房地产价格指数周期的宏观分析  

A Macro Analysis of the Real Estate Price Index Cycle

作　　者：朱英姿[1] 杨斌[2] 刘小波[3] 

机构地区：[1]清华大学经济管理学院金融系 [2]国家开发银行评审二局 [3]国家开发银行规划局

出　　处：《投资研究》2011年第7期22-31,共10页Review of Investment Studies

摘　　要：本文建立了中国房地产价格指数的投机度模型,区分了房地产价格增长的价值和泡沫成分,动态刻画了一个由基本面增长、泡沫推动及价格的价值回归等因素共同作用形成的完整房地产价格周期,定量地研究了现阶段我国房地产的泡沫度及其发展趋势,得出了我国房地产市场泡沫成分对货币流动性高度敏感的结论。通过稳定性测试,我们定量分析了货币政策回归"稳健"对房地产市场可能带来的冲击,并对地方政府、商业银行及监管部门提供了建议。We set up a model to calibrate the bubble component of the real estate price index in China. By decomposing the price dynamics into value and bubble components, we dynamically describe the real estate price cycle determined by macroeconomic fundamentals, the destabilizing momentum effect and the stabilizing mean-reverting effect of price bubble. We empirically quantify the magnitude and trend of the bubble. According to our research, the real estate price bubbles are highly sensitive to liquidity measured by M2 growth. Through scenario analysis, we are able to quantify the potential price sensitivity to liquidity shock due to monetary policy tightening. Our model can be utilized to gauge the financial systemic risk due to real estate bubble for local governments, the banking industry, and financial regulatory authorities.

关 键 词：房地产周期 资产泡沫 流动性 稳定性测试 

分 类 号：F293.3[经济管理—国民经济] F224