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张家瑞老师谈有趣的经济学前沿,订阅!

原标题:张家瑞老师谈有趣的经济学前沿,订阅!

发刊词 Foreword

最前沿的经济学研究都在关注一些什么问题?经济学家们都在忙什么?他们的研究有没有什么有趣的发现?有没有一些对我们有价值的思考?

在宁诺商学院的这个话题专栏里,我每周向大家介绍一篇前沿的、有趣的经济学研究成果。它可能是关于人的行为和人性的分析,可能是关于企业运营和管理的探讨,可能是关于金融市场和资产价格的研究,可能是关于宏观经济运行和经济政策的讨论,可能是关于制度和激励机制的设计,亦可能是关于经济发展历史和规律的总结等等。我们一起品尝,一起讨论。不论你是否从事经济学研究,或者从事和经济金融分析相关的工作,抑或是我们商学院的同学或是校友,希望这些分享能让你觉得有趣,甚至能有所启发。

当然,限于我自身的水平,分享中难免有偏颇、遗漏、甚至误读之处,请大家包涵!当然,文责自负。我会给出原文出处,供感兴趣的朋友进一步阅读。

张家瑞老师谈有趣的经济学前沿,订阅!

张家瑞 博士, 宁诺商学院经济学助理教授

Dr Jiarui Zhang ,Assistant Professor in Economics, NUBS China

Fascinating Frontiers of Economic Research

(Foreword)

What are economists doing? Are there any interesting findings in their research? Can we learn something useful from their thoughts?

In this column, once a week, I will introduce an economic research paper that is interesting and at the frontiers of research. It may investigate human behaviour or human nature; it may study firm operations and management, it may be about research on financial markets and asset prices; it might discuss macroeconomic dynamics and economic policies; it may also investigate incentives and institutional design, or even summarise the history of economic development, or other topics. Regardless, I hope that you will find the topic interesting and useful.

展开全文

Of course, limited by my own ability, there may be errors, omissions, and biased understandings. While all the responsibilities are mine, I hope to extend the discussion of these interesting papers with your comments and feedback.

NUBS China

01

有趣的经济学前沿——房价泡沫和破灭:当理论遇上证据

(标签:宏观经济,金融危机)

众所周知,2008年美国爆发了次贷危机,而这一场金融风暴的核心就是美国的房地产。美国的房价和人均收入的比值原本一直在3.3左右小范围波动,但从2001年年底开始,这个比值突然攀升,至2007年左右达到阶段性顶峰的5.0左右,然后突然掉头向下(如下图所示)。

张家瑞老师谈有趣的经济学前沿,订阅!

美国中位数房价和人均收入的比值(数据来源:CEIC)

伴随着房价的大幅度上升,越来越多的美国居民加入了买房的大军。美国人民储蓄率低,为了买房,他们向银行申请抵押贷款。而银行呢, 一方面由于房价在上涨,他们觉得住房抵押贷款的风险很小,因为反正即便贷款者违约了,他们收回的房产也在增值;另一方面他们手里有闲钱,同时还使用了一种“住房抵押贷款证券化”的工具把放出去的贷款作为资产再卖掉,回收的现金又能给更多的人贷款。因此,银行对贷款的审批也越来越松,从最开始要求贷款者出具收入证明,还要20%首付,到最后居然0首付,前六个月不用还钱,也不用什么收入证明,熟人推荐一下即可。这种几乎“疯狂”的贷款就属于“次级贷款”。银行为什么愿意给那些原本没有资质的人放贷呢?房价在上涨是一个可能的原因,银行把那些高风险的次级贷款打包卖掉也是一个原因。这样一来,贷款的人违不违约,银行无太所谓,因为风险已经被银行转移了。

于是,居民愿意借,银行愿意贷,华尔街愿意买单,一个自我实现的房价泡沫就这样形成了。直到2007年,美国出现大面积违约,大家一片惊慌,不知道谁手里还持有被包装过的次级贷款。疯狂甩卖之下,华尔街的金融巨鳄贝尔斯登和雷曼兄弟破产,其他金融机构也纷纷陷入危机。房价开始跳水,金融危机爆发。

那么问题来了,这场金融危机的罪魁祸首到底是谁呢?虽然已经过了13年,但学术界仍一直为这个问题争论不休。秋后算账,到底谁应该为这场危机埋单?今天分享的这篇文章就是2020年发表在全球顶级经济学期刊 Journal of Political Economy 上的很有代表性的一篇文章。这篇文章仔细地分析了2008年前后美国住房抵押贷款市场以及居民的借贷行为。它构造了一个系统性的一般均衡模型,并且通过数值模拟的方式来判断各种“外生变量”对房价的影响程度。在这个模型中,居民可以选择买房,也可以选择租房。买房需要贷款,而贷款成本取决于一些条件,比如说首付比例,收入水平等等,这些因素会决定一个人的信用能力,从而决定他贷款的成本。那么这个模型中一个人什么情况下选择租房子,什么情况下选择买房子呢?买房虽然比租房更幸福一些,但租房不用贷款,而买房要贷款,因此买房可能导致的成本也更高一些。对比来看,是否买房子一方面取决于这个人的年龄和收入水平,以及当下的贷款条件(比如说首付比例的要求),更重要的是还取决于人们对房价走势的预期。如果大家都预期房价要上涨,那么赶紧买房不仅成本更低,而且还可能有资产增值的好处。

总之,这篇文章最后分别研究了三个“外生冲击”对房价的影响。这三个“外生冲击”分别是:居民收入突然增长了(例如因为技术突然进步了),贷款条件突然放松了(例如要求的首付比例突然下调了),以及人们突然预期房价要上涨了。其结论是:相比较而言,收入增加和贷款条件放松对房价上涨的作用微乎其微,因为这两个因素并不会大幅度刺激人们买房的需求。人们并不会因为收入增加一点或者首付比例下降一点就急忙贷款买房子。然而,预期的改变则对房价上涨有特别重要的作用。人们一旦预期房价要涨,特别是所有人都预期房价要涨,那他们还不赶紧贷款买房子,坐等资本增值的好处么?作者指出,正是因为美国全社会对房价走势的预期在2003至2005年之间突然变了,变得特别乐观,人们才疯狂买房,房价才真的大幅上涨。同样也是因为人们对房价的预期在2007年出现了180度大拐弯,人们又开始疯狂卖房,贷款也开始违约,这才出现了房价跳水和金融危机。为了辅助这个论点,作者还找到了一些论据,例如美国的全国住房建筑商协会(National Association of Home Builders)每个月发布的房地产市场情绪指数就表明,人们对美国房地产市场的情绪在2002~2005年之间越发高涨和亢奋,果然表明大家都一致看好房市。而2005年这个情绪达到顶点后开始掉头向下,也预示了即将到来的泡沫破灭。

评语:我们应该怎么看这篇文章的研究和结论?表面上看,文章逻辑无懈可击。是啊,在中国我们也有这样一句话,叫做房子买涨不买跌。大家都预期房价要涨,那自然都会争先恐后去买房,从而导致预期自我实现,房价也真的涨了。至于说贷款条件嘛,仔细想想好像真的对买房需求没什么特别大的影响。管他首付20%还是70%呢,只要能赚钱,先贷款再说。可是问题真的就这么简单吗? 这篇文章的作者似乎忘记了一个重要的逻辑前提,那就是为什么在2002年到2005年之间,大家对房价走势的预期突然就变了呢?为什么大家突然就变得那么看好房市了呢?在房价不断上涨的过程中,为什么大家的预期突然又在2007年反转了呢?这真的就是凯恩斯所说的,一切都是因为我们有“动物精神”,所以不定期会“发疯”吗?

所谓“动物精神”,就是说人呐,都是不理性的,想到一出是一出。今天突然特别乐观,明天又特别悲观,情绪无常,因此总是带来经济波动。也正是因为老百姓的动物精神作怪,凯恩斯才指出需要政府出台理性的政策来平抑波动。且不论“动物精神”的假说到底靠不靠谱,就说人们情绪可能出现波动,那么全美国人民同一时间同一地点一致情绪波动到无比看好房地产,这无论如何也有点牵强。可能有人会说,老百姓嘛,虽然不太懂房地产,但可以看金融机构的报告呀。金融机构说房子要涨,老百姓就信了。有没有可能金融机构忽悠大家房子要涨,他们好发放贷款和那些金融衍生品来赚钱呢?当然有可能。 华尔街是贪婪的,金融机构都想赚钱。可为什么他们从2002年以后才开始忽悠呢?为了赚钱,他们应该一直忽悠,不停忽悠。而且那些次级贷款和次级贷款证券化的把戏,也并不是什么新鲜东西,早在70年代就存在于美国了。华尔街对这些玩意儿应该驾轻就熟,何必等到2002年以后才开始靠它们忽悠老百姓来赚钱呢?

显然,是不是还有什么重要的事情在2002年左右发生了?是不是这件事导致人们情绪发生变化,导致人们预期发生变化,导致华尔街的金融机构和投资者对形势发生了误判,导致所有人都突然变得疯狂起来了呢?如果真有这么一件事,那么按道理,这件事也应该会在2007年左右打破人们疯狂的幻想和行为模式,导致泡沫破灭和金融危机呢。到底什么事情这么神奇? 事实上,在我和中欧商学院的许小年教授合著的一篇研究论文中,我们发现还真的有这么一件事,那就是美联储的货币政策在2001年开始发生了变化。

张家瑞老师谈有趣的经济学前沿,订阅!

美联储的基准利率

2001年美国科技泡沫破灭,为了“拯救”华尔街,美联储开始大幅度降息。到那一年的9月11日,美国发生了911恐怖袭击,除了很多生命无辜牺牲之外,华尔街也再次遭受重创。由于不知道损失有多大,美联储进一步大幅度降息,将基准利率降到史无前例的1%左右,而且维持了3年多。 在这样的宽松货币环境下,贷款成本大幅度下降,商业银行流动性多得用不完,华尔街的金融投资者也绞尽脑汁寻找高收益率的投资项目。于是买房,住房抵押贷款,资产证券化,哪怕是高风险的次级贷也成了金融机构抢手的香饽饽。正是在这样的货币催化下,美国房价开始上涨,然后才有大家对房市的乐观预期。而从2005年开始,美联储发现问题不对,房市上涨得过于疯狂,于是开始加息。但是矫枉过正,美联储加息太快,短短1年的时间内,将基准利率从1%提高到5%以上。这是什么概念呢?大家可以算一笔账。假设贷款100万,20年还清或者30年还清。如果贷款利率提高1个百分点,请问每个月的月供会增加多少?答案是惊人的14%左右!那么贷款利率从1%增加到5%呢?可以想象那些低收入,甚至没有收入,前6个月还免还款的朋友,他们还会继续还房贷吗?于是违约潮开始了,人们的预期瞬间转变,风雨欲来,金融市场的连锁反应导致了巨大的危机。

随后发生的事情我们也习以为常了,美联储再次竭尽所能地救市。这一次他们将利率降到0.25%,并且维持了超过10年。利率降不动了就QE,即俗称的直升飞机撒钱。QE效果不佳就直接购买那些有毒资产。美联储像救火队长一样疯狂挽回损失,终于,我们看到美国房价在经历了“短暂”的崩盘之后,现在早已经再次上扬,而且早已经超过2008年危机前的水平了。美国的股票市场也在那次危机后迎来了长达数年的超级牛市。 人们感谢美联储啊,谢谢救火队长。可谁又想到,这场大火,原本就是这位救火队长放的呢?

有意思的是,在事后清算中,美联储不愿意承认自己货币政策失误。他们的工作人员连续发表了很多文章,将房价泡沫归因于老百姓不理智,归因于华尔街缺乏金融监管,归因于评级机构失职等等。可是拜托,这世界没有无缘无故的丧失理智,也没有无缘无故的乐观评级。正如货币政策学家,著名的“泰勒规则”提出者约翰 · 泰勒在2012年就指出的,一切都是极度宽松的货币政策环境催化出来的。

好了,学术争论不说绝对,我也只是给大家提供一些思考的可能。仁者见仁,智者见智,希望以上的分享和讨论能对大家有所帮助。如果大家感兴趣,也可以多找一些证据来支持自己的观点。最后回到今天分享的这篇文章,其实它还有一些很有用的优点。特别是对于学术建模方面,它有很多很巧妙的设计,例如在他的模型中,人的生命是有限的,住房抵押贷款的期限是长期的(这和很多传统宏观经济模型贷款是一期一期的不同),人们既可以买房也可以租房等等。相信对于相关领域的学术工作者来说,这些建模技巧还会有些帮助。不过,他的模型中不涉及货币政策,贷款成本不涉及利率,这也是这篇文章最大的一个缺陷。

参考文献:Greg Kaplan, Kurt Mitman, and Giovanni L. Violante,2020," The Housing Boom and Bust: Model Meets Evidence", Journal of Political Economy, Vol. 128, No. 9.

Fascinating Frontiers in Economics - Housing Bubble and Bust: When Model Meets Evidence

(Keywords: Macroeconomics, Financial Crisis)

As we all know, the subprime mortgage crisis erupted in the United States in 2008, and the core of this financial storm was its housing market. The ratio of house prices to per capita income in the U.S. used to fluctuate in a small range of around 3.3. However, from the end of 2001, the ratio suddenly climbed and reached a periodic peak of 5.0 around 2007, it suddenly reversed in a downward trend (as shown in the chart below).

张家瑞老师谈有趣的经济学前沿,订阅!

The Ratio of US Median House Prices to Per Capita Income (Source: CEIC)

Along with the dramatic rise in housing prices, growing American residents joined the crowd of house buyers. Americans have a low savings rate, therefore, to buy a house, mortgage loans from banks were sought. The banks felt that the risk on mortgages was low since house prices were rising and even if the borrowers defaulted, the value of the homes they could repossess was still rising. At the same time, they used their spare capital and a financial derivative called Mortgage-Backed Securitization (MBS) to package these mortgage loans into securities. The cash they got back from selling MBS was used to lend to more people. Therefore, as the risk of mortgage default had been transferred to others, the lending standard of mortgages became much looser – from requiring borrowers to provide an income certificate and a 20% down payment, allowing zero down payment waiving of mortgage repayments for the first six months. The latter kind of mortgage deal was almost "crazy" lending, otherwise known as subprime mortgages. Why were banks willing to lend to people who were otherwise not qualified? The possible reasons were rising house prices and the selling of securitized risky subprime loans. In this way, it did not matter to the banks that the people who got the loans may default since the bank transferred the risk away.

Slide up for more details.

As a result, residents were willing to borrow, banks were willing to lend, and Wall Street was willing to pay for it. Therefore, a self-fulfilling housing bubble was created. It wasn’t until 2007, when widespread and large scale defaults occurred in the U.S., that everyone panicked and wondered who was still holding subprime mortgage-backed securities. Under the fire sale, the Wall Street financial giants Bear Stearns and Lehman Brothers collapsed, and other financial institutions also plunged into crisis. House prices began to plummet, and the eventual Financial Crisis erupted.

Who is to blame for the Financial Crisis? It has been 13 years since the crisis broke out, but the academic world is still debating this question. After all, who should pay for the crisis? The article shared today is a representative one published in 2020 in the Journal of Political Economy , a top global economic journal. This article carefully analysed the U.S. home mortgage market and residents' borrowing behaviour around 2008. It constructs a systematic general equilibrium model and uses numerical simulations to determine the extent to which various "exogenous variables" affect house prices. In this model, residents can choose to buy a house or rent a house. Buying a house requires a loan, and the cost of the loan depends on certain conditions, such as the down payment ratio, income level and so on. These factors will determine a person's credit score, which will determine the cost of the loan. So, in this model, when does a person choose to rent a house and choose to buy a house? Although buying a house is more ideal than renting, the latter does not require a loan while buying a house does. Thus, the cost of buying a house is higher. The decision to buy a house depends not only on the person's age and income level, but also on current mortgage conditions (such as down-payment requirements), and more importantly, on people's expectations of where house prices are going. If prices are expected to rise, it is not only cheaper to buy a house earlier, but it may also bring capital gains.

The research paper finally studies the impact of three "exogenous shocks" on house prices. The three "exogenous shocks" are a sudden increase in household incomes (such as sudden technological advances), a premature easing of credit conditions (for example, a sudden reduction in down-payment requirements), and a sudden change of expectations about house prices. The paper concluded that rising incomes and more comfortable credit conditions had a relatively small impact on house prices because they do not stimulate much demand for houses. People are not rushing to buy a house just because their income has gone up a little or the required level of a down payment has gone down a little. A change in expectations, however, played a particularly important role in house price inflation. If people expect house prices to go up, especially the majority of the population, why not just take out a loan to buy a house, and wait for the benefit of capital appreciation? The authors point out that it was because American society's expectation became very optimistic about the direction of house prices suddenly changing between 2003 and 2005, that people bought houses actively, leading to sharp rises in house prices. It was also because of people's expectations that house prices took a U-turn in 2007, when people started selling houses frantically and defaulting on their loans. This led to house prices plunging, and thus the financial crisis began. To support this argument, the authors looked for evidence such as the National Association of Home Builders' monthly index of housing sentiment, which showed that sentiment toward the U.S. housing market grew higher between 2002 and 2005, suggesting a consensus of optimism. That sentiment peaked in 2005 and began to turn downward, heralding the coming bust.

Comments: What can we say about this research and its conclusions? Well, the logic of the article is impeccable. In China, there is a saying that we should buy a house when its value is rising. If everyone expects house prices to go up, people will naturally rush to buy one, leading to self-fulfilment of expectations, and house prices will actually rise. The lending conditions did not really seem to have much of an effect on the demand for houses. It does not matter whether the down payment ratio is 20% or 70%, as long as we can make money out of the house that is invested in, we will take out a loan. But is it really that simple? The authors of this article seem to have forgotten an important logical premise – why between 2002 and 2005, did people's expectations about the trend of house prices suddenly change? Why was it that everyone was so suddenly bullish about houses? In the midst of rising house prices, why did expectations suddenly reverse in 2007? Is it really what Keynes said that it was all because people have "animal spirits" and therefore go "mad" from time to time?

“Animal spirits” is a hypothesis that people are not rational. One day they are suddenly optimistic, and then the next day they become much pessimistic, bringing about a changing mood and thus economic fluctuations. It was the animal spirits of ordinary people that led Keynes to point out the need for rational government policy to fine-tune fluctuations. Regardless of whether the animal spirits hypothesis is correct or not, it is not very convincing to say that the mood of the entire American population at the same time, in the same place, changed to become so optimistic about real estate. Some people may argue that although ordinary households do not know much about real estate, they can read financial institutions' reports. When financial institutions say that house prices will rise, people believe them. Is it possible that the financial institutions fooled people into thinking that house prices were going up so that they could make money by making loans and selling all those derivatives? Of course, it is possible. Wall Street is greedy and financial institutions want to make money. But why did they become greedy only after 2002? Wall Street has always been greedy, and those tricks of subprime lending and subprime MBS are not new since they've been introduced in the United States in the 1970s. Why did Wall Street wait until after 2002 to start making money off these things?

Obviously, something else must have happened around 2002. It caused a change in sentiment, a change in expectations, and a miscalculation on Wall Street institutions and investors. If there were such a thing, it would have broken the crazy fantasy and behaviour patterns around 2007, leading to the bubble bursting and the financial crisis. In fact, I co-authored with Professor Xu Xiaonian from China Europe International Business School in a research paper. We found a real change in the US Federal Reserve’s monetary policy in 2001.

张家瑞老师谈有趣的经济学前沿,订阅!

The Federal Reserve's Benchmark Interest Rate

We are accustomed to what followed, as the Fed once again did everything in its power to prop up the market. They cut the interest rate to 0.25%, where it stayed for more than a decade. If a low-interest rate was not helping, Quantitative Easing (QE), commonly known as “a helicopter drop of money” was introduced. If QE did not work, then the Fed directly purchased the toxic assets. The Federal Reserve was acting like a fireman, frantically trying to put out the fires and salvage the damage, and finally, we have already seen US house prices rise again after a "brief" crash, and well past their pre-crisis levels of 2008. The US stock market also ushered in a multi-year super bull market after the crisis. People thank the Fed, the fire chief. But who would have thought that it was the fire chief who started the fire?

Interestingly, in a post-mortem reckoning, the Fed has been reluctant to admit to monetary misconduct. Their staff have published a series of articles attributing the housing bubble to people's irrationality, the lack of financial regulation on Wall Street, the failure of the rating agencies, and so on. But there is no such thing as gratuitous insanity or gratuitous optimism. As John Taylor, a monetary policy economist and the famous author of the "Taylor Rule" pointed out in 2012, that the too loose monetary environment has catalysed all this.

Academic arguments are not absolutes, but I'm just offering you some possibilities. Different people have different opinions. I hope the above sharing and discussion can be helpful to you. If you are interested, you can find more evidence to support your argument.

Finally, back to the article shared today, it has some beneficial advantages. Especially for academic modelling, it has a lot of innovative designs. For example, in the model, people's life is limited. Simultaneously, the length of the mortgage is long-term (which is different from the loans in many traditional macroeconomic models), in which people can either buy a house or rent a house, etc. It is believed that these modelling techniques will be of some help to academic research in related fields. But the model does not involve monetary policy, and the cost of borrowing does not involve interest rates. These are the most significant flaws of this article.

Original Paper: Greg Kaplan, Kurt Mitman, and Giovanni L. Violante, 2020, " The Housing Boom and Bust: Model Meets Evidence", Journal of Political Economy, Vol. 128, No. 9.

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