不确定性是经济主体进行活动和决策的固有环境，基于住房市场握不确定环境下经济主体行为的内在规律，对于促进中国房地产市场发展和宏观经济金融稳定具有重要意义。论文基于不确定性下的中国居民住房决策，深入分析不确定性的内涵和来源；通过构建中国特征的动态随机均衡模型和微观理论/实证研究框架，探讨不确定性对中国居民住房和抵押贷款需求影响的宏观效应和微观机制。论文首先依据现有文献提炼了居民住房决策的内生和外生影响因素，进一步结合中国收入分配制度变革、社会保障体制改革以及利率政策和信贷政策调整，初步确定以收入和消费不确定性为代表的经济不确定性、以利率和信贷不确定性为代表的政策不确定性为影响中国城镇居民住房决策的核心不确定性。在此基础上，论文构建了一个新凯恩斯主义动态随机一般均衡模型，对影响中国居民家庭住房需求和抵押贷款需求的不确定冲击的宏观效应进行了模拟和比较。通过对于核心路径的分析发现，居民住房需求主要受到收入和消费不确定性的影响；居民抵押贷款需求主要受到收入和信贷政策不确定性的影响；同时分析发现不确定冲击的宏观效应具有频域依赖特征，且在不同房地产市场摩擦环境下存在差异。论文进一步引入中国特殊的人力资本与政府公共产品供给特征，以及社会资本和非正规借贷市场特征，应用微观数据分析和测定了不确定性下中国居民住房需求和抵押贷款需求决策的微观机制及其异质性。在居民住房需求方面，本文发现，第一，住房可以作为抵御收入不确定性的工具，收入不确定性对住房需求的影响在不同流动性约束家庭间存在异质性；第二，相比于收入不确定性，中国城镇居民对于消费不确定性更加敏感，当住房资产抵御消费不确定性的能力越强时，住房需求增加，此外，对于政府公共产品供给较少的地区，住房资产作为抵御消费不确定性工具的作用更加显著。在居民住房抵押贷款需求方面，本文发现，第一，对于高金融素养家庭而言，当其收入不确定性越高时，家庭非正规借款对于居民抵押贷款需求的挤出效应越弱；第二，对于社会资本平均成本越高的地区，当信贷政策不确定性越高时，家庭非正规借款对抵押贷款需求的挤出效应越强。最后，论文从保障房地产市场持续发展和宏观经济金融稳定的角度，针对居民住房需求、抵押贷款需求和房地产市场建设等问题提出针对性政策建议。
Uncertainty is the inherent environment in which the economic agents conduct activities and decisions. It has become an urgent issue for the development and sustainability of China’s real estate market as well as the macro-economy to understand the behaviors of main economic participants under uncertainty based on the housing market. This thesis explores the connotation and source of uncertainty under China’s transition economy. In addition, this thesis constructs a dynamic stochastic general equilibrium model and carries out several empirical estimations to investigate the macro effects and micro mechanisms of the impact of uncertainty on households’ housing demand and mortgage demand in urban China. First, this thesis extracts the key economic and political influencing factors of households’ housing decisions based on the literature review and the institutional background of China’s social and economic reform. Four types of uncertainty, including income uncertainty, expenditure uncertainty, interest policy uncertainty and credit policy uncertainty, are highlighted as the core uncertainties affecting the housing decisions of households in urban China. Second, this thesis establishes a New Keynesian dynamic stochastic general equilibrium model with Chinese characteristics, and compares the simulated macro effects of exogenous uncertainty shocks in affecting Chinese households’ housing demand and mortgage demand. Based on the impulse response function and the historical/forecast variance decomposition, it is found that the uncertainties of income and expenditure are important in affecting housing demand of households; and the impacts of uncertainties in income and credit policies are important that affects mortgage demand of households. It is further found that the macro effects of uncertainty shocks are likely to present frequency domain dependence, and function differently in real estate market with different level of frictions. Third, this thesis extends the theoretical framework by introducing the characteristics of human capital and social capital in China. The role of public expenditures on education and medical care, as well as the role of informal borrowing market, are further discussed from the heterogeneous perspectives. Regarding to housing demand, this thesis finds that, housing plays an important role in hedging uncertainties in China; compared with income uncertainty, households are more sensitive to uncertainty associated with education and health expenditures, and are likely to purchase more housing and to squeeze non-housing consumption when faced with higher expenditure uncertainty; the hedging role of housing increases with lower covariance between housing price and human capital price index; lower level of public expenditure on human capital strengthens the hedging role of housing against expenditure uncertainty. Regarding to mortgage demand, this thesis finds that, due to the low explicit cost, informal borrowing from relatives and friends has a crowd out effect on households’ mortgage participation and decreases the loan to value ratio; for households with high financial literacy, income uncertainty reduces the crowd out effect of informal borrowing on households’ mortgage demand; under credit policy uncertainty, the increase of cost of local social network increases the crowd out effect of informal borrowing on households’ mortgage demand.Finally, the thesis puts efforts to propose effective and targeted policy implications in order to keep sustainable development of housing market, financial market and macro economy in China.
