金融危机的人口—信贷—房价模型
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| Title | The Demography-Credit-Property Price Model of Financial Crise
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| 作者 | 张晓朴 朱太辉 |
| Author | Zhang Xiaopu and Zhu Taihui |
| 作者单位 | 中国银监会政策研究局 |
| Organization | Policy Research Department， China Banking Regulatory Commission |
| 作者Email | zhangxiaopu@cbrc.gov.cn；zhutaihui@cbrc.gov.cn |
| 中文关键词 | 金融危机 房地产泡沫 人口老龄化 信贷扩张 |
| Key Words | Financial Crisis; Property Bubble; Population Aging; Credit Expansion |
| 内容提要 | 日本20世纪90年代的金融危机与美国此次金融危机等表明，人口老龄化、信贷扩张和房地产泡沫“齐碰头”通常会对金融体系的稳定造成冲击，甚至引发金融危机。本文在这一典型事实的基础上，将Allen和Gale（2000）的“信贷—资产泡沫模型”嵌入传统的“人口—资产泡沫模型”，构建了分析上述三因素“齐碰头”影响金融稳定的“人口—信贷—房价模型”（DCP模型）。该模型表明，人口数量增加、抚养率下降会通过提高经济增长速度和增加房地产居住性需求，推动房地产“基础价格”的上涨；信贷扩张则会在此基础上加大房地产投资性需求，导致房地产“泡沫价格”不断膨胀，最终冲击金融体系的稳定。跨国实证检验结果和稳健性检验支持了理论分析结论。 |
| Abstract | Japan's financial crisis in the 1990s and recent financial crisis in the United States demonstrated that the co-movement of population aging, credit expansion and property bubble tend to undermine the stability of the financial system, and even lead to financial crisis. Based on this stylized fact, this paper integrates the "credit-asset bubble model" proposed by Allen and Gale (2000) into the traditional “demography-asset bubble model" to build a Demography-Credit-Property Price Model (DCP model). In this model, the increasing of population, the declining of dependency ratio will promote faster economic growth and increase the resident’s demand for real estate, and finally promote the "basic price" of real estate to rise. When the "basic price" is rising, credit expansion will increase the investment demand for real estate, and promote the "bubble prices" of real estate to enlarge continually, eventually threatening the stability of financial system. The results of cross-countries empirical analysis and robustness tests are consistent with the results of theoretical model. |
| 文章编号 | WP577 |
| 登载时间 | 2014-01-14 |
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