【正文】 system is confronted due to the influence of singlesector marketrisk of real estate. The correlations between different sections of economic system lead to theexplosion of systematical risk of the economy,that is, the probability which price fluctuationof real estate industry arouses a series of loss in industries and system posed of industries.Actually, real estate risk infection is the process of the formation, swell and evaporation ofreal estate bubble. The essential features are manifested as randomness and abruptness,wealth effect, balance sheet effect, currency effect, and external effect. Real estate riskinfection is defined as the spillover effects of market risk generated from real estate industryrelative to other industries, or sectors, and macro economy.Secondly,the primary fields of real estate risk infection are relevant finance system andmacro sectors. The channel via which real estate risk infects finance system is influencingstability of bank credit system through credit expansion of bank system and liquidity,meantime, influencing stability of finance system through information asymmetry caused byreal estate price fluctuation and transmission of future information variation. The process ofreal estate risk infection in finance system is haply divided into three stages,that is, infectionamong individual financial institutions, bank systems and finance systems. The mechanism ofreal estate risk infection in finance system is manifested as impacting on finance industryowing to evaporation of price bubble of real estate assets, or infection mechanism of riskresult from real estate price fluctuation in bank system. Real estate risk infection amongmacro sectors influences macro economy mainly by influencing consumption, investment,output,employment, price inflation and money stock. The process of the influence of assetsprice bubble on economic stability can be divided into three stages, that is,real estate riskinfection among directly related industries, indirectly related industries, and the wholeeconomic system.Thirdly, seen from real estate risk infection in finance system, there is prehensiveand significant correlation between real estate market fluctuation and bank credit scale onmean and fluctuation, real estate risk has impacts on bank credit stability through mean andfluctuation simultaneously. In addition, observation on asymmetrical effect shows that, whenreal estate market price is downward, real estate risk is more likely to accumulate andmagnify,the impact on bank credit stability is the most significant at this moment.Fourthly, seen from real estate risk infection among macro sectors, based on the analysisof general equilibrium model of New Keynesian dynamic random, real estate risk infectionamong macroeconomic sectors is based on effect of wealth and balance sheet. Whereas,whenthe difference of effect of wealth and balance sheet between families and middle sectorsresults in that real estate risk originates in different sectors,the impact on macro economy isdiverse, namely that real estate risk has strong attribute of sector. Real estate pricefluctuations result from sector difference give rise to diverse infection mechanism andaffection degree in macroeconomic sectors. Tobin39。二是構(gòu)造了用于分析房地產(chǎn)風(fēng)險在宏觀經(jīng)濟(jì)部門之間傳染的完整分析框架。其中,房地產(chǎn)市場的托賓Q效應(yīng)主導(dǎo)了房地產(chǎn)價格波動在宏觀經(jīng)濟(jì)中的傳染過程,且房地產(chǎn)市場容易因企業(yè)部門突變的投資行為而造成房地產(chǎn)風(fēng)險的累積與爆發(fā)。此外,對非對稱效應(yīng)的考察結(jié)果表明,房地產(chǎn)市場處于價格下降通道時,房地產(chǎn)風(fēng)險更容易積聚放大,其對銀行信貸穩(wěn)定的影響也最為明顯。房地產(chǎn)風(fēng)險在宏觀部門間的傳染主要是通過影響消費(fèi)、投資和產(chǎn)出、就業(yè)、通貨膨脹和貨幣存量等因素而影響宏觀經(jīng)濟(jì)。第二,房地產(chǎn)風(fēng)險傳染的主要領(lǐng)域是與之密切聯(lián)系的金融體系和宏觀部門。學(xué)位論文作者簽名:f10/2年f M 曰中文摘要本文以房地產(chǎn)風(fēng)險傳染為研究對象,基于國內(nèi)外相關(guān)文獻(xiàn)研究以及房地產(chǎn)風(fēng)險傳染造成的現(xiàn)實(shí)影響兩個層面,概括了房地產(chǎn)風(fēng)險傳染的本質(zhì)及其特征,系統(tǒng)地分析了房地產(chǎn)風(fēng)險在金融體系、宏觀經(jīng)濟(jì)中傳染的渠道、過程和機(jī)制。保密論文待解密后適用本^明。學(xué)校有權(quán)保留并向國家有關(guān)部門或機(jī)構(gòu)送交論文的復(fù)印件和電子版。本人允許論文被查閱和借閱。學(xué)位論文作者簽名:等他承指導(dǎo)教師簽名:2^12年義月3曰 …n^. ?月〈曰西北大學(xué)學(xué)位論文獨(dú)創(chuàng)性聲明本人聲明:所呈交的學(xué)位論文是本人在導(dǎo)師指導(dǎo)下進(jìn)行的研究工作及取得的研究成果。在此基礎(chǔ)上,一方面使用VARMVGARCHAsymmetricBEKK模型,從溢出效應(yīng)視角驗(yàn)證了我國房地產(chǎn)市場價格和銀行信貸之間的聯(lián)動關(guān)系以及我國房地產(chǎn)風(fēng)險在銀行體系的傳染效應(yīng)。房地產(chǎn)風(fēng)險在金融體系中的傳染主要是通過影響銀行體系的流動性而對銀行信貸體系的穩(wěn)定性形成沖擊,同時房地產(chǎn)價格波動通過加劇信息不對稱以及傳遞未來信息變化而影響金融體系的穩(wěn)定性。這一過程可以分為三個階段:房地產(chǎn)風(fēng)險在直接相關(guān)產(chǎn)業(yè)間的傳染、在間接相關(guān)產(chǎn)業(yè)間的傳染、在整個國民經(jīng)濟(jì)體系中的傳染。第四,從房地產(chǎn)風(fēng)險在宏觀部門中的傳染來看,房地產(chǎn)風(fēng)險在宏觀經(jīng)濟(jì)部門之間的傳染是基于財富效應(yīng)和資產(chǎn)負(fù)債表效應(yīng)。同時,房地產(chǎn)市場與宏觀經(jīng)濟(jì)之間相關(guān)性較強(qiáng),波動性較大,但這種相關(guān)性并未在過去十多年間發(fā)生顯著的突變。論文構(gòu)建了包含房地產(chǎn)部門在內(nèi)的新凱恩斯動態(tài)隨機(jī)一般均衡理論模型,利用參數(shù)校準(zhǔn)方法分析了房地產(chǎn)風(fēng)險對宏觀經(jīng)濟(jì)的動態(tài)影響特征和作用傳染機(jī)制。s Q effect plays a pivotal role in theinfection process of real estate price fluctuation in macro economy。這種波動被證明對金融系統(tǒng)及宏觀經(jīng)濟(jì)具有顯著的影響效應(yīng),特別是房地產(chǎn)市場在資產(chǎn)價格膨脹與崩饋的循環(huán)過程中通常伴隨著金融危機(jī)和宏觀經(jīng)濟(jì)的不穩(wěn)定,使得資產(chǎn)價格波動對金融體系、宏觀經(jīng)濟(jì)以及宏觀經(jīng)濟(jì)政策的影響逐漸為學(xué)術(shù)界和各國政策當(dāng)局所關(guān)注。特別是2008年美國房地產(chǎn)價格泡沫破裂引發(fā)的次貸危機(jī)及金融危機(jī),不但對全球金融市場造成了巨大的沖擊,而且對全球經(jīng)濟(jì)的穩(wěn)定產(chǎn)生了巨大的影響。1| 自從2003年以來,隨著經(jīng)濟(jì)的復(fù)蘇、繁榮,房地產(chǎn)業(yè)的資產(chǎn)價格也一路飆升,盡管中央政府進(jìn)行了一系列嚴(yán)厲的調(diào)控,但房價越調(diào)越高,而自2010年以來的持續(xù)不斷的調(diào)控,使得房價逐漸回落,房價拐點(diǎn)已初現(xiàn)端悅。特別是金融體系復(fù)雜程度的提高以及全球經(jīng)濟(jì)面臨的不確定性帶來的風(fēng)險,使得房地產(chǎn)業(yè)快速信貸擴(kuò)張導(dǎo)致貸款質(zhì)量惡化、以及資本配置不當(dāng)和產(chǎn)生資產(chǎn)價格泡沫。國外已有研究的基本結(jié)論是:第一,隨著金融體系的發(fā)展尤其是資本市場的深化,財富效應(yīng)、托賓Q效應(yīng)在多數(shù)國家呈現(xiàn)上升趨勢。因此,要把握房地產(chǎn)價格波動導(dǎo)致的風(fēng)險對金融體系以及宏觀經(jīng)濟(jì)穩(wěn)定性的影響,就需要考察其風(fēng)險與銀行信貸、消費(fèi)、投資、通貨膨脹等宏觀經(jīng)濟(jì)變量之間的聯(lián)系及其影響強(qiáng)弱和大小。本論文試圖在己有研究的基礎(chǔ)上,重點(diǎn)就以上兩個問題進(jìn)行初步的研究。*國際貨幣基金組織:中國金融體系脆弱性增加面臨房價下跌風(fēng)險.2 西北大學(xué)博士學(xué)位論文
房地產(chǎn)風(fēng)險在金融體系與宏觀經(jīng)濟(jì)部門中的傳染對金融體系以及宏觀經(jīng)濟(jì)的穩(wěn)定造成沖擊已為理論研究和實(shí)踐所強(qiáng)調(diào)。房地產(chǎn)風(fēng)險的形成機(jī)制與影響因素在不同歷史時期、不同國家,其特點(diǎn)是不一樣的。雖然美國次貸危機(jī)已經(jīng)慢慢褪去,各國金融業(yè)和宏觀經(jīng)濟(jì)也已從次貸危機(jī)的沖擊中逐漸恢復(fù),但新的危機(jī)或許正在潛伏,必須在徹底剖析房地產(chǎn)風(fēng)險如何產(chǎn)生的基礎(chǔ)上準(zhǔn)確把握其風(fēng)險傳染的機(jī)制,才可以在風(fēng)險到來時根據(jù)其傳染機(jī)制的特質(zhì)來制定有的放矢的宏觀經(jīng)濟(jì)、金融政策,保持金融系統(tǒng)和實(shí)體經(jīng)濟(jì)的穩(wěn)定性。. 2研究方法論文綜合運(yùn)用規(guī)范分析與實(shí)證分析、定性分析與定量分析進(jìn)行理論探討和實(shí)證檢驗(yàn)。二是針對數(shù)理模型的局限性,結(jié)合中國經(jīng)濟(jì)的現(xiàn)實(shí)特征,使用演擇方法進(jìn)行全面分析。二是對我國房地產(chǎn)市場價格和銀行信貸之間的聯(lián)動關(guān)系、我國房地產(chǎn)風(fēng)險在金融體系的傳染效應(yīng),以及房地產(chǎn)風(fēng)險在宏觀部門傳染的直接效應(yīng)和間接效應(yīng)進(jìn)行驗(yàn)證。選擇包含房地產(chǎn)部門的新凱恩斯動態(tài)隨機(jī)一般均衡模型(NewKeyesian DynamicStochastic General Equilibrium Model,NKDSGE)從理論層面刻畫房地產(chǎn)風(fēng)險傳染的機(jī)制,并采用結(jié)構(gòu)化向量自回歸模型、ABEK模型對房地產(chǎn)風(fēng)險在宏觀部門傳染的直接效應(yīng)和間接效應(yīng)進(jìn)行驗(yàn)證。闡述房地產(chǎn)風(fēng)險傳染機(jī)制和動態(tài)效應(yīng)研究的理論和現(xiàn)實(shí)背景,進(jìn)而介紹從資產(chǎn)價格波動角度研究房地產(chǎn)風(fēng)險傳染的重要理論意義和現(xiàn)實(shí)意義,最后指出論文研究的對象及研究方法等內(nèi)容。三是從房地產(chǎn)風(fēng)險對消費(fèi)與投資的影響、以及對銀行信貸增長、利率、通貨膨脹與經(jīng)濟(jì)增長的影響幾個方面對其在宏觀部門的傳染效應(yīng)進(jìn)行述評。其次,從銀行體系的信貸規(guī)模、信息不對稱以及