發(fā)布時(shí)間：2018-05-12 17:41

  本文選題：家庭債務(wù) + 房?jī)r(jià)　； 參考：《湘潭大學(xué)》2017年碩士論文

【摘要】：自1998年我國(guó)實(shí)行住房商品化改革以來(lái),我國(guó)房?jī)r(jià)和家庭債務(wù)均經(jīng)歷了一個(gè)較為迅速的增長(zhǎng)過(guò)程,商品房平均銷售價(jià)格從2000年的2112元上漲到2015年的6792元,正規(guī)金融市場(chǎng)上的家庭債務(wù)則從1997的172億元猛增至2016年的25萬(wàn)億元。飛速上漲的房?jī)r(jià)和不斷擴(kuò)張的住房抵押貸款引發(fā)了有關(guān)住房泡沫化和對(duì)中國(guó)版“次貸危機(jī)”的隱憂。這種擔(dān)憂不無(wú)道理,起源于美國(guó)次貸危機(jī)的金融危機(jī)已經(jīng)向世人展示了金融市場(chǎng)和房地產(chǎn)市場(chǎng)的密切聯(lián)系。房地產(chǎn)建設(shè)具有開發(fā)周期長(zhǎng)、資本密集等特點(diǎn),近二十年來(lái)我國(guó)房地產(chǎn)市場(chǎng)的發(fā)展離不開金融市場(chǎng)的信貸支持,1997年以來(lái)家庭消費(fèi)信貸和住房抵押貸款的發(fā)展是我國(guó)房地產(chǎn)市場(chǎng)蓬勃發(fā)展的重要推動(dòng)力,而房?jī)r(jià)的上漲也是家庭債務(wù)增長(zhǎng)的重要?jiǎng)恿ΑｉL(zhǎng)期以來(lái),家庭債務(wù)和房?jī)r(jià)變動(dòng)之間形成了較強(qiáng)的雙向驅(qū)動(dòng)的自我強(qiáng)化關(guān)系,這種自我強(qiáng)化關(guān)系的形成在房?jī)r(jià)發(fā)生劇烈波動(dòng)時(shí)可能會(huì)對(duì)金融穩(wěn)定乃至整個(gè)宏觀經(jīng)濟(jì)形成沖擊。因此,考查家庭債務(wù)和房?jī)r(jià)波動(dòng)之間的自我強(qiáng)化及其對(duì)金融穩(wěn)定的影響具有重要的現(xiàn)實(shí)意義。本文基于米什金的金融不穩(wěn)定性理論、家庭債務(wù)理論、金融加速器理論和債務(wù)-通縮理論等理論基礎(chǔ),綜合運(yùn)用理論與實(shí)證相結(jié)合的方法,選取1997-2016年以來(lái)我國(guó)的宏觀經(jīng)濟(jì)季度數(shù)據(jù),從金融穩(wěn)定性視角考察中國(guó)家庭債務(wù)與房?jī)r(jià)波動(dòng)之間的長(zhǎng)短期動(dòng)態(tài)關(guān)系及自我強(qiáng)化機(jī)制。本文首先對(duì)家庭債務(wù)和房?jī)r(jià)波動(dòng)之間變動(dòng)關(guān)系及其影響的相關(guān)理論基礎(chǔ)進(jìn)行了梳理,并對(duì)近二十年來(lái)我國(guó)家庭債務(wù)和房?jī)r(jià)變動(dòng)的典型事實(shí)進(jìn)行了較為細(xì)致的描述性統(tǒng)計(jì),對(duì)家庭債務(wù)和房?jī)r(jià)波動(dòng)的一致性展開了分析,并在此基礎(chǔ)上構(gòu)建了家庭債務(wù)和房?jī)r(jià)變動(dòng)之間的理論模型,進(jìn)一步提出了本文的研究假設(shè)。通過(guò)構(gòu)建多元GARCH-BEKK模型,將銀行不良貸款作為金融穩(wěn)定的代理指標(biāo),就家庭債務(wù)和房?jī)r(jià)變動(dòng)之間所存在的自我強(qiáng)化效應(yīng)以及這種自我增強(qiáng)效應(yīng)對(duì)金融穩(wěn)定的影響進(jìn)行了實(shí)證檢驗(yàn)。本文的實(shí)證結(jié)果表明:(1)家庭債務(wù)和房?jī)r(jià)波動(dòng)之間存在著雙向驅(qū)動(dòng)的自我強(qiáng)化效應(yīng),家庭債務(wù)每增加1%,房屋銷售價(jià)格指數(shù)將上升0.01%,而當(dāng)房?jī)r(jià)上漲1%時(shí),家庭債務(wù)余額將會(huì)增加0.04%,房?jī)r(jià)波動(dòng)和家庭債務(wù)余額波動(dòng)以及二者的聯(lián)合波動(dòng)均存在較強(qiáng)的ARCH效應(yīng)和GARCH效應(yīng)。(2)家庭債務(wù)和房?jī)r(jià)波動(dòng)之間的自我強(qiáng)化效應(yīng)在房?jī)r(jià)波動(dòng)時(shí)會(huì)對(duì)金融穩(wěn)定產(chǎn)生放大的加速器作用,家庭債務(wù)余額變動(dòng)和房?jī)r(jià)波動(dòng)以及二者所形成聯(lián)合波動(dòng)是影響金融穩(wěn)定的重要因素。(3)銀行等金融機(jī)構(gòu)對(duì)不良貸款的變動(dòng)存在明顯的反饋機(jī)制,這種反饋機(jī)制的存在會(huì)對(duì)房?jī)r(jià)變動(dòng)和家庭消費(fèi)信貸供給形成影響,而家庭債務(wù)和房?jī)r(jià)的自我增強(qiáng)效應(yīng)則起到了放大房?jī)r(jià)沖擊的作用。本文的研究對(duì)于深入理解房地產(chǎn)市場(chǎng)和金融市場(chǎng)的互動(dòng)關(guān)系及其潛在影響具有重要意義,能夠?yàn)檎姆康禺a(chǎn)市場(chǎng)調(diào)控和金融市場(chǎng)規(guī)制提供一定的政策借鑒,有助于防范房地產(chǎn)泡沫化和信貸無(wú)限擴(kuò)張所帶來(lái)的系統(tǒng)性金融風(fēng)險(xiǎn)。針對(duì)我國(guó)房地產(chǎn)市場(chǎng)、家庭債務(wù)市場(chǎng)和金融穩(wěn)定的現(xiàn)實(shí)情況,結(jié)合文本的研究結(jié)論,本文就我國(guó)房地產(chǎn)市場(chǎng)調(diào)控、家庭消費(fèi)信貸政策以及維護(hù)金融穩(wěn)定等提出了一系列具有針對(duì)性的政策建議。
[Abstract]:Since the reform of housing commercialization in China in 1998, China's house price and family debt have experienced a rapid growth process, the average sales price of commercial housing rose from 2112 yuan in 2000 to 6792 yuan in 2015, and the family debt in the regular financial market increased from 1997 to 25 trillion yuan in 2016. Housing prices and expanding housing mortgage loans have triggered housing bubbles and the Chinese version of the "subprime crisis". This is a concern. The financial crisis, originated from the United States subprime mortgage crisis, has shown the world a close link between the financial market and the real estate market. Real estate has a long development cycle, capital In the past twenty years, the development of the real estate market in China is inseparable from the credit support of the financial market. Since 1997, the development of household consumption credit and housing mortgage loan is an important driving force for the vigorous development of the real estate market in China, and the rise of the house price is also an important driving force for the growth of family debt. There is a strong two-way driving self strengthening relationship with the change of house prices. The formation of this self strengthening relationship may impact on financial stability and the whole macro-economy when the house price fluctuates violently. Therefore, it is important to examine the self strengthening of the family debt and the fluctuation of house price and its impact on the financial stability. On the basis of Mishkin's theory of financial instability, family debt theory, financial accelerator theory and debt deflation theory, this paper uses a combination of theory and empirical method to select the quarterly data of China's macro-economy for 1997-2016 years and investigate the Chinese family debt from the perspective of financial stability. The dynamic relationship between the long and short period of the house price fluctuation and the self strengthening mechanism. This paper first reviews the relationship between the fluctuation of family debt and the fluctuation of house price and the theoretical basis of its influence, and makes a more detailed descriptive statistics on the typical facts of the changes of family debt and house prices in China in the last twenty years, and the family debt. On the basis of the analysis, the theoretical model between family debt and house price changes is built on this basis, and the research hypothesis of this paper is further proposed. By building a multiple GARCH-BEKK model, the bank's bad loan is regarded as the proxy of financial stability, and the existence of the family debt and the change of house price is existed. The self reinforcement effect and the effect of this self enhancement effect on financial stability are empirically tested. The empirical results show that: (1) there is a two-way driving self strengthening effect between family debt and house price fluctuations, home debt increases by 1%, the housing sales index will rise by 0.01%, and when house prices rise by 1%, families The debt balance will increase by 0.04%, the fluctuation of house price and the fluctuation of family debt balance and the joint fluctuation of the two parties all have strong ARCH effect and GARCH effect. (2) the self strengthening effect between family debt and house price fluctuation will enlarge the accelerator effect on financial stability, the change of family debt balance and house price wave in the fluctuation of house price. The joint volatility formed by the movement and the two parties is an important factor affecting the financial stability. (3) there is a clear feedback mechanism for the change of non-performing loans by banks and other financial institutions. The existence of this feedback mechanism will affect the change of house prices and the supply of household consumption credit, and the self enhancement effect of family debt and house prices has been magnified. The study of this paper is of great significance to understanding the interactive relationship between the real estate market and the financial market and its potential impact. It can provide some policy reference for the government's real estate market regulation and financial market regulation, and help to prevent the system brought by the real estate bubble and the unlimited expansion of credit. In view of the real situation of the real estate market, the family debt market and the financial stability in China, this paper puts forward a series of pertinent policy suggestions on the regulation of the real estate market, the policy of household consumption credit and the maintenance of the financial stability in combination with the conclusion of the study of the text.

【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F299.23;F126

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本文編號(hào)：1879529