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本文通过构建含有金融摩擦的异质性多部门动态随机一般均衡模型深入探讨了房价波动对银行风险承担的动态传导机制,结果发现,房价上涨会增加银行风险承担并对金融稳定产生不利冲击,金融摩擦不仅会收紧银行的流动性约束,并通过资产负债表渠道影响银行风险承担,而且还会放大房地产市场波动向金融市场的动态传导效应。本文进一步选取TVP-SV-BVAR模型分别基于不同时点和不同时期进行实证分析。结果表明,房价波动对银行风险承担的动态传导及反馈效应在不同时点及不同时期下呈现非一致情形,致使房地产与金融市场之间的联动效应具有时变性特征。本文不仅能为厘清房价波动影响银行风险承担的传导机制提供规范的分析框架,而且能为相关部门在不同的经济背景下选取合适的政策以有效降低房地产市场波动及维护金融市场稳定提供启示。
Abstract：We build a heterogeneous multi-sectoral Dynamic Stochastic General Equilibrium( DSGE)model containing financial frictions to study the dynamic transmission mechanism of house price volatility to bank risk exposure. We find that rising housing prices increase bank risk exposure and adversely affect financial stability. Financial friction tightens the liquidity constraints and risk exposure of the bank through balance sheets,and also amplifies the dynamic transmission effect of real estate market fluctuations to financial markets.We further select the TVP-SV-BVAR model to make empirical analysis at different time points and periods. We then find that the dynamic transmission and feedback effects of house price fluctuations on bank risk exposure are inconsistent at different time points and different periods. Therefore the linkage effect between real estate and financial market is time-varying. This paper not only provides a normative analytical framework to clarify the transmission mechanism of house price fluctuations affecting bank risk exposure,but also provides inspiration for policy-making authorities to select appropriate policies under different economic backgrounds to effectively reduce real estate market volatility and maintain financial market stability.
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(1)需要指出的是，此处的GDP为消费、住房投资与商业投资之和，不包含政府投资。
(2)本文通过楼面价与房价之比来计算房地产生产中的土地份额。其中，楼面价和房价数据分别来自于WIND资讯经济数据库中行业项目下的百城土地楼面均价和百城住宅均价。
(3)参考Iacoviello和Neri(2010)[7]的研究，美国的土地份额仅为0.1。
(1)何青等(2015)[23]通过贝叶斯方法估计出的住房偏好系数为0.3069，赵扶扬等(2017)[25]通过稳态系统反解得到的住房偏好系数为0.4903。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2019.12.003
中图分类号:F299.23;F832.3;F224
引用信息:
[1]司登奎,李小林,葛新宇.基于房价波动的银行风险承担:理论分析与经验研究[J].统计研究,2019,36(12):27-39.DOI:10.19343/j.cnki.11-1302/c.2019.12.003.
基金信息:
国家社会科学基金青年项目“金融稳定目标下货币政策与宏观审慎政策协调机制研究”(18CJY056)的阶段性成果