本文選題：金融加速器　切入點(diǎn)：房地產(chǎn)　出處：《上海師范大學(xué)》2013年碩士論文

【摘要】：房地產(chǎn)行業(yè)作為國民經(jīng)濟(jì)的支柱行業(yè)，其健康發(fā)展越來越受到人們的關(guān)注。根據(jù)金融加速器理論，初始的外部沖擊通過信貸市場的放大作用，最終將引發(fā)大幅度的市場波動，即使沖擊趨于零，由于金融摩擦的存在，這一沖擊也將被金融加速器機(jī)制無限放大，從而導(dǎo)致劇烈的經(jīng)濟(jì)波動，破壞實(shí)體經(jīng)濟(jì)的正常運(yùn)行。房地產(chǎn)行業(yè)的高負(fù)債率和開發(fā)模式?jīng)Q定了房地產(chǎn)市場中金融加速器效應(yīng)十分顯著，尤其是在政策變動和樓市供求關(guān)系發(fā)生逆轉(zhuǎn)的情況下，表現(xiàn)更為明顯。房地產(chǎn)價格的波動通過改變經(jīng)濟(jì)主體的行為方式，從而對實(shí)體經(jīng)濟(jì)產(chǎn)生廣泛的影響。具體而言，房地產(chǎn)的波動通過金融加速器機(jī)制對投資、居民消費(fèi)行為產(chǎn)生影響，進(jìn)而影響到社會總需求和總供給的平衡。之前關(guān)于房地產(chǎn)行業(yè)金融加速器效應(yīng)的研究多是集中在貨幣政策的變動通過加速器機(jī)制對投資的影響，而作為信貸的主體部門銀行卻一直被忽略，銀行部門作為企業(yè)貸款的主要來源，其違約概率、銀行資本和貸款利率水平在此過程中起到重要的作用，而由于數(shù)據(jù)的可得性和實(shí)證的可行性，，這里我們僅考慮貸款利率。我們感興趣的是，貸款利率是不是才是其中真正的“傳染源”?即貨幣政策的變動引起的貨幣供應(yīng)量的變化，是不是率先反應(yīng)在信貸市場上引起貸款利率的變化，而貸款利率的變化又進(jìn)一步引起了房地產(chǎn)銷售額的變化，房地產(chǎn)銷售額的變化又引起了房地產(chǎn)貸款額的變化，最終引起房地產(chǎn)投資額的變化。 基于這樣的研究假設(shè)，本文通過理論論證和實(shí)證分析，證實(shí)了之前的猜想，并得到以下結(jié)論：由貨幣供應(yīng)量變動率、房地產(chǎn)銷售額變動率、房地產(chǎn)貸款變動率、房地產(chǎn)投資額變動率和貸款利率五個內(nèi)生變量構(gòu)建VAR模型，通過格蘭杰因果檢驗(yàn)我們可以看出五個變量有相當(dāng)高的因果關(guān)系。通過變量關(guān)系我們可以看出我國房地產(chǎn)信貸市場對貨幣政策的傳導(dǎo)存在明顯的金融加速器效應(yīng)。由脈沖響應(yīng)圖可以清晰的看出，國家出臺新的貨幣政策，即貨幣供應(yīng)量的變動，引起貸款利率的變動，進(jìn)而引起房地產(chǎn)銷售額、貸款額和投資額的變動。至此，房地產(chǎn)金融領(lǐng)域的金融加速器機(jī)制傳導(dǎo)路徑就被清晰的刻畫出來了。
[Abstract]:As the pillar industry of the national economy, the healthy development of the real estate industry has attracted more and more attention. According to the theory of financial accelerator, the initial external impact will be amplified by the credit market, which will eventually lead to large market fluctuations. Even if the impact tends to be zero, due to the existence of financial friction, the impact will be amplified indefinitely by the financial accelerator mechanism, resulting in violent economic fluctuations. Disrupting the normal functioning of the real economy. The high debt ratio and development model of the real estate industry have determined that the financial accelerator effect in the real estate market is very significant, especially in the event of policy changes and a reversal of the supply and demand relationship in the real estate market. The volatility of real estate prices has a wide impact on the real economy by changing the behavior of the economic entities. In particular, the volatility of real estate affects investment through the financial accelerator mechanism. Consumer behavior has an impact on the balance between total demand and total supply. Previous studies on the financial accelerator effect of the real estate industry focused on the impact of monetary policy changes on investment through the accelerator mechanism. However, as the main sector of credit, banks have been neglected. As the main source of enterprise loans, the bank sector plays an important role in the process, such as the probability of default, the level of bank capital and loan interest rate. Because of the availability of data and the feasibility of empirical evidence, we only consider the loan interest rate here. What we are interested in is whether the loan interest rate is the real "source of infection"? That is, is the change in the money supply caused by the change in monetary policy the first response to the change in the loan interest rate in the credit market, and the change in the loan interest rate has further led to the change in real estate sales. The change of real estate sales leads to the change of real estate loan amount, and finally the change of real estate investment. Based on this hypothesis, this paper confirms the former conjecture by theoretical argumentation and empirical analysis, and draws the following conclusions: the change rate of money supply, the change rate of real estate sales, the change rate of real estate loan, The VAR model is constructed by five endogenous variables, the rate of change of real estate investment and the interest rate of loan. Through the Granger causality test, we can see that the five variables have quite high causality. Through the variable relationship, we can see that the conduction of real estate credit market to monetary policy has obvious financial accelerator effect. Can be clearly seen from the pulse response diagram, The new monetary policy introduced by the state, that is, the change in the money supply, causes the change in the interest rate of the loan, thus causing changes in real estate sales, loan amount and investment. The transmission path of financial accelerator mechanism in real estate finance field is clearly described.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832;F299.23

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