Research On Analysis,Prediction And Monetary Policy Regulation Of House Price Bubble

Over the past twenty years,China’s real estate industry has developed rapidly,meanwhile,China’s house prices have risen rapidly.High house prices have already been a real problem that is difficult to avoid in the society.The outbreak of the Japanese bubble economy and the US subprime mortgage crisis shows that the house bubble is easy to transmit to the whole financial system and lead to economic crisis,and the disorder expansion of bubbles is often related to the policy choices of monetary authorities.In China,the scale of the real estate industry is huge,and the real estate industry is tied up with the banking industry,in addition,housing has also become the most important part of household assets,and have also aroused concerns among scholars and policy makers about the bubble problem.Under this background,a correct understanding of house price bubbles is very important for risk management and policy formulation.This paper based on the main line of understanding bubbles,analyzing bubbles,forecasting bubbles and coping with bubbles,systematically test and calculate the house price bubbles,analysis the economic effects of house price bubbles,build a monitoring and early warning system of house price bubbles,and research on the regulation effect of monetary policy on house price bubble.On this basis,this paper puts forward policy proposals to deal with house price bubble,and provides reference for policy making of relevant departments.Therefore,this article focuses on five important parts of the house price bubbles.First,the correct recognition and measurement of house price bubbles is the basis for understanding housing bubbles.This paper expounds the basic concept and formation theory of house price bubbles,and then uses descriptive index method,bubble calculation method and statistical test method to test and calculate the average housing prices in the whole country and the housing prices in Beijing,Shanghai,Tianjin and Chongqing.In China,house price bubbles began to emerge since 2005,and the bubble increased rapidly from 2009 to 2010.Since 2015,the rising house price continue to show explosive characteristics,and the growth of the fundamental house price has slowed down obviously,resulting in the increasing proportion of the bubble.Among the four cities,the house price bubble in Beijing and Shanghai are the most serious,and may be affected by irrational factors.The bubbles are concentrated in 2009 to 2010 and 2016 to 2017.From 2013 to 2014 and the second half of 2015,the explosive rise of house prices in the two cities comes from the support of fundamentals,should not be identified as bubble.The house price bubble in Tianjin is lower than that of Beijing and Shanghai,and the house price bubble in Chongqing is the lowest,most of the time,even below the national average.Since 2018,the price bubble of four cities has ended one after another,but the housing price bubble continues to expand rapidly.Second,theoretically,the house price bubble has both positive and negative effects on the economy.A certain degree of bubbles can help promoting market prosperity and economic growth,but the existence of bubbles will also damage the efficiency of resource allocation,lead to market volatility and further inhibit economic growth.Therefore,theorists and practitioners have always been debated about "keeping house prices" or "squeezing bubbles".The economic effect of the house price bubble should be further explored through empirical research.In order to accurately depict the time-varying and asymmetric characteristics of the house price bubble impact effect,based on the TVP-SV-VAR model,this paper designed are cognition rule of sign and zero restrictions to identify the asymmetric effect of house price bubble,and empirically analyze the time-varying and asymmetric characteristics of the macroeconomic impact of house price bubbles.The results show that the rising bubble of house price can only stimulate the economy in a relatively short time,but in the medium and long term,the expansion of bubbles will inhibit economic growth.The reduction of bubble will inhibit economic growth in the short run,but this negative effect is not only small,but also short-term,in the medium and long run,squeezing the bubble will help to boost the economy,and the positive effect is large and can lasting for a long time.Further analysis of time-varying effect shows that,in recent years,the positive effect of house price bubble on the short-term economy has been decreasing.At present,it is difficult to stimulate the short-term economy by expanding the house price bubble,however squeezing out the bubble is more conducive to promoting long term economic growth than ever before.During the economic downturn,the negative effects of house price bubble should be vigilant,and the house price should fall back to a reasonable range as soon as possible.Third,wealth effect refers to the change of consumption demand caused by the increase or decrease of household wealth,which is an important channel for house price to affect the economy.Under the background of rising house price bubble in China,the housing assets of households have increased dramatically.So it is necessary to explore the impact of house price from the perspective of wealth effect.Considering the possible structure breaking,this paper use the co-integration test with structural breakpoint to analyze the wealth effect of housing assets,financial assets,income and consumption expenditure in China.The research shows that:since 2013,the promotion effect of income increase on consumption has declined,and the impact of housing assets and financial assets on household consumption has increased significantly.Further,considering the high proportion of residential consumption in consumption expenditure and the rigidity of residential consumption,the change is difficult to reflect the residents’ active adjustment of consumption,but more passively increases and decreases with the fluctuation of house prices.Therefore,this paper re tests the data after removing the housing expenditure,and finds that the increase of housing assets does not significantly promote the non residential consumption of residents.This shows that the impact of rising house price on consumption is only due to a substantial increase in residential expenditure,which means that the existence of house price bubble leads to a significant increase in residents’ living cost and can not effectively stimulate domestic demand.The results of permanent and transitory shock decomposition show that,the long-term fluctuations of consumption,income,housing assets and financial assets are all determined by permanent shocks,which proves that the wealth effect analysis based on co-integration relationship is reliable.The above results show that stimulating housing transactions is not an effective way to expand domestic demand.In the long run,reducing the house price bubble will help to release the consumption potential of residents.Fourth,the negative impact of house price bubbles on the macro economy is increasing.It also brings risks to financial stability.Therefore,it is important to find abnormal changes in house prices as soon as possible and adjust and correct speculative bubbles through appropriate policies.The influencing factors of house price bubbles mainly come from four aspects:supply and demand of housing market,macro-economy,currency and finance,and land market.In this paper,23 macroeconomic and financial indicators are selected as forecasting variables.Model combination methods such as BMA,boosting and penalized regression methods are applied to the prediction of house price bubbles.The performance of forecasting variables in short-term and long-term bubble prediction is also analyzed.The forecast results show that the bubble will ease in the first half of 2020,and the probability of house price bubbles will increase in the second half of 2020,but the duration will not be long.In addition,the analysis of prediction variables helps to understand the driving factors of house price bubbles.In the in-sample prediction,the supply and demand variables of housing market play an important role in the short-term prediction,the long-term prediction is mainly dependent on the variables of monetary and financial variables,which means that the house price bubbles are easily affected by imbalance of supply and demand,and loosing monetary and financial environment.The importance of the variables of monetary and financial variables is further enhanced in the out-of-sample prediction,which indicates that it contains forecast information about the future development of the house price bubbles.Which also means the relationship between monetary policy and housing bubble is worth paying attention to.Fifth,how monetary policy should deal with housing bubble is an important economic issue.In order to avoid damaging the market fundamentals while restraining bubbles,we must distinguish monetary policy from the effects of price bubbles and basic housing prices.In order to improve the accuracy of shock identification,this paper uses long-term restrictions,short-term restrictions and sign restrictions to identify monetary policy shocks.The empirical results show that the impact of interest rate shock on the fundamental house price has increased,and the effect of interest rate on bubble has been greatly weakened since 2011.The impact of money supply on house price bubble has always been relatively stable,although it also cause changes in fundamental house price,but this proportion is relatively low.At present,price-oriented regulation cannot effectively restrain house price bubble,quantity-oriented regulation is more effective in restraining house price bubble and the negative effect of the fundamental of the housing market is relatively small.When adopting loose monetary policy to deal with economic problems,expansion of money supply will easily lead to the runaway of house price bubbles.Moderate interest rate adjustment is more conducive to the stabilizing the demand in the housing market,while stimulating the economy and avoiding the stimulation of bubbles.The innovations of this paper are as follows:First,when testing the explosive bubble of city’s house price,this paper combines the bivariable test method based on co-explosive VAR model and the univariate test method based on right-tailed unit root test to explore the dynamic tribute from the rent related fundamental,which provides more powerful evidence for accurately identifying the bubble and determining the duration of the bubble.Second,based on the measurement of house price bubble,asymmetric house price bubble shocks are identified by adding appropriate restrictions in a TVP-SV-VAR model,From the two aspects of time variation and asymmetry,the economic effect of house price bubbles is analyzed,and the difference of economic effect between the expansion and reduction of house price bubbles in China at this stage is clarified.Third,this paper uses combination restrictions to reduce the endogenous problem of monetary policy shocks,and decomposes the impact of monetary policy shocks on housing prices into the impact on house price bubble and the impact on fundamental house price,and clarifies the difference of the response of house price bubble and fundamental house price to price-oriented and quantity-oriented monetary policy shock.Then estimate how the two kind of regulatory policies play an effective role in the background of house price bubble.