家庭部门去杠杆政策的比较分析
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摘要
本文将房产和与其相关的家庭债务置于一个动态随机一般均衡(DSGE)模型,分析了货币政策、房产税、动态贷款价值比(LTV)等政策对降低家庭债务杠杆的有效性。研究发现:(1)虽然利率上调能减少真实的抵押债务冲击,但是可能会引起家庭债务收入比上升。(2)动态贷款价值比对降低家庭债务是最有效且成本最低的政策选择,其次是增加房产税和上调短期利率。(3)动态贷款价值比由于主要针对房产部门,因而对经济负面效应最小,然而其适用范围过于狭窄,并不能充分解决家庭部门债务问题;尽管房产税会影响所有房产所有者,然而只能直接影响房产部门,而货币政策则会对所有房产部门和非房产部门均产生影响,因而对产出的负面效应最大。稳健性分析结果和基准模型一样,这三个政策在减少家庭债务方面的有效性基本排序不变。
This paper puts the property and its related household debt into a DSGE model framework,and analyzes the effectiveness of policies such as monetary policy,property tax,and dynamic loan value ratio to reduce household debt leverage.The study found that:(1)Although the interest rate increase can reduce the real mortgage debt shock,it may cause the household debt income ratio to rise;(2)The dynamic loan value comparison is the most effective and lowest cost policy choice to reduce household debt,followed by increasing the property tax and raising the short-term interest rate;(3)The dynamic loan value ratio has the least negative impact on the economy because it is mainly targeted at the real estate sector.However,its scope of application is too narrow and cannot fully solve the debt problem of the household sector.Although property taxes affect all property owners,they can only directly affect the property sector;monetary policy has an impact on all property sectors and non-real estate sectors,and thus has the greatest negative impact on output.To this end,when adopting specific response policies,it is necessary to review the situation and adopt a flexible policy mix according to the specific scale of household debt.The results of the robustness analysis are the same as the benchmark model,and the basic order of effectiveness of these three policies in reducing household debt remains unchanged.
This paper puts the property and its related household debt into a DSGE model framework,and analyzes the effectiveness of policies such as monetary policy,property tax,and dynamic loan value ratio to reduce household debt leverage.The study found that:(1)Although the interest rate increase can reduce the real mortgage debt shock,it may cause the household debt income ratio to rise;(2)The dynamic loan value comparison is the most effective and lowest cost policy choice to reduce household debt,followed by increasing the property tax and raising the short-term interest rate;(3)The dynamic loan value ratio has the least negative impact on the economy because it is mainly targeted at the real estate sector.However,its scope of application is too narrow and cannot fully solve the debt problem of the household sector.Although property taxes affect all property owners,they can only directly affect the property sector;monetary policy has an impact on all property sectors and non-real estate sectors,and thus has the greatest negative impact on output.To this end,when adopting specific response policies,it is necessary to review the situation and adopt a flexible policy mix according to the specific scale of household debt.The results of the robustness analysis are the same as the benchmark model,and the basic order of effectiveness of these three policies in reducing household debt remains unchanged.
引文
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[17]Smets F,Wouters R.Shocks and frictions in US business cycles:A Bayesian DSGE approach[J].The American Economic Review,2007,97(3):586-606.
[18]Fernndez-Villaverde J.The econometrics of DSGE models[J].Journal of the Spanish Economic Association,2010,1(1/2):3-49.
[19]郑忠华,邸俊鹏.房地产借贷,金融加速器和经济波动——一个贝叶斯估计的DSGE模拟研究[J].经济评论,2012(6):25-35.
[20]马文涛,魏福成.基于新凯恩斯动态随机一般均衡模型的季度产出缺口测度[J].管理世界,2011(5):39-65.
[21]岳树民,李静.对我国劳动,资本,消费课税的比较及分析[J].涉外税务,2011(6):48-54.
[22]刘甲炎,范子英.中国房产税试点的效果评估:基于合成控制法的研究[J].世界经济,2013(11):117-135.
[23]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):383-398.
[2]Christensen I,Meh C A.Countercyclical loan-to-value ratios and monetary policy preliminary and incomplete[R].Norges Bank Working Paper,2011.
[3]Kannan P,Rabanal P,Scott A M.Monetary and macroprudential policy rules in a model with house price booms[J].The B.E.Journal of Macroeconomics,2012,12(1):544-553.
[4]Justiniano A,Primiceri G E,Tambalotti A.Household leveraging and deleveraging[J].Review of Economic Dynamics,2015,18(1):3-20.
[5]王爱俭,王璟怡.宏观审慎政策效应及其与货币政策关系研究[J].经济研究,2014(4):17-31.
[6]卜林,郝毅,李政.财政扩张背景下我国货币政策与宏观审慎政策协同研究[J].南开经济研究,2016(5):55-73.
[7]Stefan L,Ingver S.Debt dynamics and monetary policy:A note[R].SSRN Working Paper No.2456215,2013.
[8]Robstad O.House prices,credit and the effect of monetary policy in Norway:Evidence from structural VAR models[J].Empirical Economics,2018,54(2):461-483.
[9]Bauer G H,Granziera E.Monetary policy,private debt and financial stability risks[R].SSRN Working Paper No.2869044,2016.
[10]Mian A,Sufi A,Verner E.Household debt and business cycles worldwide[J].The Quarterly Journal of Economics,2017,132(4):1755-1817.
[11]Gelain P,Lansing K J,Natvik G J.Leaning against the credit cycle[J].Journal of the European Economic Association,2018,16(5):1350-1393.
[12]Kydland F E,Rupert P,ustek R.Housing dynamics over the business cycle[J].International Economic Review,2016,57(4):1149-1177.
[13]Garriga C,Manuelli R,Peralta-Alva A.A model of price swings in the housing market[R].SSRN Working Paper No.2112364,2012.
[14]Alpanda S,Zubairy S.Addressing household indebtedness:Monetary,fiscal or macroprudential policy?[J].European Economic Review,2017,92:47-73.
[15]Rotemberg J J.Monopolistic price adjustment and aggregate output[J].The Review of Economic Studies,1982,49(4):517-531.
[16]Christiano L J,Eichenbaum M,Evans C L.Nominal rigidities and the dynamic effects of a shock to monetary policy[J].Journal of Political Economy,2005,113(1):1-45.
[17]Smets F,Wouters R.Shocks and frictions in US business cycles:A Bayesian DSGE approach[J].The American Economic Review,2007,97(3):586-606.
[18]Fernndez-Villaverde J.The econometrics of DSGE models[J].Journal of the Spanish Economic Association,2010,1(1/2):3-49.
[19]郑忠华,邸俊鹏.房地产借贷,金融加速器和经济波动——一个贝叶斯估计的DSGE模拟研究[J].经济评论,2012(6):25-35.
[20]马文涛,魏福成.基于新凯恩斯动态随机一般均衡模型的季度产出缺口测度[J].管理世界,2011(5):39-65.
[21]岳树民,李静.对我国劳动,资本,消费课税的比较及分析[J].涉外税务,2011(6):48-54.
[22]刘甲炎,范子英.中国房产税试点的效果评估:基于合成控制法的研究[J].世界经济,2013(11):117-135.
[23]Calvo G A.Staggered prices in a utility-maximizing framework[J].Journal of Monetary Economics,1983,12(3):383-398.