摘要
西方国家对于财富效应的研究由来已久，哈伯勒、庇古和帕廷金等人最早提出了财富效应的概念。它指的是：假如其他条件相同，货币余额的变化将会在总消费开支方面引起变动。资产价格的财富效应一般分为以股票价格为代表的金融资产价格财富效应和以房地产价格为代表的非金融资产价格财富效应。然而，房地产财富效应在20世纪90年代前尚未受到理论界的重视。直至20世纪90年代后期，股票市场的大幅下滑对全球经济都产生了很大影响，但居民预期消费支出却没有因此而减少。这个现象引发了理论界的重视，而“股市下滑对需求的消极影响在一定程度上被房地产市场的正向财富效应所抵消”成为了当时最合理的解释。另一方面，房地产资本密集型的特性以及近年来的低利率催生了房地产市场上大量的投资投机需求，带来了居民消费与经济增长的联动，理论界开始把更多的目光投在房地产市场财富效应的研究上。
伴随着中国的房地产改革，我国房价与房地产投资量一直高速上涨，成为国民经济的支柱型产业之一。时至今日，以房地产为代表的资产价格波动对居民消费和国民经济的影响愈来愈大。“如何制定出相应政策来调控房地产市场，扩大内需以拉动我国经济发展，并规避房价波动引发的金融安全问题”已成为政府与学者日益关注的重大问题。
本文基于消费函数和财富效应的已有理论及文献，结合中国房地产市场的特有背景，对中国房地产财富效应的传导机制和效应大小进行了全面而深入的分析。
第一，分析了中国房改以来房地产市场现状及变化趋势，对消费函数理论进行了全面的回顾，对房地产市场财富效应传导机制的渠道进行了再梳理，并总结出影响房地产财富效应的若干重要因素。
第二，相对于西方国家，中国的房地产市场处于初步发展时期又面临房价非理性高企，房屋售价呈现出脱离了房租所确定基本面的非理性繁荣。这些都使得我国房地产市场呈现一些异于西方市场的特性，也势必会对房地产正向财富效应的传导造成渠道上的阻碍或效应上的影响。本文首创性地将原本应用于现货-期货市场上的永久瞬时模型和信息共享模型运用到房地产市场中，认为在房屋销售价格、土地价格和房屋租赁价格背后存在着“潜在房价”，同时检验了各市场对潜在房价的贡献率。结果表明，在过去十余年中虽然房价高速上涨，但房屋租赁价格上涨缓慢，对潜在房价几乎无贡献率。租赁市场独立于房屋销售市场和土地市场，无论对房价的形成还是房地产财富效应的传导都没有发挥应有的作用。此外，在对房价影响因素的检验中得到，房价只在短期对GDP有显著的拉动性影响，二者间并不存在长期关系。中国房地产市场上投机需求过度、房价虚高、租赁市场相对独立，呈现出非理性繁荣，以租赁市场为载体的财富效应传导机制并不顺畅。
第三，外界经济环境的变化无疑会对房地产财富效应产生影响，不同时期下房地产财富效应会呈现出不同的特征。本文针对时间序列数据和面板数据，将房改之后的样本区间进行了分段，对比分析了总样本和子样本区间的财富效应。一方面利用协整方程、误差修正模型和Bootstrap方法对时间序列数据进行了分析，另一方面利用面板单位根、面板协整、面板DOLS等方法对面板数据进行了分析。结果表明，两类数据财富效应的变化趋势基本吻合。在总样本区间我国房地产财富效应显著为负，意味着房改以来我国房价的大幅上涨非但未拉动内需，反而对居民消费产生了挤出效应。相比之下，居民可支配收入依旧是拉动消费上涨的最主要原因。在子样本区间，唯独2003-2007年区间财富效应由负转正，这与宏观经济所处的5年繁荣期也是吻合的。随着2007年金融危机的来临以及房价的V型波动，房价上涨对居民消费又呈挤出作用。进而针对实证结论给出了相应的政策建议。
第四，可支配收入与房价作为模型中两个重要的内生变量，其不同区制会造成消费函数的非线性。本文利用门限自回归和面板门限方法，分别考察了1998年至2011年的时间序列数据和面板数据在不同收入增速与房价增速区制下的财富效应。结果表明，收入高增速区制下的房地产对消费的促进作用要大于收入低增速区制（或挤出效应要小于收入低增速区制）；房价中度增速区制下房地产财富效应呈正向，而低房价增速区制和高房价增速区制下房价上涨都会对消费造成挤出。相比之下，可支配收入的提高对消费的促进作用依然占主要因素。因此，只有切实提高居民收入，并将房价的增速控制在一个合理范围内，房地产资产价值的上升才可以真正有效地促进居民消费、切实起到拉动内需的作用。
第五，不同产权类型的住房其财富效应传导途径不同，对于消费产生的影响也不同。本文基于CHNS家庭微观调查数据进行检验，首先考察不同产权下房地产财富对消费的弹性系数，并比较2000年与2009年弹性系数的变化趋势；进而利用分位数回归方法，考察随着消费从低分位向高分位过渡时不同产权房屋财富效应的变化。结果表明，无论是整体回归还是不同消费分位点回归，房地产财富对耐用品消费的弹性系数均显著为正。其中，产权自有的住房拉动作用最强，产权公有的住房拉动作用最弱，租赁住房的弹性系数不显著。此外，不同于西方市场，年轻消费者的房地产财富效应在住房产权公有及自有的情况下均要高于年老的消费群体。可以看出，我国的住房制度改革是成功的，市场上的住房需求从“制度性住房需求”逐步转化为由市场价格与居民收入决定的“市场住房真实需求”时，也带动了居民消费水平的上涨。同时，使用自有住房价值作为财富变量代表测度的是房屋作为必需品时的财富效应。此时房地产财富效应显著为正，进一步说明前文总财富效应为负的原因是我国房地产市场中存在过度的投机因素。
第六，扩展到宏观经济中，货币政策会通过房地产市场的传导作用于实体经济目标以及宏观经济。本文利用SVAR模型、脉冲响应函数和方差分解方法对房地产广义财富效应进行测度，分析其对居民消费、经济增长和物价稳定的影响以及对货币政策的传导。结果表明，货币政策向房地产市场的传导渠道是畅通的，说明房地产市场在货币政策传导机制中起到了一定程度的作用，房价对货币供应量冲击的反馈正向且较持久，但对利率冲击的传导微弱。在房地产市场向消费的传导上，消费对于房价冲击并未产生长期的反馈。在房地产市场向宏观经济的传导上，房价的冲击会带来GDP和CPI短期的大幅提升，即房价大幅上涨会同时带来经济的快速增长和不稳定。
综上所述，时期的不同、居民收入的差距、房地产高中低结构分化、经济区域发达程度的不同都决定了房地产市场上不同的供需状况，因此政府在政策制定上应区别对待，因地制宜地制定房地产调控政策。一方面采取适当政策保持房地产市场的可持续发展，使房价回归到合理价位，另一方面又要避免调控力度过大而导致的经济转向。此外，还要加大政府监管力度，确保房地产市场合理有效地运行，为房地产市场的发展提供良好的制度环境，使其真正发挥拉动内需、促进经济、稳定市场、保证公平的作用。
The study on wealth effect in western country has existed for many years. The concept ofwealth effect had pointed out by Haberler, Pigou and Patinkin firstly, which means that in the samecondition, real money balance effect will lead to the change of total consumer spending. Thewealth effect of assets price could usually be divided into two kinds: The wealth effect of stockmarket (which represents the wealth effect of financial asset market) and the one of real estatemarket (which represents the wealth effect of non-financial asset market). However, the wealtheffect of real estate market has not been paid enough attention until the end of 1990s. At that time,the sharp decline in share market affected the global economy seriously. However, the expectingconsumption expenditure did not reduce at the same time. It was the most suitable explanation inthe academic field that the negative wealth effect of decreasing of stock market on consumptionwas offset by the positive wealth effect of real estate market in some degree. In the other hand, thecapital-intensive feature of real estate market and the low interest rate these years have led toexcessive speculation demand, which has brought the co-moving of household consumption andeconomic rising. Therefore, the study on wealth effect of real estate market has been paid muchmore attention than before.
As the housing reform in China, the house price and the investment in real estate growextraordinarily, and the real estate industry has become one of the main pillar industries of thenational economy. Even to this day, the asset price fluctuation for representatives to house pricehas great influence on household consumption and national economic growth.“How to take theFinancial Crisis as a warning, draft relative policy to regulate and control the real estate market andexpand domestic demand to pull Chinese economic development in order to avoid financialsecurity raised by house prices fluctuations？”becomes a very important issue for the governmentand scholars.
This dissertation is based on relative theories and literatures of the consumption function andwealth effect, combining the specific background in Chinese real estate, to analyze transmission mechanism and the size of wealth effect in real estate market in China deeply and roundly.
Firstly, this dissertation analyzes the market situation and variation trend since Chinese realestate reform, reviews the theory of the Consumption Function overall, clarifies the transmissionmechanism of wealth effect in real estate and concludes several important elements which willinfluence wealth effect in real estate market.
Secondly, compared with the western country, Chinese real estate market still in the primarysituation and the house price is irrational high, so the real estate market shows up irrationalprosperous which leaves from fundamentals determined by rent and appears some special pheno-menon which western countries rarely exist. The phenomenon will definitely affect the wealth eff-ect value of real estate market and also block the transmission channel of wealth effect in some degree. This dissertation implements Permanent Instantaneous Model and Information Sharing Modelwhich is originally used in spot-future market into the real estate market. It is believed that there isa potential house price existing behind the housing selling price, land price and rental price, and thecontribution rate in every market to potential house price is examined correspondingly. Theconclusions show that the house price has been increasing rapidly in the past decades, but the rentalprice increases quite slowly and has nearly zero contribution rates to potential house price.Meanwhile, the rental price is independent from housing sale price and land price, and does notplay a proper role to both the house price and the wealth effect in the real estate. Besides, in theprocess of examining the influencing factors on house price, it is found that the house price hasinfluenced on GDP within short time instead of in the long-run. There is excessive speculativedemand in Chinese real estate market which represents irrational flourishing, and the transmissionmechanism of wealth effect via rental market is not smooth.
Thirdly, the changing of external economic environment will affect the wealth effectundoubtedly, so the wealth effect of real estate will show different characteristics in different time.Based on the time series data and panel data this dissertation sections the sample interval after thereal estate reform and analyzes wealth effect comparatively in total sample interval and thesub-intervals. The cointegrated test, error correction model and bootstrap method are implementedto study on the time series data. Panel unit root test; Panel cointegrated test and panel OLS areimplemented on provincial panel data. The results show that although the house price elasticity in two kinds of data of is different, the variation trend is synchronous. In total sample interval, thewealth effect is negative significantly, which means that the rapid increasing of house price inChina after the reform does not increase domestic demand but producing extrusion effect tohousehold consumption. Comparatively, citizen’s disposable income still is the main reason to pullup consumption. In sub-sample intervals, the wealth effect is positive only in 2003-2007 interval,and it is fit for the five-year prosperous of macro-economy. But after the financial crisis in 2007,the house price shows V type fluctuations, and the exorbitant house price produces extrusion effectto household consumption again.
Fourthly, disposable income and house price are two endogenous variables which are veryimportant in the consumption model, and their different regimes will make the consumptionfunction non-linear. This dissertation uses threshold regression model and panel threshold model toexam the time series data and panel data in different wealth effect from 1998 to 2011 when theincome growth and house price growth are in different regimes. The result shows that the wealtheffect in high income growth regime is stronger then that in low income growth regime. Themoderate growth regime of house price is much bigger in promote the consumption than over highor over low regimes. But the disposable income still is the main element to promote residentialconsumption. Therefore, only if by increasing the citizen’s income and controlling the increasingspeed of house price to the moderate level will the increasing house price promote the domesticdemand effectively.
Fifthly, the wealth effects of real estate market and also their transmission ways are differentwhen the house property types are different. Based on the CHNS micro data, this dissertationexplores the coefficient of elasticity in different house property types and also compares the wealtheffects in the year of 2000 and 2009. Then the quantile regression method is implemented toexamine the changing of wealth effects in different property types from low consumption quantileto the high level. Results show that the elastic coefficients are significantly positive. The promotionrole of owner-occupied house property is the strongest, while the promotion power on consumptionof public-occupied house property is the weakest. Particularly the role of rental house is totallyinsignificant, which is corresponding to the analysis results above. In addition, the wealth effect ofyoung consumer is higher than the old no matter in owner-occupied house property or the public ones, which is quite different from the western real estate market. It could be seen that here thevalue of the owner-occupied house is used represent when the houses are necessities. The effect issignificantly positive, which is totally different from the negative testing results above, explains thatthe excessive speculative demand is the main reason of negative wealth effect in real estate marketin China.
Sixthly, expanding to macro-economy, the monetary policy will play an important role inentity economy target and macro-economy through the real estate market. This dissertation useSVAR model, Impulse Response Function and Variance Decomposition method to measure thegeneralized wealth effect of real estate market, and analyze its influence on household consumption,economic growth and price stability. The result shows that in the transmission of monetary policyto the real estate, the real estate market plays an important role in the transmission mechanism ofmonetary policy. The conduction role is much more obvious when the money supply becomeintermediate target while is very weak when the intermediate target is interest rate. In thetransmission of the real estate market to consumption, there is not response of consumption tohouse price in the long term. In the transmission of the real estate market to macro-economy, theinfluence of house price fluctuation on macro-economy is significant. The shock of house price willbring in great rising in GDP and CPI in the short-run which means the rapid rising of house pricewill bring in rapid increasing but also instability of economy.
In summary, different periods, income gap among residents, different structural differentiationon real estate, and different levels of economic regions’developments all determine thesupply-demand relationships in the real estate market. Therefore when the government makes theregulation policy of real estate market, such situations above should be taken into consideration.One the one hand, the government should appropriately adopt policies to maintain the sustainabledevelopment of the real estate market, drawing house price returns to reasonable level. On the otherhand, the government must avoid excessive regulation that will causes the economy changingdirection. Besides, the government should strengthen its supervision to make sure that the realestate market is running reasonably and effectively, and also should provide a favorableinstitutional environment for the development of the real estate market. Only in that could the realestate market play its role in stimulating domestic demand, promoting economic development, stabilizing the market, and ensuring equity effectively.
引文
1此处观点参见王育琨1992年所写《改革以来我国住房体制的变化》一文。2见社科院金融研究所研究员易宪容在2010年5月的报告，《中国房地产市场发展的历史进程及政策取向》。他结合中国房地产政策调控与经济环境背景，将中国的房地产市场以1998、2003、2007年来分段。
3见2012年3月23日2012中国房地产百强企业研究成果发布会上住房和城乡建设部政策研究中心主任秦虹的发言。
4见温家宝总理在十一届全国人大五次会议闭幕后答记者问的发言。
5本节中持久收入假说部分与下文2.1.3中的部分理论推导来自于David Romer所著的《高级宏观经济学》（上海财经大学出版社）第三版第七章中关于消费理论的阐述。
12参见马克思《资本论》第三卷第729页，“自然力不是超额利润的源泉，而只是超额利润的一种自然基础”。
13此处的“潜在房价”类似于Garbade和Silber（1979）提出的“隐含有效价格”。二人认为不同市场价格受一个共同“隐含有效价格”所驱动，这一因子形成不同市场价格间的共同长记忆成分。
24出自高铁梅《计量经济分析方法与建模》第一版，305-306页。
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