中国房地产价格周期波动与成因研究
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摘要
20世纪80年代以来，全球房地产市场接连发生了膨胀与紧缩的巨大波动。我国房地产市场以1987年为起点，1998年才完全实现市场化分配，短短的二十几年间房价在波动中急剧膨胀。尤其是2003年以后，大部分城市房价持续高涨，引发了对房地产泡沫的巨大争论。2008年国际金融危机前后，房价短期经历了大涨大跌的剧烈波动，与之相伴随的是对房地产价格一系列调控政策的出台。从一些发达国家的历史经验来看，房价的波动给宏观经济稳定带来了巨大的威胁，甚至导致了长时间经济萧条，这对市场调控与监管提出更高的要求。我国的市场调控经验表明，仅仅使用货币政策的市场效果不明显，不得不采取直接行政干预措施。而这些措施的合理性一直是理论界争论不休的问题。
论文通过房地产价格周期测度与解读、与国外房地产周期比较、分析房地产周期与宏观经济、股市周期和通货膨胀周期的关系，对房地产价格周期波动特征做出具体的刻画，归纳了关于房价周期波动特征的典型事实。结果表明，我国房价周期波动频率高、波动幅度大。房价中期具有上涨刚性，不存在明显的中周期。房价周期、消费物价周期和股价周期之间存在一定的领先滞后关系。在宏观经济中的行业定位、政策导向与房价之间也存在显著的相关性。
论文分析了我国房价周期增长和波动的成因。房地产价格的持续上涨主要受到体制创新、经济增长、工业化和城市化进程、流动性过剩几方面因素的影响。
基于房地产定价模型，论文提出实现房价周期波动的三个假设：假设一：消费者根据房地产市场价格和理论价格之间的权衡进行购房决策，市场价格与理论价格之间存在互动关系，导致房价周期性波动；假设二：信贷的扩张与紧缩对房地产业与非房地产业投资的影响产生周期波动；假设三：金融自由化进程中伴随着增长过快的货币供给，加速了房价上涨趋势，也为市场带来不确定性。
从实证结果来看，利率变化对房价的影响很小，无法与理论分析相一致，房价周期波动的利率调整机制失灵；银行信贷与价格周期存在稳定的一致性，银行信贷对价格周期的影响小于货币供给。货币供给弹性在1998年最高，到2005年达到最低值，2005年以后货币供给对房价增长的推动作用增强。货币供给对价格的影响大于对投资的影响，说明资金通过房地产开发投资之外的途径直接对价格产生影响。
本文认为，1998年以前，市场环境不稳定是周期波动频繁的主要原因；1999年至2005年利率稳定、供求关系平衡，市场处于短暂的过渡期；2005年以后房价周期波动频繁而剧烈，周期表现出明显的外生性，论文重点分析了这个阶段房价周期的原因。
2005年以后，购房者购房动机发生了由居住到投资的转变，对于市场行为的解释需要突破房地产供给需求局部均衡的框架，在与宏观经济结构相关的一般均衡框架内分析。在低利率的条件下，购房者具有强烈的购房动机，房价具有上涨刚性，由市场价格与理论价格之间动态变化形成的价格周期性下行的机制无法实现；利率失灵加剧了实体经济和房地产价格趋势的背离，使房地产与实体经济的结构性失衡恶化，二者之间相对价格的变化机制无法实现；中国特色的货币政策传导渠道使房价周期产生强烈的政策性或者外生性，在房价上涨阶段银行自主信贷约束动机弱化，房价周期无法以银行信用自住紧缩为内在机制形成；2005年以后的价格波动频繁，是由于在利率失灵条件下，房价变化对利率的弹性减少，对广义货币量的弹性增加，市场稳定性降低，价格容易受到流动性冲击。
房价在缺乏利率弹性前提下的上涨产生两个重要的后果：首先导致无房者的福利相对下降；其次是银行风险积累。
论文回顾和评价了房地产市场调控的历程。低利率和流动性问题外生于房地产行业，与货币政策和宏观经济环境密切联系，却成为影响房价正常波动的重要的内在原因。在这样的情况下，如果仅仅着眼于针对房地产行业的局部调控，问题根本却出在经济全局，短期行政措施也难以产生长期持续的效果。在现阶段，稳定预期是主要的房地产调控政策。对房地产周期波动，主要控制由于银行信贷带来的金融风险。
最后提出主要结论和政策建议。长期而言，构建具有合理定价机制的房地产市场是我国房地产业发展的必然选择，制度建设是长期稳定发展的基础。提出推进金融体系改革和利率市场化、发展和完善房地产市场、增加金融供给稳定长期投资、推进房产税改革等几个方面的政策含义。
Since the1980s, the global real estate market has been a spate of large fluctuations of theexpansion and contraction. China's real estate market started in1987and finished themarket-oriented distribution in1998. In a short period of twenty years house prices expandedrapidly in the fluctuations. Especially after2003, most urban housing prices continued to rise,triggering a huge debate on the real estate bubble. During the2008financial 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. China's 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 China's 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 China's 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 China's 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. On 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 isn’t 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 in1998and reached the lowest value in2005.After2005the money supply played enhanced role in promoting the growth in house prices. Moneysupply’s 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 bank's 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 after2005is, 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 the real 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 ofChina's 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.
论文通过房地产价格周期测度与解读、与国外房地产周期比较、分析房地产周期与宏观经济、股市周期和通货膨胀周期的关系，对房地产价格周期波动特征做出具体的刻画，归纳了关于房价周期波动特征的典型事实。结果表明，我国房价周期波动频率高、波动幅度大。房价中期具有上涨刚性，不存在明显的中周期。房价周期、消费物价周期和股价周期之间存在一定的领先滞后关系。在宏观经济中的行业定位、政策导向与房价之间也存在显著的相关性。
论文分析了我国房价周期增长和波动的成因。房地产价格的持续上涨主要受到体制创新、经济增长、工业化和城市化进程、流动性过剩几方面因素的影响。
基于房地产定价模型，论文提出实现房价周期波动的三个假设：假设一：消费者根据房地产市场价格和理论价格之间的权衡进行购房决策，市场价格与理论价格之间存在互动关系，导致房价周期性波动；假设二：信贷的扩张与紧缩对房地产业与非房地产业投资的影响产生周期波动；假设三：金融自由化进程中伴随着增长过快的货币供给，加速了房价上涨趋势，也为市场带来不确定性。
从实证结果来看，利率变化对房价的影响很小，无法与理论分析相一致，房价周期波动的利率调整机制失灵；银行信贷与价格周期存在稳定的一致性，银行信贷对价格周期的影响小于货币供给。货币供给弹性在1998年最高，到2005年达到最低值，2005年以后货币供给对房价增长的推动作用增强。货币供给对价格的影响大于对投资的影响，说明资金通过房地产开发投资之外的途径直接对价格产生影响。
本文认为，1998年以前，市场环境不稳定是周期波动频繁的主要原因；1999年至2005年利率稳定、供求关系平衡，市场处于短暂的过渡期；2005年以后房价周期波动频繁而剧烈，周期表现出明显的外生性，论文重点分析了这个阶段房价周期的原因。
2005年以后，购房者购房动机发生了由居住到投资的转变，对于市场行为的解释需要突破房地产供给需求局部均衡的框架，在与宏观经济结构相关的一般均衡框架内分析。在低利率的条件下，购房者具有强烈的购房动机，房价具有上涨刚性，由市场价格与理论价格之间动态变化形成的价格周期性下行的机制无法实现；利率失灵加剧了实体经济和房地产价格趋势的背离，使房地产与实体经济的结构性失衡恶化，二者之间相对价格的变化机制无法实现；中国特色的货币政策传导渠道使房价周期产生强烈的政策性或者外生性，在房价上涨阶段银行自主信贷约束动机弱化，房价周期无法以银行信用自住紧缩为内在机制形成；2005年以后的价格波动频繁，是由于在利率失灵条件下，房价变化对利率的弹性减少，对广义货币量的弹性增加，市场稳定性降低，价格容易受到流动性冲击。
房价在缺乏利率弹性前提下的上涨产生两个重要的后果：首先导致无房者的福利相对下降；其次是银行风险积累。
论文回顾和评价了房地产市场调控的历程。低利率和流动性问题外生于房地产行业，与货币政策和宏观经济环境密切联系，却成为影响房价正常波动的重要的内在原因。在这样的情况下，如果仅仅着眼于针对房地产行业的局部调控，问题根本却出在经济全局，短期行政措施也难以产生长期持续的效果。在现阶段，稳定预期是主要的房地产调控政策。对房地产周期波动，主要控制由于银行信贷带来的金融风险。
最后提出主要结论和政策建议。长期而言，构建具有合理定价机制的房地产市场是我国房地产业发展的必然选择，制度建设是长期稳定发展的基础。提出推进金融体系改革和利率市场化、发展和完善房地产市场、增加金融供给稳定长期投资、推进房产税改革等几个方面的政策含义。
Since the1980s, the global real estate market has been a spate of large fluctuations of theexpansion and contraction. China's real estate market started in1987and finished themarket-oriented distribution in1998. In a short period of twenty years house prices expandedrapidly in the fluctuations. Especially after2003, most urban housing prices continued to rise,triggering a huge debate on the real estate bubble. During the2008financial 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. China's 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 China's 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 China's 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 China's 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. On 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 isn’t 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 in1998and reached the lowest value in2005.After2005the money supply played enhanced role in promoting the growth in house prices. Moneysupply’s 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 bank's 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 after2005is, 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 the real 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 ofChina's 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.
引文
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