关键词: 房地产市场波动, 宏观审慎政策, 双支柱调控, 经济和金融稳定

Abstract: This paper embeds housing mortgage loans and real estate producer mortgage loans into a DSGE model with financial intermediaries to examine the impact of real estate fluctuations on the macroeconomy, and evaluate the effectiveness of macroprudential policies in regulating the real estate and the effect of two-pillar regulation. We find that housing demand shocks drive up housing prices, which in turn increases bank leverage, expands credit, and accumulates financial risks. Once the risks emerge, financial shock from the bank will worsen the bank’s balance sheet, tighten credit constraints, causing macroeconomic fluctuations. In order to deal with the impact of real estate fluctuations on the macroeconomy, two housing financial supervision tools, loan-to-value (LTV) and capital adequacy ratio, are selected to conduct countercyclical macroprudential policy experiments. The results show that the optimal LTV and the optimal capital adequacy ratio can both actively regulate house prices, but there are differences in their response to credit. Macroprudential policies have trade-offs for different family welfare, and social welfare improves through Kaldor-Hicks efficiency. Based on the extended policy frontier curve analysis, macroprudential policy reduces the impact of real estate fluctuations on the macro economy by decreasing procyclical credit market fluctuations, and coordinates monetary policy that aims at the aggregate economy to enhance economic and financial stability. This study provides policy implications for clarifying the impact mechanism of real estate fluctuations on the macroeconomy, as well as the effectiveness of macroprudential policy to regulate real estate and improve the twp-pillar regulation framework.

Key words: Real Estate Market Fluctuations, Macroprudential Policy, Two-Pillar Policy Regulation, Economic and Financial Stability