信贷驱动、博傻投机与房价泡沫骑乘  

Speculative trading and riding credit-driven housing bubbles

作　　者：陈国进[1,2] 陈凌凌 赵向琴 CHEN Guo-jin;CHEN Ling-ling;ZHAO Xiang-qin(School of Economics,Xiamen University,Xiamen 361005,China;The Wang Yanan Institute for Studies in Economics(WISE),Xiamen University,Xiamen 361005,China)

机构地区：[1]厦门大学经济学院,厦门361005 [2]厦门大学王亚南经济研究院,厦门361005

出　　处：《管理科学学报》2021年第9期18-37,共20页Journal of Management Sciences in China

基　　金：国家社会科学基金资助重大项目(20&ZD055);国家自然科学基金资助项目(71971180,71771193,71988101);教育部人文社科基金资助规划项目(21YJA790082);福建省社会科学规划资助项目(FJ2020B066)。

摘　　要：在信息不对称框架下建立了信贷驱动的房价泡沫骑乘模型,探讨影响投资者博傻投机和房价泡沫骑乘的主要因素并形成相关理论命题.在此基础上,基于22国1975年-2017年季度面板数据,运用GSADF技术估计房价泡沫并使用IV-Probit两步法和面板VAR模型实证分析了信贷-房价正反馈、异质信念、货币政策和宏观审慎监管对房价泡沫的影响及其具体传导机制.主要结论有:1)信贷-房价正反馈、投资者对银行的风险转移动机、投资者异质信念、低利率环境和宏观审慎信贷监管放松是影响投资者博傻投机和骑乘房价泡沫的主要因素;2)信贷和房价的正反馈会显著增加房价泡沫的发生概率且这一效应在经济繁荣时期尤为明显;3)投资者信念异质性越强,房价泡沫发生的概率越大;4)紧缩性货币政策和宏观审慎监管可分别通过遏制房价过快上涨和调节家庭部门信贷扩张进而抑制房价泡沫.“双支柱”政策对房价泡沫的调控效果在发展中国家要好于发达国家.This paper first develops a bubble-riding model that features asymmetric information and creditprice feedback to explore the factors that shape investors'bubble-riding behavior in housing market.With a quarterly panel of 22 countries from 1975 to 2017,this paper then applies IV-Probit and VAR estimation to empirically investigate the power of aforementioned factors in explaining housing bubble occurrences,where GSADF approach is used to detect housing bubbles.The results show that:1)Credit-price positive feedback,risk-shifting,belief heterogeneity,low interest rates and credit loosening are the main drivers of bubble-riding;2)The feedback loop between credit and house price significantly increases the likelihood of housing bubbles,and this effect is particularly strong when the economy booms;3)The more dispersed investors*beliefs are,the more likely housing bubbles will occur;4)Low interest rate and relaxed credit regulation could fuel housing bubbles.Raising lending rates and tightening macro-prudential regulation are proved effective in curbing housing bubbles by slowing down housing price growth and credit expansion in the household sector.Further analysis also shows that the"dual-pillar"regulation seems more effective in developing countries than in developed countries.

关 键 词：房价泡沫 泡沫骑乘 信贷-房价正反馈 异质信念 “双支柱”政策 

分 类 号：F015[经济管理—政治经济学] F293.3