贷款定价中的低估行为与房地产价格泡沫——扩展的PW模型与中国经验  

Underpricing Behavior in Loan-pricing and Price Bubbles in Real Estate——Modified PW Model and China's Experience

作　　者：潘再见[1] 

机构地区：[1]厦门大学金融系,福建厦门361005

出　　处：《数理统计与管理》2010年第3期409-422,共14页Journal of Applied Statistics and Management

基　　金：教育部人文社科专项任务项目(批准号07JD790007);国家社科重大项目(批准号08&ZD034)

摘　　要：Pavlov和Wachter清晰地阐述了商业银行对抵押贷款看跌期权内在价值的低估导致资产价格膨胀,使其脱离基础价值,即产生泡沫。但是其假设条件缺乏一般性,并且没有考虑开放条件下的汇率风险。本文在对其假设条件进行修正,并添加汇率因素的基础上,对PW模型进行扩展,从而得出开放条件下商业银行贷款定价行为与房地产价格泡沫的相关分析模型,得出的结论是,房地产价格与利差和汇率负相关,与存款利率正相关,而提高借款人的自付权益成本可削弱贷款定价中的低估行为对房价的影响。最后,采用我国2005年7月至2008年9月的月度数据进行计量分析,基本证实了模型的结论,同时,也说明了房地产需求对样本期间内的房价飚涨影响不大,货币政策的调控效果也非常微弱。Pavlov and Wachter clearly picture that bank＇s undepricing of the put potion contained mortgage loans leads to inflated asset price,breaking away from fundmental value,i.e.generating bubbles. But its assumptions lack of universality and don＇t consider risk of exchange rate in opening conditions. The paper extenses the PW model with modifying the assumptions and adding to risk of exchange rate, so we obtain the model on correlation between commercial bank＇s loan-pricing behavior and price bubbles in real estate,getting the conclusion that there is negative correlation between growth rate of price in real estate and interest spread and exchange rate,and positive correlation between growth rate of price in real estate and deposit rate,however,raising the equity cost paid by borrower will undermine the impact on housing price caused by bank＇s underpricing behavior in loan-pricing.In the end,the econometric analysis basing on Chinese monthly data from July in 2005 to September in 2008,approves the model＇s conclusions on the whole,and illustrates that the demand for housing have not been affected upsurge of housing price during the sample period,and the effect of monetary policy to control housing price was very weak.

关 键 词：低估行为 房地产价格泡沫 PW模型 

分 类 号：F830.9[经济管理—金融学] O212[理学—概率论与数理统计]