摘要
房地产市场作为现代经济体系的重要组成部分，其波动对金融稳定具有深远影响。本研究以全球金融危机后房地产市场的剧烈变化为背景，旨在探讨房地产价格波动与金融系统风险之间的传导机制及其政策含义。通过构建动态随机一般均衡模型（DSGE），结合2000年至2022年间主要经济体的面板数据，研究发现房地产价格波动不仅通过资产负债表渠道直接影响金融机构稳定性，还通过信贷扩张和居民消费行为间接加剧金融系统的脆弱性。进一步分析表明，房地产市场波动对金融稳定的冲击在高杠杆环境下尤为显著，且这种影响因地区间市场结构差异而存在异质性。本研究的创新点在于引入了非线性效应分析方法，揭示了房地产价格波动在不同区间内的不对称影响，并提出了基于情景模拟的压力测试框架以评估潜在风险。研究表明，加强宏观审慎监管、优化房地产信贷结构以及完善风险预警机制是维护金融稳定的关键措施。这一结论为政策制定者提供了理论支持和实践参考，同时丰富了房地产市场与金融稳定关系的研究文献。
关键词：房地产价格波动；金融系统风险；动态随机一般均衡模型；宏观审慎监管；非线性效应分析
Abstract
The real estate market, as a critical component of the modern economic system, has profound implications for financial stability through its fluctuations. This study investigates the transmission mechanisms and policy implications of the relationship between real estate price volatility and financial system risks in the context of the dramatic changes in the real estate market following the global financial crisis. By constructing a dynamic stochastic general equilibrium (DSGE) model and incorporating panel data from major economies between 2000 and 2022, the research reveals that fluctuations in real estate prices not only directly affect the stability of financial institutions via balance sheet channels but also indirectly exacerbate the vulnerability of the financial system through credit expansion and shifts in household consumption behavior. Further analysis indicates that the impact of real estate market volatility on financial stability is particularly pronounced in high-leverage environments and exhibits heterogeneity due to differences in market structures across regions. A key innovation of this study lies in the introduction of nonlinear effect analysis, which uncovers asymmetric impacts of real estate price fluctuations across different intervals. Additionally, a scenario-based stress testing fr amework is proposed to evaluate potential risks. The findings suggest that enhancing macroprudential regulation, optimizing the structure of real estate credit, and improving risk warning mechanisms are essential measures for maintaining financial stability. These conclusions provide theoretical support and practical guidance for policymakers while contributing to the literature on the relationship between the real estate market and financial stability.
Keywords：Real Estate Price Fluctuation; Financial System Risk; Dynamic Stochastic General Equilibrium Model; Macro-prudential Regulation; Nonlinear Effect Analysis
目 录
摘要 I
Abstract II
一、绪论 1
(一) 房地产市场波动与金融稳定的研究背景 1
(二) 国内外研究现状综述 1
(三) 研究方法与技术路线 2
二、房地产市场波动的传导机制分析 2
(一) 房地产市场波动的基本特征 2
(二) 波动对金融机构资产负债的影响 3
(三) 波动通过信贷市场的传导路径 3
三、房地产市场波动对金融风险的影响 4
(一) 房地产价格波动与系统性风险的关系 4
(二) 波动对银行体系稳定性的影响 5
(三) 波动引发的流动性风险分析 5
四、金融稳定政策应对与房地产市场调控 6
(一) 宏观审慎政策在房地产市场的应用 6
(二) 房地产金融监管的有效性评估 6
(三) 政策协调对金融稳定的作用 7
结 论 9
参考文献 10
