【正文】 的再檢驗(yàn) 77 BEKK計(jì)量經(jīng)濟(jì)模型的建立 77 79 79 ^ 81第七章房地產(chǎn)風(fēng)險(xiǎn)傳染旳防范及控制 83 83 83 85 87=考 3? 89viii 西北大學(xué)博士學(xué)位論文
第一章緒論20世紀(jì)70年代末以來,隨著金融自由化和資本市場(chǎng)全球化程度的不斷深入,工業(yè)化國家經(jīng)歷了明顯的資產(chǎn)價(jià)格上漲趨勢(shì)。s Q effect plays a pivotal role in theinfection process of real estate price fluctuation in macro economy。這些模型分別研究了房地產(chǎn)風(fēng)險(xiǎn)在均值和波動(dòng)層面的傳染特征,從不同角度分析了房地產(chǎn)風(fēng)險(xiǎn)在宏觀經(jīng)濟(jì)中的傳染效應(yīng)與聯(lián)動(dòng)關(guān)系。論文構(gòu)建了包含房地產(chǎn)部門在內(nèi)的新凱恩斯動(dòng)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(xiǎn)對(duì)宏觀經(jīng)濟(jì)的動(dòng)態(tài)影響特征和作用傳染機(jī)制。不僅能夠有效地反映房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)變化、銀行信貸變化所帶來的差異化效應(yīng),而且能夠更加深入和全面地理解房地產(chǎn)風(fēng)險(xiǎn)傳染對(duì)金融體系的影響。同時(shí),房地產(chǎn)市場(chǎng)與宏觀經(jīng)濟(jì)之間相關(guān)性較強(qiáng),波動(dòng)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。由不同部門所造成的房地產(chǎn)價(jià)格的波動(dòng)會(huì)在宏觀經(jīng)濟(jì)各部門中有不同的傳染機(jī)制和不同的影響程度。第四,從房地產(chǎn)風(fēng)險(xiǎn)在宏觀部門中的傳染來看,房地產(chǎn)風(fēng)險(xiǎn)在宏觀經(jīng)濟(jì)部門之間的傳染是基于財(cái)富效應(yīng)和資產(chǎn)負(fù)債表效應(yīng)。第三,從房地產(chǎn)風(fēng)險(xiǎn)在金融體系中的傳染來看,房地產(chǎn)市場(chǎng)價(jià)格波動(dòng)與銀行信貸規(guī)模二者之間在均值和波動(dòng)兩個(gè)層面存在廣泛且顯著的關(guān)聯(lián)性,房地產(chǎn)風(fēng)險(xiǎn)能夠同時(shí)通過均值、波動(dòng)兩個(gè)層面對(duì)銀行信貸穩(wěn)定構(gòu)成影響和沖擊。這一過程可以分為三個(gè)階段:房地產(chǎn)風(fēng)險(xiǎn)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(gè)國民經(jīng)濟(jì)體系中的傳染。房地產(chǎn)風(fēng)險(xiǎn)在金融體系中的傳染機(jī)制表現(xiàn)為房地產(chǎn)泡沫的生成、膨脹和破滅對(duì)金融體系的影響。房地產(chǎn)風(fēng)險(xiǎn)在金融體系中的傳染主要是通過影響銀行體系的流動(dòng)性而對(duì)銀行信貸體系的穩(wěn)定性形成沖擊,同時(shí)房地產(chǎn)價(jià)格波動(dòng)通過加劇信息不對(duì)稱以及傳遞未來信息變化而影響金融體系的穩(wěn)定性。通過上述研究,論文得出的基本結(jié)論是:第一,房地產(chǎn)風(fēng)險(xiǎn)傳染的本質(zhì)是房地產(chǎn)市場(chǎng)風(fēng)險(xiǎn)帶來的沖擊對(duì)金融體系及宏觀經(jīng)濟(jì)的穩(wěn)定產(chǎn)生影響從而導(dǎo)致系統(tǒng)性風(fēng)險(xiǎn)爆發(fā)的過程,或者說是指房地產(chǎn)行業(yè)由于價(jià)格波動(dòng)導(dǎo)致的風(fēng)險(xiǎn)對(duì)于其它行業(yè)或者部門以及宏觀經(jīng)濟(jì)產(chǎn)生的溢出效應(yīng)。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(chǎng)價(jià)格和銀行信貸之間的聯(lián)動(dòng)關(guān)系以及我國房地產(chǎn)風(fēng)險(xiǎn)在銀行體系的傳染效應(yīng)。與我一同工作的同志對(duì)本研究所做的任何貢獻(xiàn)均已在論文中作了明確的說明并表示謝意。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。同時(shí)授權(quán)中國科學(xué)技術(shù)信息研究所等機(jī)構(gòu)將本學(xué)位論文收錄到《中國學(xué)位論文全文數(shù)據(jù)庫》或其它相關(guān)數(shù)據(jù)庫。本人允許論文被查閱和借閱。分類號(hào):F061學(xué)校代碼:10697密級(jí):公開 學(xué) 號(hào):200910022Northwest University博士字位論文DOCTORAL DISSERTATION房地產(chǎn)風(fēng)險(xiǎn)傳染機(jī)制及其動(dòng)態(tài)效應(yīng)研究一一基于資產(chǎn)價(jià)格波動(dòng)的視角學(xué)科名稱: 產(chǎn)業(yè)經(jīng)濟(jì)與投資西北大學(xué)學(xué)位評(píng)定委員會(huì)二〇一二年西北大學(xué)學(xué)位論文知識(shí)產(chǎn)權(quán)聲明書本人完全了解西北大學(xué)關(guān)于收集、保存、使用學(xué)位論文的規(guī)定。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。本人授權(quán)西北大學(xué)可以將本學(xué)位論文的全部或部分內(nèi)容編入有關(guān)數(shù)據(jù)庫進(jìn)行檢索,可以釆用影印、縮印或掃描等復(fù)制手段保存和匯編本學(xué)位論文。保密論文待解密后適用本^明。據(jù)我所知,除了文中特別加以標(biāo)注和致謝的地方外,本論文不包含其他人己經(jīng)發(fā)表或撰寫過的研究成果,也不包含為獲得西北大學(xué)或其它教育機(jī)構(gòu)的學(xué)位或證書而使用過的材料。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(xiǎn)傳染為研究對(duì)象,基于國內(nèi)外相關(guān)文獻(xiàn)研究以及房地產(chǎn)風(fēng)險(xiǎn)傳染造成的現(xiàn)實(shí)影響兩個(gè)層面,概括了房地產(chǎn)風(fēng)險(xiǎn)傳染的本質(zhì)及其特征,系統(tǒng)地分析了房地產(chǎn)風(fēng)險(xiǎn)在金融體系、宏觀經(jīng)濟(jì)中傳染的渠道、過程和機(jī)制。另一方面采用結(jié)構(gòu)化向量自回歸模型、ABEK模型對(duì)房地產(chǎn)風(fēng)險(xiǎn)在宏觀部門的傳染機(jī)制以及房地產(chǎn)風(fēng)險(xiǎn)傳染的直接效應(yīng)和間接效應(yīng)進(jìn)行了驗(yàn)證。第二,房地產(chǎn)風(fēng)險(xiǎn)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。其在金融體系中的傳染過程大致上可以分為在個(gè)別金融機(jī)構(gòu)間的傳染、在銀行體系間的傳染以及在金融體系間的傳染三個(gè)階段。房地產(chǎn)風(fēng)險(xiǎn)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)。房地產(chǎn)風(fēng)險(xiǎn)在宏觀部門中的傳染機(jī)制表現(xiàn)為房地產(chǎn)價(jià)格波動(dòng)在托賓Q效應(yīng)主導(dǎo)下的由行業(yè)風(fēng)險(xiǎn)向宏觀經(jīng)濟(jì)系統(tǒng)性風(fēng)險(xiǎn)的轉(zhuǎn)變。此外,對(duì)非對(duì)稱效應(yīng)的考察結(jié)果表明,房地產(chǎn)市場(chǎng)處于價(jià)格下降通道時(shí),房地產(chǎn)風(fēng)險(xiǎn)更容易積聚放大,其對(duì)銀行信貸穩(wěn)定的影響也最為明顯。但是財(cái)富效應(yīng)與資產(chǎn)負(fù)債表效應(yīng)在家庭和中間品生產(chǎn)部門中的差異導(dǎo)致二者會(huì)對(duì)宏觀經(jīng)濟(jì)產(chǎn)生不同的影響,即房地產(chǎn)風(fēng)險(xiǎn)具有很強(qiáng)的部門屬性。其中,房地產(chǎn)市場(chǎng)的托賓Q效應(yīng)主導(dǎo)了房地產(chǎn)價(jià)格波動(dòng)在宏觀經(jīng)濟(jì)中的傳染過程,且房地產(chǎn)市場(chǎng)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(xiǎn)的累積與爆發(fā)。論文可能的創(chuàng)新之處:一是同時(shí)從均值和波動(dòng)兩個(gè)層面來檢驗(yàn)房地產(chǎn)市場(chǎng)價(jià)格和銀行信貸二者之間的聯(lián)動(dòng)關(guān)系,將房地產(chǎn)市場(chǎng)價(jià)格上升或下降、銀行信貸擴(kuò)張或收縮所引起的非對(duì)稱效應(yīng)引入均值波動(dòng)模型,并對(duì)其進(jìn)行相關(guān)性分析。二是構(gòu)造了用于分析房地產(chǎn)風(fēng)險(xiǎn)在宏觀經(jīng)濟(jì)部門之間傳染的完整分析框架。此外,本文還使用結(jié)構(gòu)化向量自回歸模型(Structural Vector Auto Regression)、波動(dòng)溢出模型分析了房地產(chǎn)部門和宏觀經(jīng)濟(jì)之間的關(guān)聯(lián)關(guān)系。關(guān)鍵詞:房地產(chǎn)風(fēng)險(xiǎn)傳染,資產(chǎn)價(jià)格波動(dòng),金融體系,宏觀經(jīng)濟(jì)穩(wěn)定性AbstractThe research focuses on real estate risk infection,on the basis of the review on relevantliterature, defines the essence and feature of real estate risk infection. Besides, the papersystematically describes the process, channels and mechanism of the formation of real estaterisk and the infection in finance system and macro sectors. Specifically, on the one hand, byemploying VARMVGARCHAsymmetricBEKK model, tests the correlation between realestate market price and bank credit of China from the perspective of spillover effects, also theinfection effects of real estate risk in bank system. On the other hand, by employing SVARand ABEK model,the paper tests the infection mechanism of real estate risk in macro sectors,also the direct and indirect effects of real estate risk infection. The basic conclusion of theresearch is as follows:Firstly, the essence of real estate risk infection is the risk and probability of impacts withwhich the whole economic 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 industr