【作者】 陆却非；

【导师】 丁栋虹；

【作者基本信息】 中国科学技术大学 ， 管理科学与工程， 2011， 博士

【摘要】 房地产投资信托基金自上世纪60年代在美国上市以来,迄今已有22个国家和地区正式推出房地产投资信托基金,并有4个国家正在进行相关立法,因此,该产品已经迅速成长为房地产融资/投资主流工具。境外房地产投资信托基金迅猛发展的过程恰与席卷全球的金融自由化浪潮相契合,但2007年起肇端于美国的国际金融危机极大冲击了行之有年、看似圆转的以新自由主义为总扩的价值体系和理论体系,而这其中,首当其冲被迫反思的一条教训就是,金融工具的快速创新不仅没有降低风险,反倒以几乎无人预见到且未受到恰当监管的方式使得风险更为集中且放大。本轮国际金融危机确凿无疑地因为房地产与金融两部门相互恶化而发生,因此,房地产投资信托基金在中国境内的适用性问题很大程度上就是一个如何识别和控制可能发生的系统性风险的问题,而这样的工作对于中国这样一个至今仍以传统融资方式为主的发展中国家而言并不因其标的的缺位而可有可无。诚然,中国因为严格的金融管制和割裂的经济结构而相对较轻地受损于本轮国际金融危机(同样的侥幸也存在于1997年发生的亚洲金融危机),但是,一方面,这种低水平的静态稳定其实是以效率和福利大量受损为代价的;另一方面,中国作为发展中国家所必然带有的金融脆弱性其实更可能引发——因此也更需要发现和防范——金融体系中的系统性风险。本文通过历史回顾、理论解释与实证分析,力图尽可能地探究、发现和把握房地产投资信托基金系统性风险的本质和规律,并在此基础上实现对于这种风险的预测和度量,从而为中国即将创设的房地产投资信托基金市场预先提供风险管理的知识准备,其中基本结论如下:金融自由化与金融脆弱性本质上处于相互捆绑的辨证关系,即,一方面,金融自由化的确有利于规避金融风险、降低成本、增加流动性、增加金融机构利润等正效应,可进一步发挥金融在市场经济中的作用,进而保障资金融通的安全和整个金融体系的稳定,但在另一方面,金融自由化同样产生了加剧金融脆弱性的负面效应,前者不仅具有加剧金融体系脆弱性的倾向,而且这种倾向在全球范围内,尤其是在新兴市场国家中已经成为了越来越突出的客观存在。受制于“新兴加转轨”基本国情,中国的金融自由化与金融脆弱性状况合乎逻辑地同样处于时滞之中,其中最突出的表现即在于人为扭曲造成的金融抑制现象虽有改观但进展不大,因此中国的房地产金融不可避免地在支持实体经济发展的同时,自身也在积聚起越来越显著的风险因子。除了分散银行风险,中国内地创设并且发展房地产投资信托基金市场最为重要的意义在于,中国房地产金融系统性风险不断积累的深层次根源实则在于房地产市场本身并不稳固,而这种不稳固虽然以房价为过快上涨为表征,其内在缺陷却仍在于金融抑制所导致的房地产市场供应不足与结构失衡。从目前情况来看,中国内地创设并且发展房地产投资信托基金市场的条件已经基本成熟。根据境外实践情况来看,房地产投资信托基金系统性风险总体而言低于股票市场,与此同时,由于该产品以房地产物业为基础资产,而房地产物业兼具使用价值与投资价值,受经济周期影响的程度则因具体物业类型和地段而异,因此具有与其他证券资产不同的收益特点,可以成为投资者分散风险的工具与获取收益的来源。不过对于投资者来说,很容易产生的误判是房地产投资信托基金市场虽然也会面临与房地产收益相关的信用风险,但是这种风险属于非系统性风险,可以通过投资组合予以分散和对冲,而恰恰正是这种误判可能导致资金过度流向房地产投资信托基金市场并进而流向房地产市场,由此不断加剧宏观失衡,系统性风险开始产生并快速积聚,因此,依据房地产投资信托基金系统性风险特征与发生机制而设计的风险度量与预警成为本文落脚所在。本文采用的研究方法主要集中在:充分运用境外成熟市场金融创新,尤其是房地产投资信托基金创新实践活动所形成的经验数据与成果反映;合理运用现代统计科学所能提供的工具与手段,探求现象背后隐藏的规律;灵活运用已有研究成果与理论基础,在总结、归纳、分析、提高基础上,前瞻性揭示中国房地产投资信托基金很容易被隐性化的系统性风险,并在此基础上适时、适当地对其作出预判与预防。本文预期,中国内地的房地产投资信托基金试点工作已经站在相当迫近的时间窗口前,目前的情况则一如众所周知,中国金融业发展的最重要的变量是政府的管制和干预,因此,通过揭示房地产投资信托基金系统性风险的可测、可控,以及一个恰当发展的房地产投资信托基金市场其实有利于降低中国金融系统性风险,当能有助于加速推动中国的金融供给逐步配套于实体经济的快速发展。更多还原

【Abstract】 Since 1960s’market debut in United Sates, REITs (Real Estate Investment Trust) has been launched in 22 countries and regions. Also, another 4 countries are in the process of passing legislation of REITs. Therefore, it has quickly become one of the major financing and investment vehicles.The explosive development of REITs in foreign countries coincided with the sweeping wave of the global financial liberalization. But the seeming perfect and effective financial valuation and theoretical system based on neoliberalism was dealt a deadly blow by the global financial crisis which originated in United States since 2007. Among all lessons to learn, we painfully found out the rapid innovation of financial engineering not only failed to reduce the risk, instead, due to the lack of regulation, the risk was magnified with a unprecedentedly pace.It’s clearly this round of global financial crisis was closely correlated to the deterioration of real estate and financial market. So to a large extent, to evaluate the feasibility of REITs in China, we need to figure out how to measure and control the systemic risk REITs will bring to the whole financial market. It is crucial even for a country like China in which traditional financing still dominates.Because of the strict financial regulation and fragmentation of the economic structure, China was not affected badly by this round of global financial crisis (the same thing occurred in 1997, the Asian financial crisis). But, this low level static stability is at the cost of low efficiency and huge loss of benefits. On the other hand, the financial fragility in China, which is typical among developing countries, could trigger more systemic risk in financial system. Therefore, it’s more important for regulator and management in China to identify and prevent the risk.In this paper, we use historical review, theoretical and empirical analysis to try to explore and identify the nature and law of systemic risk of REITs. And based on that, we introduce the methods to predict and measure the risk, thus provide theoretical knowledge of risk management and preparation for the upcoming creation of REITs market in China. The basic conclusions are as follows:Financial liberalization and financial fragility are essentially tied in the dialectical relationship between each other. That is, on the one hand, financial liberalization is indeed beneficial to avoid financial risks, lower costs, increase money flow, increase profits for financial institutions, further develop the financial role in the market economy, and thus protect the security of financial intermediation and the entire financial system stability. But on the other hand, financial liberalization could exacerbate the negative effects of financial fragility, it has increased the tendency of the vulnerability of the financial system, and this tendency on a global scale, especially in emerging market countries has become increasingly prominent.Subject to the basic "emerging and transitional" national conditions, China’s financial liberalization and financial fragility are logically in the mix, of which the most prominent phenomenon is the financial repression caused by the man-made distortion. Although there is some improvement, but not much progress , so inevitably, in supporting the entity economic development, the Chinese real estate market itself is accumulating more and more significant risk factors.In addition to spread the risks of banks, the most important factor of the creation and development of REITs in China’s mainland market is that the root of the accumulation of risk in Chinese real estate financial system is that the Chinese real estate market itself is not solid. It reflects in the rapid rise of the price, but the true defect is the real estate market shortage and structural imbalance caused by the financial repression.Currently, the conditions are ready for China to create REITs market. Based on the experience in foreign countries, the systemic risk of REITs market is lower than that of stock market. At the same time, because REITs use real estate property as collateral, real estate property has value in use and investment and the value change due to economical cycle varies on property type and location, so it has different asset income pattern than other securities. Therefore, REITs can be used by investors to diversify income and risk in their portfolios.But for investors of REITs, it’s easy to draw a wrong conclusion that because the risk in REITs market is mostly credit risk related to the income from real estate investment so the risk can be hedged in the portfolio. It is precisely this wrong impression may lead to excessive capital flows to REITs market and into underlying real estate market which may grow macroeconomic imbalances and quickly accumulate the systemic risk. Therefore, the main focus of this article is on the characteristics, root cause, measurement and monitoring of systemic risk of REITs market.Research methods used in this article focused on: comprehensive use of financial innovation in matured foreign markets, particularly the statistics, experience, lesson to learn of REITs market in these countries; rational use of modern tools and methods in statistical science to explore the rule behind phenomenon; flexible use of existing research results and the theoretical basis, summarize, analyze, improve to reveal the hidden systemic risk in China REITs market and based on it to create a mechanism to monitor and prevent the risk.We expect the time window for setting up experimental REITs market in China’s mainland is quickly approaching. As we all know, the most important factor in China’s financial industry development is the government regulation and intervention. Therefore, by revealing that the systemic risk of REITs market can be measured, monitored and controlled, and the development of REITs market can actually help reducing the overall systemic risk of China’s financial market, it will help to accelerate China’s development on financial tool to serve the rapid development of the real economy.更多还原