中国宏观杠杆率对房地产价格泡沫的非对称动态影响研究  

Asymmetric Dynamic Effect of China’s Macro-Leverage Ratio on Real Estate Price Bubbles

作　　者：林思涵 陈守东[2] 王妍 LIN Sihan;CHEN Shoudong;WANG Yan(School of Economics,Capital University of Economics and Business,Beijing 100070,China;Business School of Jilin University,Changchun 130015,China;School of Statistics,University of International Business and Economics,Beijing 100105,China)

机构地区：[1]首都经济贸易大学经济学院 [2]吉林大学商学院 [3]对外经济贸易大学统计学院

出　　处：《金融评论》2021年第5期91-105,125,126,共17页Chinese Review of Financial Studies

基　　金：教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(项目批准号17JZD016)的资助。

摘　　要：本文从理论上分析资产价格泡沫与金融杠杆之间的定价关系,发现在违约概率为正的前提下,金融杠杆的上升会导致正向资产价格泡沫增大。为验证上述理论结果,本文采用NARDL模型实证分析了分部门宏观杠杆率对我国房地产价格泡沫的长、短期非对称影响。实证结果表明,首先,实体经济部门以及金融部门杠杆率的负向调整均会长期有效抑制房地产价格泡沫的持续膨胀,但"一刀切"的逆周期杠杆调整不利于房地产市场的长期稳定运行,因此应实行差异化的杠杆调控政策。其次,在长期可采用非金融企业部门向居民部门的杠杆转移来实现对房地产价格泡沫的温和平抑作用。再次,应有效、合理发挥中央政府杠杆的前瞻指引作用。同时,政策当局不应对地方政府施行强效去杠杆政策,应试图"熨平"地方政府债务波动以免引发局部房地产价格泡沫风险。最后,就金融部门而言,应对金融部门杠杆进行有效调控,谨防金融资产价格泡沫向房地产价格泡沫转移所引发的房地产市场泡沫风险。This paper first demonstrates the pricing relationship between asset price bubbles and financial leverage theoretically.The conclusion is that if the default probability is positive,the rise of financial leverage will lead to an increase in the positive asset price bubble.To verify the above theoretical results,the NARDL model is used to empirically analyze the long-and short-term asymmetric effects of the macro leverage ratio on China’s real estate price bubbles.The empirical results show that,first of all,the negative adjustment of the leverage ratio of the real economic sector and the financial sector will inhibit the sustained expansion of the real estate price bubble for a long time,but the"one size fits all"counter-cyclical lever adjustment is not conducive to the long-term stable operation of the real estate market.Therefore,differentiated leverage control policies should be implemented.Secondly,in the long term,we can use the leverage transfer from the non-financial sector to the residential sector to achieve the moderate stabilization of the real estate price bubble.Thirdly,we should give full play to the forward-looking guiding role of the central government leverage effectively and reasonably.At the same time,the policymakers should not impose strong leveraging policies on local governments and try to"flatten"the fluctuations of local government debt to avoid the risk of partial real estate price bubbles.Finally,in terms of the financial sector,we should effectively control the leverage of the financial sector,and guard against the real estate bubble risk caused by the transfer of financial asset price bubbles to the real estate bubble.

关 键 词：宏观杠杆率 资产价格泡沫 GSADF模型 非对称动态效应 

分 类 号：E44[军事—军事理论] E59