房价波动与房贷违约风险

Although housing price volatility and geographical diversification have significant impacts upon mortgage default risk and bank safety, the existing literature neglects their roles in mortgage default risk and bank risk.For this reason,employing mathematical and econometric approaches, this project will first explore housing price volatility and further investigate its impacts upon mortgage default risk, mortgage default loss and mortgage capital adequacy respectively. Firstly, as the previous works incorrectly regarded the first-purchasement housing as consumption demand, this project will strictly define consumption demand and investment demand and examine their influences on housing price volatility respectively.Secondly, in order to overcome the drawback of the non-option theory of mortgage default risk, based on housing price and borrower's income, this project will develop the option model and non-option model of mortgage default risk respectively,and combine them by virtue of their joint distribution function. Thirdly, the preceding works ignor the roles of housing price volatility and geographical diversification in mortgage default loss and mortgage capital adequacy. Hence, based on housing price volatility and geographical diversification, this project will construct mortgage default loss model and mortgage capital adequacy model respectively.Finally,this project will utilize the housing price panel data of China's 35 large and middle cities, the unique large-scale mortgage panel data of one Chinese major commercial bank and the capital adequacy panel data of Chinese commercial banks to empirically test the above theories. The results will be evident and favorable for both Chinese commercial banks and regulators to improve their mortgage risk management and supervise banks' capital adequacy dynamically.

房价波动和地理多样化对房贷违约风险与银行安全有重要影响，但现有文献忽视二者对房贷违约风险与银行风险的影响。本课题将采用数理和计量方法，从研究房价波动入手，考察房价波动如何影响房贷违约风险、房贷违约损失及房贷资本充足率。首先，本课题将从消费性和投资性需求角度研究房价波动，弥补现有文献将自住房视为消费性住房的缺陷。其次，本课题将以房价和收入为核心分别构建房贷违约的期权与非期权理论模型，利用联合分布函数将二者融合起来，并克服现有非期权实证模型无理论支持的不足；再次，本课题将从房价波动和地理多样化的视角分别构建基于二者的房贷违约损失和房贷资本充足率理论模型，弥补现有文献忽视房价波动和地理多样化的缺陷。最后，本课题将使用中国35个大中城市房价、某主要商业银行大样本房贷、银行资本充足率等面板数据，对各理论模型进行实证检验，为商业银行及其监管机构加强房贷违约风险管理、动态监管房贷资本充足率提供经验支持。

次贷危机表明房价波动对房贷违约风险和银行安全有重要影响，但现有文献忽视房价波动和地理多样化对房贷违约风险与银行风险的影响。本项目采用数理和计量方法，从住房特性角度分析了房价波动。其次，鉴于宏观经济政策和外部性影响房价波动，本项目还考察了通胀、贫富差距、交通建设、文化和空气质量对房价波动的影响。最后，本项目从地理多样化、期权和非期权理论、房贷规模角度、考察房价波动对房贷违约风险和房贷资本充足率的影响。本项目使用中国288个城市数据、城市住户调查数据（UHS）、中国189家商业银行数据以及某商业银行抵押贷款数据实证检验了房价波动及其对房贷风险和资本充足率的影响。本项目研究发现：第一，从消费性和投资性需求角度构建的无泡沫租售比和泡沫租售比能有效测度住房泡沫；第二，地理位置多样化有助于降低房贷拖欠和违约风险。第三，以房价和收入为核心分别构建房贷违约的期权与非期权理论模型，利用联合分布函数将二者融合；第四，房价趋势项和波动项分别对银行资本充足率有正影响和负影响，房贷占比对资本充足率有负影响；第五，房价能够有效抵御通胀；第六，贫富差距对房价有正影响，贫富差距与供求弹性交互项对房价分别有正和负影响；第七，地铁站设立导致城市房价围绕地铁站向外呈波浪式衰减，高铁建设对住房供求均存在动能效应（momentum effects）；第八，人口流入和经济增长有助于去库存，老龄化对房价有负影响，住房遗产动机及其与老龄化交互项对房价有正影响，离婚和限购政策对房价有正影响，限购政策提高了离婚对房价的正影响；第九，文化相似度与国际房价共同运动正相关，与东道国供给弹性和住房保障程度与国际房价共同运动负相关；第十，高收入者和老年人更关心健康，低收入者和中青年人更关心收入。因此，本项目不仅发展和完善了房价波动和资本充足率理论，而且为商业银行及其监管机构加强房贷风险管理、动态监管资本充足率提供经验支持。