and observes regional differential effect as well as loan control effect and financial control effect using GMM system. Empirical analyses indicate that a) inflation has long-term rather than short-term impacts on real estate prices; b) GDP, money supply and interest rate have impacts on real estate prices both in the short and long term; c) bank credit has impacts on real estate prices in a short-term and an insignificant influence in the long run, while real estate prices have impacts on bank credit both in a long term and a short term. Finally, in the study on risks resulting from real estate prices fluctuations and credit relations, the paper analyses family borrower risk and mortgage risk taking variables as family dynamic asset structure, real estate prices and predicted changes, incomes and expected usage into consideration. It is found that household debt, expected real estate prices, expected incomes and non-performing loans enjoy a positive relationship, while real estate prices, incomes and non-performing loans enjoy a reverse relationship.
3. For policy proposal, the study on real estate price fluctuation, bank credit expansion, financial crisis and corresponding macro-control policies in the US and Japan leads to suggestions on macro-control policy in China.
引文
46参见：李麟索、彦峰；“经济波动、不良贷款与银行业系统性风险,,；国际金融研究[J]；2009
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