按揭贷款、资产回报与房地产价格

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1 2002 : % 28.7% % 11.1% % % % 19.9% 16.5%14.7%13.7%12.4%11.9%11.4% 11.2%

2 ( ) ( =100) ( ) 1 =

3 Poerba1984 Bruce olz-eakin(1999)lasrapes2002 Lasrapes2002 Lasrapes U = U, C ) ( C ax 0 U (, C ) e ρ d ρ 0 < ρ < 1 + ( P ) B = y + S( ) C ( δ + τ + ) P + R BR

4 1 R P B R S S ( ) > 0, S ( ) < 0, δ τ Lasrapes2002 B = βp 2 β 0 < β < y + (1 β ) P + (1 β ) P = y + S( ) C ( δ + τ + ) P + R βp R x = P, z = ailonian ˆ a = U (, C ) + λ[ y + S ( ) C ( δ + τ + ) P + R β P R ( 1 β ) x (1 β ) P z] + µ x + ξ z λ, µ, ξ, P, FOCs a ˆ C = U C λ = 0 3 R R, U C U U CC 4

5 a = λ( 1 β ) + = 0 µ x a ˆ z = λ(1 β ) P + ξ = 0 4 a λ = λρ = λρ λr = λ( ρ R ) 5 a ξ = ξρ = ξρ U λ[ S ( ) ( δ + τ + ) P βp R (1 β ) x] = ξρ U (, + λ[ P ( δ + τ + ) + βp R + (1 β ) x S ( )] 6 U (, = γ ln C + (1 γ ) ln, 0 < γ < 1, 3 λ = U C (,, 4 ξ = U (, (1 β ) P 5 U (, C = U CC C (, ( ρ R ) C 6 P = R S ( U ) + U C ( (, C ), C ) (1 β ) + ( δ + τ + ) + βr 7 7 S ( ) ) R ( 1 β 5

6 R R δ +τ + 7 ( R + β ( R R ) + δ τ + ) + R R β R R R R β

7 ax U (, C ) e 0 ρ d ) B = y + S( ) C ( + + ) ( P δ τ P B R B = βp β w = ailonian y S C P P R P w ˆ + ( ) ( δ + τ + ) β a = U (, + λ 1 [ ] + 1w (1 β ) µ λ1 µ 1 P & & ˆ a C = U C λ1 (, (1 β ) = 0 9 ˆ a w λ1p = + µ = ˆ = a 1 µ 1ρ µ y S( ) + C + S ( ) + P w(1 β ) = µ 1ρ U (, λ1[ ] 11 2 (1 β ) P = y + S( ) C ( δ + τ + ) P βp R (1 β ) P 12 U (, = γ ln C + (1 γ ) ln,0 < γ < µ 1 U (, P (1 β ) = C C = 0, P = 0, = 0, 7

8 P U (, C ) S ( ) + U C (, C ) = ρ (1 β ) + ( δ + τ + ) + βr 13 S ( ) δ +τ + β 13 β U (, C ) S ( ) + ( R P U C (, C ) = β + ρ) [ ρ(1 β ) + ( δ + τ + ) βr ] 2 ρ > P β > 0 R R Collyns Senhadji2002 ofann2003gerlach Peng2005Collyns Senhadji

9 GDP 6 ofann2003 GDP % GDP Gerlach Peng GDP / % VECM Johansen ofann2003 Gerlach Peng2005 Johansen, Z =,, Z p Z = η+ Π Z + ε, i=1 i -i 9

10 η ε n 1 ε Π n n i VECM p-1 Z = η+ Φi Z -i+z -1+ ε, i=1 Φ n n Π i n n Π - I p i i= 1 p j=i+1 j Z [,B ri] = P, P

11 = B,, Y (20021=100) 20021=100 3 ri %

12 4 7 6 % % I1 1 ugened Dickey-Fuller DF 5 1 p -2.12C,T, p (C,1) b (C,T,1) b (C,T,1) ri (C, T1) ri (C,T3) y (C,1) y (C,1) p b P B Y y X11 2DF C T, 5%1 3 ri Phillips-Perron

13 Johansen 1 2 y 1 5 2: Johansen %1% Vec = p b ri (14) (0.046) (0.018) (14) p = vec p b ri y Innovaion (ipulse response funcion)

14 b ri 5 Innovaions 5, No.C No

15 BruceDonald and Eakin, Douglas,1999, Fundaenal Tax Refor and Residenial ousing, Journal of ousing Econoics,8, pp Collyns,Charles and Senhadji, bdelhak, Lending Boos, Real Esae Bubbles and The sian Crisis, he IMF Working Paper WP/02/20. Gerlach,Sefan and Peng, Wensheng, Bank Lending and Propery Prices in ong Kong, Journal of Banking & Finance 29(2005) pp ofann,boris, Bank Lending and Propery Prices: Soe Inernaional Evidence, ong Kong Insiue for Moneary Research Working Paper No.22/2003. Johansen,Soren, Saisical nalysis of Coinegraion Vecors, Journal of Econoic Dynaics and Conrol, Volue 12, Issues 2-3, June-Sepeber 1988, Pages Johansen,Soren, Esiaion and ypohesis Tesing of Coinegraion Vecors in Gaussian Vecor uoregressive Models, Econoerica, Vol.59, No.6 (Nov.), pp Lasrapes, Willia D.2002, The Real Price of ousing and Money Supply Shocks: Tie series Evidence and Theoreical Siulaions, Journal of ousing Econoics 11, pp40-74 Poerba, Jaes M.1984, Tax Subsidies o Qwner-Occupied ousing: n sse-marke pproach, The Quarerly Journal of Econoics, Vol 99, No.4, pp

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