中国家庭债务与房价之间的自增强效应——基于全面FGLS回归和分位数回归的实证分析
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摘要
利用2008—2015年间22个样本城市的数据,构造房价收入比指标,构建面板固定效应模型,并采用全面可行广义最小二乘法(FGLS)和分位数回归的方法,考察了家庭债务与房价之间自增强效应及其作用渠道。研究发现:样本城市的家庭债务与房价之间存在较明显的自增强效应。房价上涨通过抵押效应和财富效应渠道带来家庭债务规模的扩大,且财富效应渠道的解释力度更大;家庭债务规模的扩大通过资产负债表效应和预期效应渠道推动了房价进一步上涨,且资产负债表效应渠道的解释力度更大。因此,政府应实施因城而异的差别化调控政策,保障房地产市场和信用市场的平稳发展。
Using the statistical data of 22 sample cities from 2008 to 2015, the housing price to income ratio and a fixed effect model are constructed. The self-reinforcing effects between household debt and housing prices and the transmission mechanism are investigated by using the method of comprehensive feasible generalized least squares(FGLS) and quantile regression. The findings are as follows: there is a self-reinforcing effects between the household debt and the housing prices in the city. The rise of the housing prices increases the scale of the urban household debt through the mortgage effect channel and the wealth effect channel, and the wealth effect is more explanatory. The rise of the household debt scale increases the housing prices through the balance sheet effect channel and the expected effect channel, and the balance sheet effect channel is more explanatory. Therefore, the government should implement differentiated control policies that vary from city to city to ensure the stable development of the real estate market and credit market.
Using the statistical data of 22 sample cities from 2008 to 2015, the housing price to income ratio and a fixed effect model are constructed. The self-reinforcing effects between household debt and housing prices and the transmission mechanism are investigated by using the method of comprehensive feasible generalized least squares(FGLS) and quantile regression. The findings are as follows: there is a self-reinforcing effects between the household debt and the housing prices in the city. The rise of the housing prices increases the scale of the urban household debt through the mortgage effect channel and the wealth effect channel, and the wealth effect is more explanatory. The rise of the household debt scale increases the housing prices through the balance sheet effect channel and the expected effect channel, and the balance sheet effect channel is more explanatory. Therefore, the government should implement differentiated control policies that vary from city to city to ensure the stable development of the real estate market and credit market.
引文
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(1)房价收入比=商品住宅套均售价/城镇家庭平均可支配收入=(商品住宅销售面积/商品住宅销售套数*商品住宅平均销售价格)/(城镇家庭人均可支配收入*城镇家庭户均人口数)。
(2)存在相当大的房价泡沫的14个城市为:北京、天津、上海、南京、杭州、宁波、厦门、南昌、重庆、成都、无锡、苏州、惠州和韶关。
[2]Oikarinen E.Interaction between housing prices and household borrowing:The Finnish case[J].Journal of Banking & Finance,2009,33(4).
[3]Anundsen A K,Jansen E S.Self-reinforcing effects between housing prices and credit[J].Journal of Housing Economics,2013,22(3).
[4]Edward Glaeser,Wei Huang,Yueran Ma,Andrei Shleifer.A Real Estate Boom with Chinese Characteristics[J].Journal of Economic Perspectives,2017,31(1).
[5]梁云芳,高铁梅.中国房地产价格波动区域差异的实证分析[J].经济研究,2007(8).
[6]蔡浩仪,徐忠.消费信贷、信用分配与中国经济发展[J].金融研究,2005(09).
[7]郭新华,何雅菲.中国家庭债务、房价波动与居民消费的动态相关性分析[J].经济经纬,2011(1).
[8]唐文进,张坤.基于VECM模型的家庭债务、房价与消费的动态关系研究[J].统计与决策,2013(15).
[9]吕江林.我国城市住房市场泡沫水平的度量[J].经济研究,2010(6).
[10]Bernanke B,Gertler M,Gilchrist S.The Financial Accelerator and the Flight to Quality[J].The Review of Eco-nomics and Statistics,1996,78(1).
[11]Iacoviello M.House Prices,Borrowing Constraints,and Monetary Policy in the Business Cycle[J].American Economic Review,2005,95(3).
[12]陈晨,傅勇.中国高房价的决定:基本面与泡沫分解——基于面板数据的实证研究(1999—2009)[J].世界经济文汇,2013(2).
[13]Cutler D M,Llerasmuney A.Understanding differences in health behaviors by education[J].Journal of Health Economics,2010,29(1).
(1)房价收入比=商品住宅套均售价/城镇家庭平均可支配收入=(商品住宅销售面积/商品住宅销售套数*商品住宅平均销售价格)/(城镇家庭人均可支配收入*城镇家庭户均人口数)。
(2)存在相当大的房价泡沫的14个城市为:北京、天津、上海、南京、杭州、宁波、厦门、南昌、重庆、成都、无锡、苏州、惠州和韶关。