住宅价格周期性泡沫测度研究——基于马尔科夫转换模型的分析
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摘要
本文引入马尔科夫转换机制的ADF检验,辅以房价收入比检验,以北京市为例,对住宅价格、收入和贷款利率的周期波动关系进行分析,测算住宅价格泡沫的类型及发生时点。研究结果表明:(1)北京市住宅价格存在泡沫,且是周期性的,在某些时期理性泡沫规模较大,平均月度房价收入比高达26倍;在某些时期理性泡沫规模较小,平均月度房价收入比为24倍。(2)住宅价格理性泡沫规模较大的时期,利率仅小幅波动,信贷扩张对价格存在一定的支撑性。本文研究认为,收入与利率对周期性理性泡沫存在一定的支撑。
Methods of Markov-switching ADF unit root test and price to income ratio(PIR) are adopted, taking Beijing as a case, to analyze periodical expansion and collapse of the relationship between housing prices, income and mortgage rate.The types and timing of housing prices bubbles are measured. The results indicate that:(1) Periodically collapsing bubbles exist in Beijing housing prices. In some periods, the rational bubbles was large, with the average monthly PIR as high as26 times; In some periods the rational bubbles was smaller, with an average monthly PIR of 24.(2) In the period of large rational bubbles, the mortgage rate only fluctuates slightly, and the credit expansion has certain support to the price.This paper argues that income and mortgage rate support Periodic rational bubbles.
Methods of Markov-switching ADF unit root test and price to income ratio(PIR) are adopted, taking Beijing as a case, to analyze periodical expansion and collapse of the relationship between housing prices, income and mortgage rate.The types and timing of housing prices bubbles are measured. The results indicate that:(1) Periodically collapsing bubbles exist in Beijing housing prices. In some periods, the rational bubbles was large, with the average monthly PIR as high as26 times; In some periods the rational bubbles was smaller, with an average monthly PIR of 24.(2) In the period of large rational bubbles, the mortgage rate only fluctuates slightly, and the credit expansion has certain support to the price.This paper argues that income and mortgage rate support Periodic rational bubbles.
引文
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[8]吕江林.我国城市住房市场泡沫水平的度量[J].经济研究,2010(6).
[9]Shih, Y. N., Li, H. C., Qin, B. Housing price bubble and inter-provincial spillover:evidence from China[J].Habitat International, 2014(43).
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[11]陈昭翔,陈立文.房地产泡沫指数研究[J].价格理论与实践,2017(11).
[12]张超.长三角城市群房价泡沫测度及空间传染效应[J].中南财经政法大学学报,2018(3).
[13]马丽丽.关于我国房地产经济泡沫问题的思考[J].城市建设理论研究(电子版),2018(14).
[2]Diba, B. T., Grossman, H. I. Rational bubbles in the price of gold[C]. NBER(Cambridge, MA)Working Paper No. 1300, 1984.
[3]Hamilton, J., Whiteman, C. The observable implications of self–fulfilling speculative price bubbles[J]. Journal of Monetary Economics, 1985(16).
[4]Diba, B. T., Grossman, H. I. Explosive rational bubbles in stock prices[J]. The American Economic Review, 1988(3).
[5]Hamilton,J.D.A new approach to the economic analysis of nonstationary time series and the business cycle[J].Econometrica,1989(2).
[6]Evans, G. W. Pitfalls in testing for explosive bubbles in asset prices[J]. American Economic Review. 1991(81).
[7]Hall, S. G., Psaradakis, Z., Sola, M. Detecting periodically collapsing bubbles:a Markov–switching unit root test[J]. Journal of Applied Econometrics. 1999(2).
[8]吕江林.我国城市住房市场泡沫水平的度量[J].经济研究,2010(6).
[9]Shih, Y. N., Li, H. C., Qin, B. Housing price bubble and inter-provincial spillover:evidence from China[J].Habitat International, 2014(43).
[10]王浩、穆良平.当前我国房地产泡沫两种主要测度方法:研究思路、误区及适用性分析[J].宏观经济研究, 2015(2).
[11]陈昭翔,陈立文.房地产泡沫指数研究[J].价格理论与实践,2017(11).
[12]张超.长三角城市群房价泡沫测度及空间传染效应[J].中南财经政法大学学报,2018(3).
[13]马丽丽.关于我国房地产经济泡沫问题的思考[J].城市建设理论研究(电子版),2018(14).