摘要
房地产业是国民经济的重要产业,2003年以来,我国房地产业进入高速发展轨道,住房价格的一路攀升引发了社会各界对于泡沫和房地产金融风险的担忧。尽管许多研究对泡沫的存在性和规模进行了实证检验,并对其形成机理进行了深入的探讨,但对房地产金融风险的量化评估和形成机制的系统研究却尚未展开。虽然房地产金融存在风险已经成为大众的共识,但泡沫的大小并不直接等同于金融风险的大小,泡沫度的度量也无法为银行的风险防范提供直接的帮助。房地产金融风险量化评估的缺失导致我们难以通过制定适度政策平衡各方利益,实现金融业和房地产业的良性互动。从历史经验来看,很多国家在城市化的进程中都经历过房地产泡沫和房地产金融风险的冲击。我国的城市化进程还远未结束,借鉴国际经验,研究房地产金融风险的形成机制和防范措施,防患于未然,也是理论研究的职责所在。
基于这些现实的需要,本文以房地产金融风险为中心,重点评估了房地产金融风险的大小,深入剖析了泡沫下房地产金融风险的形成机制。全文共分为六章。第1章是导论,主要介绍了本文的选题背景与意义,研究思路和方法,主要创新与不足。
第2章分析了我国房地产金融发展的历史沿革。以我国金融体系、业务的重大变化为基准,参考城镇住房制度变迁和房地产业的发展历程,本文将我国房地产金融的发展划分为四个历史阶段,即支持商品房建设的奠基起步阶段、侧重商品房消费的全面推进阶段、深化发展阶段和严控风险阶段。经过前两个阶段的发展,我国初步建立起了完整的房地产金融体系,后两个阶段的发展则表明房地产金融的平稳运行离不开房地产市场的健康发展。经过二十多年的发展,我国形成了以银行为核心的有中国特色的房地产金融体系。从产品体系来看,我国房地产金融以银行信贷为主,信托、股权、债券融资为辅。房地产投资和消费的资金主要来源于商业性信贷,银行贷款参与到了产业链上的各个环节,银行成为承担房地产金融风险的主体。
第3章分析了我国房地产金融风险的基本类型和现状。在对我国房地产金融风险进行细分的基础上,重点对我国房地产金融风险的主要领域-开发贷款,对风险的主要表现-信用风险进行了量化评估,力图回答房地产金融风险到底有多大这一问题。从宏观的层面来看,我国商业性房地产信贷质量较好,信用风险逐年降低,房地产不良贷款呈现出规模大、比率低的特点。从微观的层面来看,房地产金融风险主要表现为信用风险和操作风险,其中信用风险是主体；从风险的分布来看,土地储备贷款、个人住房抵押贷款和开发贷款是三大风险点,其中个人住房抵押贷款的信用风险较小,这得益于较高的首付比率和居民合理的房地产消费结构；土地储备贷款面临来自于三个方面的信用风险,开发贷款不良率则较高。
为了从全局的层面度量开发贷款的信用风险,同时考虑到缺乏商业银行的信贷数据,企业的财务状况是银行评估风险的重要依据,本文以房地产上市公司为样本,以公司的财务绩效为研究对象,分析了风险的演进和借款企业的分布状况。风险的演进表明,2003年以来房地产开发贷款的信用风险可以以2007年为转折点划分为两个阶段。2003—2007年间,企业的财务指标总体上趋于好转,2007年是我国房地产行业上市公司财务表现最好的一年。但是,这一阶段短期偿债能力、长期偿债能力和现金流状况中的一些财务指标也表明房地产金融风险在逐渐积累。2008年房地产企业的财务表现为10年来的最差,房地产金融风险开始显现。2009年房地产企业的财务表现较2008年有所好转。从借款企业的分布情况来看,2007—2009年,正常类企业占比分别为73.66%、71.66%、73.45%。2009年,正常类企业比例接近2007年的水平,高于2008年的水平；低风险的警惕类企业占比21.31%,较2007年上升了2个百分点,较2008年上升了1个百分点；高风险的风险类企业占比5.24%,较2007年下降了2个百分点,较2008年下降了1个百分点。与2007、2008年相比,2009年的警惕类企业有所增加,风险类企业有所减少,这意味着风险在行业内有所扩散。本章的分析表明,泡沫大小并不直接等同于金融风险的大小。在房价上涨、泡沫膨胀阶段(2003-2007年),企业的财务表现在不断好转,但企业的过度投资和超常发展埋下了偿债能力弱化的隐患,此时金融风险还处于潜伏阶段；一旦房价增速放缓(2008-2009年),企业的财务表现就趋于恶化,风险就开始显现出来。
第4章从逻辑演绎的角度指出泡沫是我国房地产金融风险的根源。现阶段我国房地产需求旺盛,房地产金融较为安全。风险的真正隐患在于泡沫引起的价格急升和骤降。基于我国房价坚挺的现实表现,容易产生的疑惑是：如果房价不跌,泡沫不灭,那么风险何在?在本文看来,房地产贷款的信用风险应该从现代定义来理解,即借款人信用质量下降的风险也应该纳入信用风险之中,2008年以来房价增速下滑带来的借款人履约能力下降就是值得关注的风险。而且,日本房地产泡沫和美国次贷危机都是肇始于对房价的过度乐观和危机的短视,过度乐观和危机短视本身就构成了房地产金融风险形成机制的重要一环。这两次惨痛的历史教训表明,不论是在银行主导的金融体系还是在市场主导的金融体系下,严重的房地产金融风险都是由房地产泡沫引起的,它启示我们任何一种金融制度安排都会由于它的信用扩张而存在内在不稳定性。本章随后对当前我国房地产泡沫的存在性问题进行了实证检验。国内关于房地产泡沫的讨论十分丰富,本文并没有对泡沫的定义和检验进行深入的探讨,因为这并非本文的重点,而是在总结国内研究的基础上,采用指标分析法和协整检验法进行实证检验。验证房地产泡沫的指标体系表明,从全国层面来看,我国不存在房地产泡沫,而在北京和上海的区域层面上,两个地区的多数指标超过或接近存在泡沫时的临界值,说明北京和上海已经出现了泡沫。为了克服指标检验法不够严谨的问题,本章又采用了协整检验法对北京和上海住房市场进行了分析。检验结果表明,在2002年1季度至2010年2季度间,剔除供给和需求的影响后,近视价格预期对房地产价格有显著的影响力,这表明房价形成中包含有显著的投机成分,北京和上海的住房市场存在泡沫。
第5章以银行信贷扩张为切入点,研究了泡沫下我国房地产金融风险的形成机制。从制度层面来看,房地产价格上升降低了借款企业的代理成本,提高了抵押品价值,使得银行在决策时倾向于作出放贷的决策。资本监管的顺周期性、风险拨备的顺周期性和公允会计准则的顺周期性都会提高银行在房地产泡沫阶段的信贷扩张能力。在信贷决策的过程中,有限理性的银行家会表现出保守主义偏差、启发式偏差、框定偏差、过度自信的心理现象,银行家群体也会出现从众行为。这就使得银行系统在泡沫膨胀期患上了“危机短视症”。制度的缺陷和信贷人员的有限理性导致银行在泡沫膨胀时期过度扩张信贷。信贷的扩张容易滋生泡沫。可得信贷是影响资产价格的重要因素,借款人的风险转移动机刺激投资者将价格哄抬到基本价值之上,导致价格泡沫的出现。人们对未来信贷扩张的预期以及信贷扩张程度的不确定性将提高泡沫的严重程度。泡沫膨胀对信贷扩张的反馈作用使得问题进一步恶化。在信贷扩张和泡沫膨胀的过程中,借款人的资产负债率不断上升；投机性企业不断增多；近视价格预期下购房需求被预支,消费者逐渐被逐出市场,投机者占比不断上升。资产负债率的提升和借款人分布的变迁都弱化了借款人的偿债能力。一旦政策逆转或者实际部门的收益冲击和银行信贷扩张低于要求,泡沫就会破裂,金融风险就显现出来。
第6章借鉴国外房地产金融风险管理的经验,探讨如何防范和分散我国的房地产金融风险。既然在房地产金融风险形成的过程中,信贷扩张是核心,那么建立审慎的经营和监管制度防范银行信贷过度扩张就是必然的选择。遏制我国内地银行业房地产信贷过度扩张首先需要建立逆周期的信贷规则,主要措施包括引入逆周期资本要求和跨周期的拨备计提方法。其次,要建立房地产金融风险监控预警体系,防范“危机短视症”。依照房地产金融风险严重程度不同,监管层可以采用提示风险、要求银行进行压力测试和对不同区域内的房地产信贷规模实行总量管理的监管措施。同时,还需要动态跟踪借款人偿债能力的变化,健全房地产贷款风险全程控制体系。从长期来看,借鉴美国的经验,完善风险共担的房地产金融两级市场是分散房地产金融风险的有效手段。拓宽一级市场企业融资渠道的可行选择是发展房地产投资信托基金,为此我国需要明确法律及监管框架、实现税收“中性”、放松机构投资者的限制和培养专业人才。我国房地产金融二级市场还处于萌芽阶段,针对我国住房抵押贷款证券化中存在的问题,发展信用评级机构,完善评级制度,进行专门的资产证券化立法是我们下一步努力的方向。
本文的主要创新之处在于：
1.实践层面上,本文从时间(风险的演进)和空间(借款人的分布情况)的角度量化分析了我国房地产金融风险的大小。目前,国内研究主要通过泡沫的严重程度来说明房地产金融风险的大小。但是,首先,泡沫大小不能直接等同于金融风险的大小。在房价飙升、泡沫膨胀阶段,我国房地产企业的财务指标是不断好转的,企业的风险似乎在减小。其次,泡沫膨胀时期银行信贷具有扩张的内在动力。由于我们无法预知泡沫是会继续膨胀还是会破灭以及何时破灭,因此这种近似不具备实践上的操作性,难以为银行的信贷决策提供直接的帮助,抑制银行信贷的过度扩张。本文从信用风险主要依赖于借款企业的财务状况这一根本条件出发,以上市公司为样本,分析了2003—2009年的风险演进情况,从企业的财务指标体系中筛选出值得关注的十个指标,计算了2007—2009年风险的大小。本文的研究表明,2007年以前,我国处于房地产金融风险累积阶段；2008、2009年我国房地产金融风险开始显现。2009年,正常类、警惕类、风险类企业占比分别为73.45%、21.31%、5.24%,高风险企业在减少,低风险企业有所增加。本文希望这种关于风险的演进和借款企业分布状况的直观形象的分析结论能有助于银行的信贷决策,防范金融风险。
2.理论创新方面,本文深入分析了泡沫下房地产金融风险的形成机制。尽管大多数学者认为房地产金融风险来源于房价泡沫,但尚未对泡沫下房地产金融风险的形成机制展开系统深入的研究。本文提出,在房地产金融风险的形成过程中,信用扩张是核心。本文从制度缺陷和信贷人员有限理性的角度研究了银行信贷扩张的机理,研究了信贷扩张对房地产泡沫的反馈作用,分析了借款人偿债能力弱化的原因。以此为基础,本文构建了管理房地产金融风险的系统框架。关于房地产金融风险形成机制的全面研究对于制定房地产金融风险防范措施具有重要的参考价值。
Real estate industry is an important industry of the national economy. Since 2003, real estate industry of our country entering the high-speed development orbit, housing prices climbed all the way induced all walks of life worried about real estate bubble and the financial risks. Although many studies empirically analyzed the existence of the bubble and its scale, and its formation mechanism was discussed thoroughly, but the quantitative evaluation of real estate financial risk and formational mechanism of the system have not been in operation. Although real estate financial risk has become a public consensus, the size of the bubble is not equal to that of the financial risk directly, and the measure of the bubble's degree can not provide guidance immediately for risk prevention to the banks. The lack of real estate quantitative evaluation of financial risk results in difficultly balancing the respective interests by formulating appropriate policies, and realizing the benign interaction of finance and real estate industry. From the historical experience, a lot of countries in the course of urbanization have experienced real estate bubble and the impact of financial risk. China's urbanization has far from taken to an end, from the international experience, studies on the formation mechanism of real estate financial risk and preventive measures can nip the risks in the bud, which is the responsibility of the theoretical study.
Based on the practical needs, the paper focuses on the real estate financial risk, takes its size assessment as a key point and thoroughly analyzes the formational mechanism of financial risk under the real estate bubble. The paper is divided into six chapters. Chapter 1 is the introduction, mainly introduces the background and significance, research methods and ideas, innovation and insufficient.
Chapter 2 analyzes the historical evolution of real estate financial development. With the standard of China's financial system and major changes in the business, and reference for the vicissitude of urban housing system and the development of real estate, this paper divide the development of real estate finance into four historical stages, which are the first step of supporting commodity house construction, supporting consumption on housing development in an all-round way, deepening the progress and controlling the severe risks. Through the first two stages of development, China has built up a complete real estate finance system. The following two stages of development show that real estate finance can not be in stable operation without the healthy development of the real estate market. After two decades of development, China has formed Chinese characteristics of real estate financial system which treats the bank as the core. From our products, real estate finance system has given priority to the bank credit, and trust, equity and debt financing for auxiliary. Real estate investment and consumption mainly come from commercial credit, and bank loans participate in various aspects of industry chain. Thus bank has become the main body that undertakes real estate financial risk.
Chapter three analyzed the current situation and the basic types of financial risks in real estate in our country. Based on the classification of real estate financial risks, we quantitatively estimate credit risks of real estate development loans, trying hard to give an answer in the question that how big financial risks that real estate market are taking. From the macro level, commercial real estate loans represent following features:high credit quality, declining credit risks year by year, low percentage of non-performing loans; from the micro level, credit risks and operational risks mainly consist of real state financial risks, whereas credit risks are the main body.In terms of distribution of risks, land reserve loans, personal housing mortgage, development loans are the three decisive factors. But personal housing mortgage burden a relatively small credit risk because of the fairly high down-payment and reasonable real estate consumption structure. Yet land reserve loans face three credit risks and own a higher rate of non-performing loans.
On accounting of financial condition of enterprises is the key factor assessed by commercial banks, we must take an integrated measurement on risks of development loans, considering lacking of commercial banks credit date at the same time. This paper exemplifies real estate listed company, choosing company's financial performance as research project, and analyzing risks'progress and distribution of the borrowing enterprises. It is shown by risks'progress that we can divide the credit risks of real estate development loan into two periods. The first period was from the year 2003 to the year 2007. In this period, financial targets of enterprises had generally risen, and year 2007 saw listed company of real estate , reaching climax. However the financial targets in short-term repayment capability, long-term repayment capability and cash-flow condition somehow indicated that financial risk had been gradually accumulated during this period. In 2008, financial performance of real estate enterprises hit bottom and real estate financial risks emerged. Compared with year 2008, financial risks in 2009 had declined. In terms of distribution of borrowing enterprises, common business took a percentage of 73.66%,71.66%,73.45% in the year 2007,2008,2009 respectively. In 2009, the proportion of common business closely tied to year 2007, higher than 2008; alert companies of low risks accounted for 21.31%, risen by 2% points than 2007; high venture enterprises took a proportion of 5.24%, dropped by 2% and 1% than 2007 and 2008 respectively. While in comparison with year 2007 and 2008, alerted enterprises climbed, whereas enterprises ran high risks failed, which meant risks in real estate circle had expanded. All in all, this chapter suggests that the bubble size in real estate is not equivalent to the degree of financial risks. When in bubble expansion, or rather, housing price was jumping (2003-2007), financial performance had kept getting better. But over-investment and excessive fast development in real estate set a dangerous precedent for weaker repayment capability, so financial risks were invisible at this time. Hence as housing price grow rate slowed (2008-2009),financial performances became worse and risks became visible.
The fourth chapter pointed out risk comes from bubble from the perspective of the logical interpretation. At the present there is large quantity of demand in the real estate area, the real estate finance is more secure. The real hidden danger is the risk caused by the ups and downs of prices. We are easily puzzled through the performance of the stable prices that what the risk is if the prices do not fall and the financial bubble does not be broken. In this view, we should try to understand the credit risk of real estate loans from the modern definition that decline of the borrower's quality of the credit should be taken into consideration, the decline of the borrower's ability which caused by the rapid decline in housing prices since 2008 should be focus on the most. Moreover, the Japanese real estate bubble and U.S. subprime crisis are all caused by over-optimism on house prices and the short-sight about the crisis, over-optimism and short-sight is the important part which constitutes to the crisis in the formation mechanism of the real estate. The two bitter lessons of history show that, whether in banking dominated financial system or market dominated financial system, financial risks in real estate caused by the real estate bubble, it reveals us any financial systems will lead to the inherent instability which caused by credit expansion y. In this chapter we will prove the current existence of the real estate bubble on an empirical test. Discussion on the domestic real estate bubble are very heated, this article do not give a definition of bubble or do some tests in depth, because this is not the focus of this article, but we make a conclusion on the basis of domestic research, analysis and use some indicators cointegration test method to test. The index system of the real estate bubble shows that there is no real estate bubble in China, from the national level, while in Beijing and Shanghai, on the regional level, most indicators in both areas over or near the critical value of the bubble, that is to say there have been a bubble. In order to overcome the problem index test method is not conscientious and careful enough, this chapter has used cointegration methods to analysis the situation of Beijing and Shanghai housing market. The results show that from the 1st season in 2002 to the 2nd season in 2010, ignoring the supply and demand the price expectations has a significant impact on the real estate price, it shows that the price formation contains a significant speculative component, there has been the housing market bubble in Beijing and Shanghai.
Financial risk of the formation mechanism of real estate, which is in the state of the bubble economy, has been studied, regarding the bank credit expansion as a starting point in Chapter 5. From institutional perspective, the increasing price of real estate reducing the agency costs of lending business and increasing the value of collateral, as a result, banks tend to make lending decisions. Procyclicality of regulatory capital, risk provisions and accounting principles will all raise bank credit capacity expansion which is on the stage of the real estate bubble. In the credit decision-making process, bounded rationality bankers will show conservative bias, heuristic bias, framing error, the psychological phenomenon of overconfidence and bankers will also follow the herd behaviors. This makes the banking system in the bubble period suffering from a "crisis Shortsighted". Institutional defects and the limited rationality of credit officers lead to excessive credit expansion of banks in the period of the inflation of bubble economy. The expansion of credit easily makes bubbles. Availability of credit is an important factor affecting the asset price. Motivation of the borrowers' transfering risks stimulates investors to bid up the price above the fundamental values, leading to price bubbles. People's expectations of future credit expansion and uncertainty in credit expansion will increase the severity of the bubble. Bubble inflation makes feedback on credit expansion, which letting the situation be worse. In the process of credit expansion and bubble inflation, the borrowers' debt ratio is rising constantly and the number of speculative enterprises is increasing. Purchase requirements under the myopic price expectations are advances. Consumers have been gradually driven out and the proportion of speculators is jumping. Enhancement of asset-liability ratio and changes in the distribution of borrowers weaken the solvency of the borrowers. Once the policy reversals or the revenue impact of the real sector and bank credit expansion below the requirements, the bubble will burst and financial risk will appears.
Chapter 6 learns from foreign experience in financial risk management of real estate and explores how to prevent and transfer financial risk of real estate. Since in the process of the formation of financial risks of real estate, credit expansion is the core, establishment of prudent management and monitoring system to prevent excessive expansion of bank credit is the inevitable choice. In order to inhibit the excessive of credit expansion in the mainland of China, first we need to make Counter-cyclical credit rules and the mainly rules include the introduction of counter-cyclical capital requirements and provision for accrual method of cross-cycle. Secondly, to create a monitoring and warning system of the financial risk of real estate prevents "crisis Shortsighted". According to the different severity of the financial risks of real estate, regulators can take measures of prompt risk, requiring banks to conduct stress tests. Meanwhile, there is a need of a system of dynamic tracking changes in borrower solvency and a perfect full control of real estate lending risk. In the long run, it is a effective way that learn from the experience of the United States and improve the level of risk-sharing market, real estate finance to spread the risk of real estate finance. The viable option of broadening the financing channels for enterprises the primary market is to develop real estate investment trusts. And because of this, China needs a clear legal and regulatory framework to realize the neutrality of tax and relax restrictions on institutional investors and to train professionals. Chinese secondary market of real estate finance is still in the stage of infancy. According to the problems of mortgage securitization, our next efforts are in the direction of perfecting the system of credit rating and securitization legislation professionally.
The main innovation of this paper is that:
1. At the practical level, the paper analyzes in quantization the size of financial risks of the real estate in our country from the perspectives of time(risk evolution) and space(borrower distribution). For the time being, domestic studies mainly illustrate the size of financial risks of the real estate through bubble severity. However, firstly, the size of bubble does not directly equate to that of financial risks. At the phase of inflating bubble, financial indicator of the real estate enterprises in our country was actually getting better constantly, while the risks seemed to be decreasing. Secondly, bank credit was provided with the internal motive power to expand during bubble inflation. As we are unable to predict whether bubble would be inflating or not and when to burst, such kind of similarity does not possess the operational ability in practice. It is difficult for such similarity to offer direct help with bank credit decisions and restrain the excessively expand of bank credit. The paper proceeded from the fundamental condition that credit risk primarily relies on the borrowing enterprises financial situation, taking the listed companies as a sample, analysis the risk evolution in the years from 2003 to 2009, picks ten noteworthy indicators out of the enterprises financial indicator system and calculates the sizes of risks in the years from 2007 to 2009. Studies demonstrate that the real estate financial risks of our nation was at the phase of accumulation before 2007; during the following two years, the financial risks started to emerge. In 2009, normal type, vigilant type and risking type of enterprises were 73.45%,21% and 5.24%in proportion respectively featuring the amount of high-risk enterprises was decreasing while that of low-risks enterprises increasing relatively. The paper is looking forward that such visual analysis of risk evolution and borrower distribution would be conductive to bank credit decisions and precautions of financial risks.
From the perspective of theoretical innovation, the paper deeply analyzes the formational mechanism of real estate financial risks under bubble. Although a majority of scholars think that the real estate financial risks originate from the house price bubble, they have never launched a systematical and deep study on the formational mechanism of the real estate financial risks under the bubble. It is proposed here that during the formation of the real estate financial risks, the expansion of credit is the core. This paper goes into the mechanism of the expansion of credit and its feedback effects on the real estate bubble and analyzes the causes of weakening borrowers'debt paying ability from the points of systematical defects and bounded rationality. Based on this, the paper constructs a systematical framework of managing the real estate financial risks. The all-around studies about the mechanism of the real estate financial risks formation have an important reference value to make precautions on the real estate financial risks.
引文
1参见《金融时报》,1999-05-04。
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