Research On The Risk Of Real Estate Volatility And The Effectiveness Of Macroprudential Policy Regulation Under Different Expectation Formation Methods

The real estate market is facing the risk of "hard landing" and the coexistence of "curb speculation" and "limit fall order to support the bottom".The People’s Bank of China(PBOC)and the State Administration of Foreign Exchange(SAFE)have set real estate as the goal of "stabilizing land prices,stabilizing house prices,and stabilizing expectations",emphasizing the importance of expectations in stabilizing the real estate market,but the effectiveness of macro-prudential policies has yet to be further studied.Therefore,this paper studies the economic impact caused by real estate fluctuations and the effectiveness of macro-prudential policies in the process of real estate fluctuations based on different ways of people’s expectation formation,so as to provide theoretical support for strengthening expectation guidance,thus improving the macro-prudential policy framework and reducing the impact of real estate fluctuation risks on the macro economy.Based on the traditional DSGE model,this paper subdivides people’s expectations about the future macroeconomy into rational expectations and adaptive expectations,and constructs a seven-sector model including heterogeneous households,entrepreneurs,commercial banks,and the financial sector,and crystallizes real estate market volatility into four types of shocks: housing collateral default shock,housing preference shock,property tax shock,and housing price shock.The macroeconomic impact of each real estate market volatility is explored in the context of rational and adaptive expectation formation.Then,we add the "credit staring" LTV macroprudential policy to the above DSGE model to explore the effectiveness of macroprudential policy in the risk of real estate volatility under different expectation formation methods.The main findings are as follows: First,the strength,direction,and convergence speed of each macroeconomic variable are different for each real estate sector under rational and adaptive expectation formation.There is a significant gap between adaptive and rational expectations in the impact of real estate fluctuations on macroeconomic variables.There are lags of adaptive expectations for housing collateral default shocks in terms of housing volume,lending rates,and loans;greater inertia for housing preference shocks in terms of output,investment,and housing availability;and smaller lags for property tax shocks and housing price shocks.Second,the inclusion of macroprudential policies,the direction and mechanism of impact under rational expectations and adaptive expectations formation methods remain unchanged,and macroprudential policies are effective in dealing with real estate fluctuations.However,the regulatory effect on different real estate market shocks is obviously different in the early and mid-term,regulating the magnitude of fluctuations and reducing the role of return to steady-state cycles.Adaptive expectation-forming approach in response to housing collateral default shocks play an obvious role in housing preference shocks can slow down large fluctuations in quantitative macroeconomic variables,property tax shocks,the early and mid-to late-stage regulatory effects of shocks are different,facilitating economic recovery;in the early role of housing price shocks are not obvious,the late effect of significant relief from economic volatility,reducing the role of volatility cycle is not obvious.Third,in the face of fluctuations in the real estate market,macroprudential policy on loan interest rates is clearly different from other macroeconomic variables.Loan interest rate fluctuation cycle is short,basically no recurrence,and this paper macro-prudential support for keeping an eye on the volume of loans,the role of loan interest rates is obvious.In response to the above findings,policy recommendations are made: first,choose the appropriate management response according to the source of shocks.Second,strengthen the expectation management system.Third,establish a sound real estate market regulatory mechanism and macro-prudential policies.Fourth,establish a long-term management and control mechanism for stable land prices,stable house prices and stable expectations.