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| The Paradigm of Choice for Financial Risk Control in China: The Loan-to-Value Ratio Policy or the Personal Housing Loan Ratio Policy? |
| Wang Weian, Xie Zhubin, Chen Mengtao |
| School of Economics, Zhejiang University, Hangzhou 310058, China |
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Abstract After the 2008 financial crisis, macro-prudential supervision has been generally valued across the world. The People’s Bank of China formally established a Macro Prudential Assessment (MPA) system in 2016, with the macro-prudential capital adequacy ratio as the core, including seven major aspects of capital and leverage, liquidity, asset quality, etc., to prevent and resolve potential systemic risks in the financial system. However, various financial risks have gradually surfaced with the long-term growth of Chinese economy. The real estate industry is over-prosperous, and bank credit has had unbalanced expansion, forming a positive cycle of agglomeration of systemic risks. In order to enhance the banking industry’s ability to defend against the volatility of the real estate market, and in the meanwhile to alleviate the real estate bubble caused by the over-concentration of credit to regulate the financial risks of banking and real estate industry, the People’s Bank of China launched a macro-prudential policy of personal housing loan ratio at the end of 2020 to further enrich the existing MPA system.The existing literature on the research of macro-prudential policy mainly focuses on real estate and banking financial risks, the effect of macro-prudential policy implementation, and the macro-prudential policy of real estate finance. However, there are still some deficiencies: First, no research has been found to quantify the effect of personal housing loan ratio. Even if it is a qualitative study, the understanding of this policy is still purely limited to the regulation of housing prices, and the researchers have not discussed the issue from the macro-prudential perspective of stabilizing financial risks. Second, the indicators for evaluating financial risks are one-sided and can hardly represent comprehensive financial risks. Furthermore, there is a lack of discussion on the impact of policies on the real economy. Third, when evaluating policies, most studies only draw conclusions from numerical simulation results, lacking comprehensive theoretical analysis. In view of these deficiencies, this article constructs a six-sector dynamic stochastic general equilibrium model to discuss the theoretical mechanism whereby the personal housing loan ratio policy regulates Chinese financial risks. This policy is then compared with the traditional loan-to-value ratio policy to examine their pros and cons of the risk mitigation under different shocks.Compared with the existing research, this article has the following marginal contributions: (1) The theoretical model analysis of personal housing loan ratio has filled the gap in the existing research to a certain extent; (2) It has made a comprehensive analysis of the dynamic effect of the policy through the impulse response results of multiple financial risk indicators, and discussed its advantages and disadvantages compared with the LTV policy through welfare analysis; (3) Combined with the results of numerical simulation analysis in policy evaluation, it has analyzed the policy effectiveness of theoretical mechanism, and provided practical support for policy implementation.The research has the following findings: (1) Both macro-prudential policies can regulate real estate and banking financial risks, improve overall social welfare, and stabilize fluctuations in major economic and financial variables; (2) Under the impact of housing preferences and technological progress, LTV policies can better regulate financial risks in the short term, while the personal housing loan ratio has a better long-term inhibitory effect. Under the impact of monetary policies, the personal housing loan ratio performs better than LTV both in the long and short terms, and will not have a significant negative impact on economic output; (3) Welfare analysis shows that under the impact of housing preference, the LTV policy brings the greatest welfare improvement to the patient families and best suppresses the welfare of speculative families. Under the impacts of technological progress and monetary policy, the personal housing loan ratio performs better, and the policy choice targeting variables is decided by the type of impact. Based on the above conclusions, this paper attempts to put forward the following three suggestions: First, we should actively adopt macro-prudential policies to mitigate financial risks and avoid the “pro-cyclicality” of monetary policy and financial risks. Second, in the application of macro-prudential policies in real estate finance and the choice of anchor targets, we should act flexibly and adjust macro-prudential policies and their target variables according to the type of external shocks. Third, we should constantly enrich the macro-prudential management toolbox, follow structural policies more closely, and achieve a win-win situation of “stabilizing growth” and “controlling risks”.
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Received: 31 August 2021
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2022, Vol. 52 
