房地产债务扩张与货币政策有效性下降:理论及实证  

Real Estate Debt Expansion and the Decline in Monetary Policy Effectiveness:Theory and Empirical Evidence

作　　者：戚聿东 徐嫄 谭昊炎 QI Yu-dong;XU Yuan;TAN Hao-yan(Business School,Beijing Normal University,Beijing 100875,China)

机构地区：[1]北京师范大学经济与工商管理学院,北京100875

出　　处：《财经问题研究》2024年第11期46-61,共16页Research On Financial and Economic Issues

基　　金：国家社会科学基金重大项目“技术标准与知识产权协同推进数字产业创新的机理与路径研究”(19ZDA077);国家自然科学基金面上项目“中国冲击再思考:去全球化背景下中国贸易的国际影响及策略”(71973079);中央高校基本科研业务费专项资金北京师范大学青年教师基金项目“贸易冲击与劳动力市场:基于宏观政策和贸易保护政策传导效应的研究”(2022NTSS07)。

摘　　要：目前中国经济面临的一个重大挑战是房地产企业的高负债率和居民部门因长期房贷负担而引起的需求疲软,这两大因素的共同作用导致货币政策效果减弱。本文基于多部门动态随机一般均衡(DSGE)模型,探讨了房地产企业债务扩张和居民部门住房债务扩张对货币政策有效性的影响。模型的模拟结果显示,这两大因素均会削弱货币政策效果,其潜在传导机制包括信贷挤压效应和影子银行扩张替代效应。基于理论分析的结果,本文运用状态依存的局部投影方法进行了实证分析,证实了房地产企业债务扩张和居民部门住房债务扩张确实会削弱货币政策效果。此外,本文还验证了传导机制的存在。在广义的“脱实向虚”的背景下,本文的研究可以为近年来货币政策有效性下降的现象提供新的解释,并为控制房地产相关债务规模的必要性提供新的证据。This paper first establishes a multi‑sector dynamic general equilibrium model containing heterogeneous households.In this model,the exogenous changes in the debt of the household sector,the real sector,and the real estate sector are considered.This paper analyzes how the debt changes of different sectors affect the effectiveness of monetary policy from the perspective of comparative static analysis and find that changes in unit debt of the household sector and the real sector have a greater impact on the effectiveness of monetary policy,but changes in the debt of the real estate sector only have a relatively weak impact.Combined with the data on the changes in the debt ratios of various sectors in the past two decades,we attribute the above process to the credit resource squeezing mechanism on both the supply and demand sides of real estate,that is,the excessive crowding out of the credit resources of the real sector by household mortgages and real estate loans,thereby weakening the effectiveness of monetary policy.In addition,considering the tightening real estate regulation policy,real estate developers can only obtain limited credit resources.The extended model takes into account that real estate developers use shadow banking to achieve debt expansion.This paper also finds that rising debt levels weaken the effectiveness of monetary policy.This paper interprets the above mechanism as a mechanism of intensified financial friction caused by real estate debt expansion.After obtaining the above theoretical simulation conclusions,this paper uses the state‑dependent local projection method(State‑LP)for empirical testing.First,based on the resident debt ratio and the real estate industry debt ratio as state variables,this paper constructs the binary cross‑product local projection regression.The results show that high debt ratios of residents and real estate developers weaken the effectiveness of monetary policy.This conclusion is established through multiple robustness tests.Further,based on the continuous va

关 键 词：房地产债务 货币政策 脱实向虚 局部投影方法 DSGE模型 

分 类 号：F822.0[经济管理—财政学]