中國房地產(chǎn)價格周期波動與成因研究.docx

摘 要20 世紀 80 年代以來，全球房地產(chǎn)市場接連發(fā)生了膨脹與緊縮的巨大波動。我國房地產(chǎn)市場以 1987 年為起點，1998 年才完全實現(xiàn)市場化分配，短短的二十幾年間房價在波動中急劇膨脹。尤其是 2003 年以后，大部分城市房價持續(xù)高漲，引發(fā)了對房地產(chǎn)泡沫的巨大爭論。2008 年國際金融危機前后，房價短期經(jīng)歷了大漲大跌的劇烈波動，與之相伴隨的是對房地產(chǎn)價格一系列調(diào)控政策的出臺。從一些發(fā)達國家的歷史經(jīng)驗來看，房價的波動給宏觀經(jīng)濟穩(wěn)定帶來了巨大的威脅，甚至導(dǎo)致了長時間經(jīng)濟蕭條，這對市場調(diào)控與監(jiān)管提出更高的要求。我國的市場調(diào)控經(jīng)驗表明，僅僅使用貨幣政策的市場效果不明顯，不得不采取直接行政干預(yù)措施。而這些措施的合理性一直是理論界爭論不休的問題。論文通過房地產(chǎn)價格周期測度與解讀、與國外房地產(chǎn)周期比較、分析房地產(chǎn)周期與宏觀經(jīng)濟、股市周期和通貨膨脹周期的關(guān)系，對房地產(chǎn)價格周期波動特征做出具體的刻畫，歸納了關(guān)于房價周期波動特征的典型事實。結(jié)果表明，我國房價周期波動頻率高、波動幅度大。房價中期具有上漲剛性，不存在明顯的中周期。房價周期、消費物價周期和股價周期之間存在一定的領(lǐng)先滯后關(guān)系。在宏觀經(jīng)濟中的行業(yè)定位、政策導(dǎo)向與房價之間也存在顯著的相關(guān)性。論文分析了我國房價周期增長和波動的成因。房地產(chǎn)價格的持續(xù)上漲主要受到體制創(chuàng)新、經(jīng)濟增長、工業(yè)化和城市化進程、流動性過剩幾方面因素的影響?；诜康禺a(chǎn)定價模型，論文提出實現(xiàn)房價周期波動的三個假設(shè)：假設(shè)一：消費者根據(jù)房地產(chǎn)市場價格和理論價格之間的權(quán)衡進行購房決策，市場價格與理論價格之間存在互動關(guān)系，導(dǎo)致房價周期性波動；假設(shè)二：信貸的擴張與緊縮對房地產(chǎn)業(yè)與非房地產(chǎn)業(yè)投資的影響產(chǎn)生周期波動；假設(shè)三：金融自由化進程中伴隨著增長過快的貨幣供給，加速了房價上漲趨勢，也為市場帶來不確定性。從實證結(jié)果來看，利率變化對房價的影響很小，無法與理論分析相一致，房價周期波動的利率調(diào)整機制失靈；銀行信貸與價格周期存在穩(wěn)定的一致性，銀行信貸對價格周期的影響小于貨幣供給。貨幣供給彈性在 1998 年最高，到 2005 年達到最低值，2005 年以后貨幣供給對房價增長的推動作用增強。貨幣供給對價格的影響大于對投資的影響，說明資金通過房地產(chǎn)開發(fā)投資之外的途徑直接對價格產(chǎn)生影響。本文認為，1998 年以前，市場環(huán)境不穩(wěn)定是周期波動頻繁的主要原因；1999 年至 2005年利率穩(wěn)定、供求關(guān)系平衡，市場處于短暫的過渡期；2005 年以后房價周期波動頻繁而劇烈，周期表現(xiàn)出明顯的外生性，論文重點分析了這個階段房價周期的原因。II2005 年以后，購房者購房動機發(fā)生了由居住到投資的轉(zhuǎn)變，對于市場行為的解釋需要突破房地產(chǎn)供給需求局部均衡的框架，在與宏觀經(jīng)濟結(jié)構(gòu)相關(guān)的一般均衡框架內(nèi)分析。在低利率的條件下，購房者具有強烈的購房動機，房價具有上漲剛性，由市場價格與理論價格之間動態(tài)變化形成的價格周期性下行的機制無法實現(xiàn)；利率失靈加劇了實體經(jīng)濟和房地產(chǎn)價格趨勢的背離，使房地產(chǎn)與實體經(jīng)濟的結(jié)構(gòu)性失衡惡化，二者之間相對價格的變化機制無法實現(xiàn)；中國特色的貨幣政策傳導(dǎo)渠道使房價周期產(chǎn)生強烈的政策性或者外生性，在房價上漲階段銀行自主信貸約束動機弱化，房價周期無法以銀行信用自住緊縮為內(nèi)在機制形成；2005 年以后的價格波動頻繁，是由于在利率失靈條件下，房價變化對利率的彈性減少，對廣義貨幣量的彈性增加，市場穩(wěn)定性降低，價格容易受到流動性沖擊。房價在缺乏利率彈性前提下的上漲產(chǎn)生兩個重要的后果：首先導(dǎo)致無房者的福利相對下降；其次是銀行風(fēng)險積累。論文回顧和評價了房地產(chǎn)市場調(diào)控的歷程。低利率和流動性問題外生于房地產(chǎn)行業(yè)，與貨幣政策和宏觀經(jīng)濟環(huán)境密切聯(lián)系，卻成為影響房價正常波動的重要的內(nèi)在原因。在這樣的情況下，如果僅僅著眼于針對房地產(chǎn)行業(yè)的局部調(diào)控，問題根本卻出在經(jīng)濟全局，短期行政措施也難以產(chǎn)生長期持續(xù)的效果。在現(xiàn)階段，穩(wěn)定預(yù)期是主要的房地產(chǎn)調(diào)控政策。對房地產(chǎn)周期波動，主要控制由于銀行信貸帶來的金融風(fēng)險。最后提出主要結(jié)論和政策建議。長期而言，構(gòu)建具有合理定價機制的房地產(chǎn)市場是我國房地產(chǎn)業(yè)發(fā)展的必然選擇，制度建設(shè)是長期穩(wěn)定發(fā)展的基礎(chǔ)。提出推進金融體系改革和利率市場化、發(fā)展和完善房地產(chǎn)市場、增加金融供給穩(wěn)定長期投資、推進房產(chǎn)稅改革等幾個方面的政策含義。關(guān)鍵詞：房地產(chǎn)周期；利率失靈；變參數(shù)模型；貨幣沖擊IIIAbstractSince the 1980s, the global real estate market has been a spate of large fluctuations of theexpansion and contraction. Chinas real estate market started in 1987 and finished themarket-oriented distribution in 1998. In a short period of twenty years house prices expandedrapidly in the fluctuations. Especially after 2003, most urban housing prices continued to rise,triggering a huge debate on the real estate bubble. During the 2008 financial crisis, pricesexperienced short-term volatility fluctuation,in hand with a series of regulatory policies on realestate prices in China. From the historical experience of some developed countries, the volatility ofhouse prices brought about a huge threat to macroeconomic stability and even leaded to a prolongedrecession. This put higher demands on market regulation and supervision. Chinas experience inmarket regulation shows that the effect of mere use of monetary policy on the market is not obvious.The government had to take direct administrative interventions. The rationality of these measureshas been the vexed issue of the theoretical circle.Focusing on Chinas real Prices estate cycle, the thesis analyzes the theoretical and empiricalintrinsic links between these phenomena.The thesis measured and interpretated the real estate price cycles, compared with foreign realestate cycle, analyzed the relationship between real estate cycle, macroeconomic, stock marketcycles and inflation cycle, made specific characterization of the characteristics of fluctuations in thereal estate price cycles, summarized typical facts on the characteristics of price cycles fluctuations.The results show that Chinas housing prices have high frequency of cyclical fluctuations. Pricesrises rigidly, the mid-cycle does not exist., There are leading and lag relationships between the Pricecycles, consumer price cycles and the stock price cycles. There is a significant correlation betweenthe positioning of the real estate in the macroeconomic policy and prices.The paper analyzes the causes of growth and volatility of Chinas housing prices cycle. Realestate prices continue to rise by institutional innovation, economic growth, industrialization andurbanization, excess liquidity factors. The paper established a general equilibrium-cycle model withconsumption habit formation and capital adjustment costs, explained that the price fluctuations arecaused by the mechanism of micro-investment and consumer behavior. Higher real estateconsumption habit formation makes the representative family transforms smaller fluctuations of themarginal utility of real estate into larger price fluctuations. Due to the presence of adjustment costs,investment fluctuations lead to price fluctuations. When the total output changes, the representationfamily tends to change it into the variation in investment rather than current consumption changes.Interest rates, credit growth, money supply have an important influence on the fluctuations inthe price cycle. They also lead to cyclical fluctuations of the real estate industry in recent years.IVOn the basis of theoretical analysis, the paper established a varying parameter model to analyze theinteraction between interest rates the credit, investment and money supply and real estate pricecycles in the different stages. From the empirical results, the impact of changes in interest rates onhouse prices is very small. This isnt consistent with the theoretical analysis. The interest rateadjustment mechanism in prices cycle fluctuations failure. There is a stable consistency betweenbank credit and price cycles. The impact of bank credit to the price cycle is less than the moneysupply. Elasticity of money supply is the highest in 1998 and reached the lowest value in 2005.After 2005 the money supply played enhanced role in promoting the growth in house prices. Moneysupplys impact on prices is greater than the impact on investment funds by way outside of the realestate investment.Therefore, we believe that our long-term real interest rates are low and this brought strongupward momentum to house prices. Under low interest rates, the banks real estate allocation ofcredit resources lacks of capital cost constraints. The dynamic adjustment mechanism between thereal estate industry and other industries lack bank credit as an intermediary. The small changes ofinterest rates at a low level make too small changes to investor decisions to make a substantial turnin the market so that fluctuations mechanism in the price cycle can not be achieved. This is why thereal estate regulation adopted direct administrative control measures. If the interest rate under thelong-term control can not reach the equilibrium interest rate where the money supply and demandare equal, the price fluctuations will lose stable base. Price fluctuations after 2005 is, the results ofthe liquidity shock in the interest rate failure conditions. Currency by resident investments, hotmoney and bank credit channels put impact on the real estate market led to a substantial increasein short-term fluctuations.High prices under the lack of interest rate elasticity have two important consequences. First,this led to the welfare of those without housing relatively declined. Due to the price continued torise rapidly with lack of interest rate elasticity , the behavior of buyers lacked the cost constraints,the initial allocation of housing wealth and income-determined housing affordability are the mainconstraints of the housing investment decisions. Rising house prices cycle resulted in the therelative welfare gap between housing and no housing continued to widen. The bank risk isaccumulated. Weakening of the investment cost constraints, the credit risk of banks is difficult toaccurately assess. Once the real interest rates rise, the cost of capital constraints of borrowersstrengthened, the potential risks of the bank exposure and may pose a threat to financial stability.The paper reviewed and evaluated the course of the real estate market regulation. With the lack offlexibility of real estate price changes, the market is in serious lack of stability and vulnerable to theimpact of the potential supply of money under certain conditions. In this context, the response of theVreal estate market for short-term government intervention is often excessive, The price either rosetoo fast or falled back too excessively. Stable expectation is the main real estate control policyoptions at this stage. With regard to fluctuations in the real estate cycle, the policy should mainlycontrol the financial risks due to bank credit.Finally, the paper put forward the main conclusions and policy recommendations. In the longrun, building a real estate market with a reasonable pricing mechanism is the inevitable choice ofChinas real estate development. Institution building is a long-term and stable basis for thedevelopment. We should push forward the development of financial system reform and interest ratemarkets, improve the real estate market, increase the financial supply, stabilize long-terminvestment, and promote property tax reform as the main institution construction measures.Keywords: Real estate cycle. Interest rates failures. Varying parameter model. Monetary shocksVI目 錄1.緒論 . 11.1 研究背景和意義.11.2 研究內(nèi)容.31.3 研究方法.41.4 研究框架.41.5 可能的創(chuàng)新之處.52.文獻綜述 . 72.1 國外研究.72.1.1 房地產(chǎn)周期的定義和性質(zhì).72.1.2 房地產(chǎn)周期存在性及測度.92.1.3 房地產(chǎn)周期的類型.102.1.4 不同國家與地區(qū)房地產(chǎn)周期的比較. 112.1.5 房地產(chǎn)周期影響因素.122.1.6 房地產(chǎn)調(diào)控政策.162.2 國內(nèi)研究.182.2.1 房地產(chǎn)周期測度.182.2.2 房地產(chǎn)周期劃分.182.2.3 房地產(chǎn)周期影響因素.182.3 評述.193.中國房地產(chǎn)價格周期波動特征 . 253.1 周期測度與解讀.253.1.1 方法說明與指標確定.253.1.2 分析過程與結(jié)果.263.1.3 房地產(chǎn)價格周期解讀.303.1.4 房地產(chǎn)價格增長階段劃分.353.1.5 房地產(chǎn)價格合理性的判斷.353.1.6 房地產(chǎn)價格周期特征小結(jié).363.2 中外房地產(chǎn)周期比較.37VII3.2.1 世界房地產(chǎn)周期概況與特征.373.2.2 中美房地產(chǎn)周期比較.403.2.3 新加坡房地產(chǎn)周期及其借鑒意義.443.3 房價周期與宏觀經(jīng)濟周期、股市周期、通貨膨脹周期的關(guān)系.463.3.1 房地產(chǎn)周期與宏觀經(jīng)濟周期的互動關(guān)系.463.3.2 房地產(chǎn)周期與股市周期、通貨膨脹周期相關(guān)性分析.483.4 中國房地產(chǎn)價格周期波動特征典型事實.524.中國房地產(chǎn)價格周期波動的成因 . 544.1 基于供給與需求的房價上漲趨勢的一般解釋與評價.544.1.1 房價周期增長趨勢的主要原因.544.1.2 政府干預(yù)造成人為繁榮的評價.554.2 基于利率、銀行信貸和貨幣供給的解釋.574.2.1 價格形成與周期性變化的理論假設(shè).574.2.2 國際經(jīng)驗與啟示.624.2.3 實證分析.654.3 房價周期波動的成因解釋.755. 房地產(chǎn)價格周期波動效應(yīng) . 805.1 財富效應(yīng).805.1.1 財富效應(yīng)的定義.805.1.2 房地產(chǎn)財富效應(yīng)作用機制.805.1.3 實證數(shù)據(jù).815.1.4 結(jié)論與啟示.825.2 信貸風(fēng)險.835.2.1 銀行信貸風(fēng)險與房價周期的互動過程.835.2.2 信貸風(fēng)險產(chǎn)生的原因.846. 房地產(chǎn)調(diào)控政策 . 866.1 房地產(chǎn)調(diào)控的理論依據(jù).866.1.1 自然壟斷和制度壟斷.866.1.2 利率失靈.86VIII6.1.3 價格波動的負效應(yīng).866.2 房地產(chǎn)調(diào)控體系.876.2.1 調(diào)控目標.876.2.2 調(diào)控手段.876.2.3 調(diào)控機制.886.3 房地產(chǎn)調(diào)控政策回顧與評價.886.3.1 2003 年以前的調(diào)控政策.896.3.2 2003 年以后的調(diào)控政策.896.4 美國房地產(chǎn)調(diào)控的主要做法.906.5 完善房地產(chǎn)調(diào)控政策.917. 結(jié)論與建議 . 927.1 主要結(jié)論.927.2 政策建議.937.3 需完善之處.95參考文獻 . 96附錄 . 103圖表索引 . 108在讀博士期間發(fā)表的論文、專著和承擔的科研項目清單 . 110后 記 . 11111.緒論1.1 研究背景和意義經(jīng)濟周期是宏觀經(jīng)濟學(xué)一個重要的研究領(lǐng)域，房地產(chǎn)周期是經(jīng)濟周期的重要組成部分。已有的大量研究結(jié)果表明：房地產(chǎn)周期是客觀存在的。學(xué)術(shù)界最早研究房地產(chǎn)周期可以追朔到20世紀30年代，Wesley Mitchell是美國房地產(chǎn)周期的理論基礎(chǔ)和實證研究的開創(chuàng)者，建立了較為堅實的知識體系。與此同時，房地產(chǎn)周期也是土地經(jīng)濟研究的核心議題之一，成為城市土地經(jīng)濟學(xué)科的重要組成部分，也是房地產(chǎn)金融與房地產(chǎn)投資等學(xué)科的基礎(chǔ)。在早期的研究以后，房地產(chǎn)周期一直被學(xué)術(shù)界與實業(yè)界所忽視，直到最近30年。20 世紀 90 年代之前，國外對房地產(chǎn)周期研究遵循“識別、解釋、檢驗、預(yù)測”的傳統(tǒng)范式。20 世紀 90 年代之后，由于發(fā)達國家資本市場的進一步發(fā)展和世界金融市場的形成，以及資產(chǎn)組合理論的應(yīng)用，引發(fā)了“投資導(dǎo)向”型房地產(chǎn)周期研究的出現(xiàn)1。因為資產(chǎn)呈現(xiàn)出表面波動下的周期行為，使用房地產(chǎn)周期測度作為一種工具來做出適時資產(chǎn)組合投資決策對投資者產(chǎn)生極大興趣。國際房地產(chǎn)市場在 1980 年代后期和 1990 年代早期、亞洲金融危機期間和美國次貸危機前后經(jīng)歷了三次全球性房地產(chǎn)周期。周期下行階段伴隨著資產(chǎn)價格泡沫的破裂和房地產(chǎn)投資者的負回報，這對宏觀政策制定者和房地產(chǎn)投資者提出了一系列需要解決的問題，例如：目前房地產(chǎn)處于周期的什么階段，下一個周期下行階段何時到來，會下降到怎樣的程度?！耙驗橹芷趯τ诜康禺a(chǎn)收益的永久性和動態(tài)性的影響，房地產(chǎn)周期已成為了房地產(chǎn)投資歷史上決定投資成敗重要的潛在原因，一定時間的風(fēng)險和投資價值的影響不能被忽略或者過于簡單化對待?！?。因為這樣的認知，隨著房地產(chǎn)成為受越來越多投資者關(guān)注的資產(chǎn)類型，房地產(chǎn)投資者日益強調(diào)房地產(chǎn)周期理論和實證分析的戰(zhàn)略和決策含義。以 1987 年為起點，中國房地產(chǎn)市場距今僅有 24 年的發(fā)展歷史，與