基于经济周期因素的我国房地产价格波动对居民消费影响的实证研究
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摘要
1998年住房改革以来，我国的城镇住房开始商品化，但是房改以后房价不断上涨。以2004年为分界点，1999-2003年房价上升的幅度比较小；2004-2011年房地产价格上涨的幅度较大，2004年第2季度的房价是2715元，2011年第2季度的房价是5391元，年平均增长率10.3%。
根据永久收入假设，房价变动会影响居民的永久收入，从而会影响居民的消费支出。另外，我国居民的消费支出虽然随着收入的增加而增加，但是消费率确在逐年降低。
最近研究房地产财富效应和居民消费的关系的研究很多，但是这些研究并没有考虑到房价的财富效应和居民消费的关系与经济周期有关。本文与以前在这个领域的研究不同的是研究我国房地产价格对居民消费的影响时考虑到经济周期因素。
因为消费者会根据他们所处经济阶段的不同来改变他们的消费决定，因此分析房价变化对居民消费的影响时应该考虑经济周期因素。在经济扩张期和经济收缩期的房价波动对居民消费的影响是不同的。考虑经济周期时，由于马尔科夫转移模型的缺点，本文使用含虚拟变量（经济扩张阶段和收缩阶段）的向量误差修正模型（VECM）。
根据含虚拟变量的向量误差修正模型的估计结果，在不同的经济阶段，房地产的财富效应是不同的。在经济扩张阶段，房价增长率每增加1%，消费的增长率就会增加0.451%，在经济紧缩阶段房价增长率每增加1%，消费的增长率就会下降约0.169%。最后得到结论，住房的财富效应不仅仅与房价本身的变化有关，而且与消费者对经济周期的预期有关。
Since the revolution of housing in 1998, China's urban housing began tocommercialization. The price of house keeps growing after revolution. As a dividingpoint , housing price increased slowly from 1999 to 2003 and fastly from 2004 to2011. Housing price is 2715￥in the second quarter of 2004,but it is 5391￥in the
second quarter of 2011.The annual average growth rate is 10.3%.
According to the permanent income hypothesis, the fluctuation of housing pricewill effect on resident’s permanent income, which will affect resident’s consumptionexpenditures. In addition, consumption expenditures increase as incomes increase inChina , but the consumption rate is indeed reduced year by year.
Recently there have been a lot of pappies that study the relationship betweenhousing wealth and consumption, however, these studies do not take into account theeconomic cycle changes in dynamic relationship of .housing wealth and consumption.Different with previous researches in the field, this paper quantitatively analyzeshousing wealth’s effect on consumption in different states of the economy.
Even though the economic cycle is determined by many economic factors,consumers can change their consumption decision depending on different economicstates they are being now.So an empirical research on the impact of housing price onhousehold consumption in china :considering the business cycle. The result showsdifferent about housing wealth in different states of economic. Due to theshortcomings of the Markov switching model, this article uses vector error correctionmodel (VECM)with dummy variables (economic expansion and contraction phase).
Estimated vector error correction model with dummy variables, in differentperiods of economic, housing price wealth effect is also different. In the boom period,housing price growth rate increases 1%, the consumption growth rate will increase by0.451%. In the recession period, housing price growth rate increase 1%, consumptiongrowth rate will drop about 0.169%. According to the estimated results of this work,housing wealth is not only related to the change of the housing price itself, but alsowith the consumers' expectations of the economic cycle.
根据永久收入假设，房价变动会影响居民的永久收入，从而会影响居民的消费支出。另外，我国居民的消费支出虽然随着收入的增加而增加，但是消费率确在逐年降低。
最近研究房地产财富效应和居民消费的关系的研究很多，但是这些研究并没有考虑到房价的财富效应和居民消费的关系与经济周期有关。本文与以前在这个领域的研究不同的是研究我国房地产价格对居民消费的影响时考虑到经济周期因素。
因为消费者会根据他们所处经济阶段的不同来改变他们的消费决定，因此分析房价变化对居民消费的影响时应该考虑经济周期因素。在经济扩张期和经济收缩期的房价波动对居民消费的影响是不同的。考虑经济周期时，由于马尔科夫转移模型的缺点，本文使用含虚拟变量（经济扩张阶段和收缩阶段）的向量误差修正模型（VECM）。
根据含虚拟变量的向量误差修正模型的估计结果，在不同的经济阶段，房地产的财富效应是不同的。在经济扩张阶段，房价增长率每增加1%，消费的增长率就会增加0.451%，在经济紧缩阶段房价增长率每增加1%，消费的增长率就会下降约0.169%。最后得到结论，住房的财富效应不仅仅与房价本身的变化有关，而且与消费者对经济周期的预期有关。
Since the revolution of housing in 1998, China's urban housing began tocommercialization. The price of house keeps growing after revolution. As a dividingpoint , housing price increased slowly from 1999 to 2003 and fastly from 2004 to2011. Housing price is 2715￥in the second quarter of 2004,but it is 5391￥in the
second quarter of 2011.The annual average growth rate is 10.3%.
According to the permanent income hypothesis, the fluctuation of housing pricewill effect on resident’s permanent income, which will affect resident’s consumptionexpenditures. In addition, consumption expenditures increase as incomes increase inChina , but the consumption rate is indeed reduced year by year.
Recently there have been a lot of pappies that study the relationship betweenhousing wealth and consumption, however, these studies do not take into account theeconomic cycle changes in dynamic relationship of .housing wealth and consumption.Different with previous researches in the field, this paper quantitatively analyzeshousing wealth’s effect on consumption in different states of the economy.
Even though the economic cycle is determined by many economic factors,consumers can change their consumption decision depending on different economicstates they are being now.So an empirical research on the impact of housing price onhousehold consumption in china :considering the business cycle. The result showsdifferent about housing wealth in different states of economic. Due to theshortcomings of the Markov switching model, this article uses vector error correctionmodel (VECM)with dummy variables (economic expansion and contraction phase).
Estimated vector error correction model with dummy variables, in differentperiods of economic, housing price wealth effect is also different. In the boom period,housing price growth rate increases 1%, the consumption growth rate will increase by0.451%. In the recession period, housing price growth rate increase 1%, consumptiongrowth rate will drop about 0.169%. According to the estimated results of this work,housing wealth is not only related to the change of the housing price itself, but alsowith the consumers' expectations of the economic cycle.
引文
[1]郭新华,何雅菲.中国家庭债务房价波动与居民消费的动态相关性分析[J].经济经纬,2011,(1):9-13.
[2]高波,王辉龙.长三角房地产价格波动与居民消费的实证分析[J].产业经济研究，2011（01）:1-10.
[3]高春亮,周晓艳.34个城市的住宅财富效应:基于panel data的实证研究[J].南开经济研究,2007(1).
[4]洪涛,高波.中国股价与房价关系分析2001-2006[J].财经市场,2007.
[5]黄平.我国房地产财富效应货币政策关系的实证检验[J].上海金融，2006(6):32一51.
[6]李亚明,佟仁城.中国房地产财富效应的协整分析和误差修正模型[J].系统工程理论与实践, 2007,(11):1-6,33.
[7]李玉山，李晓嘉.对我国居民消费的财富效应计量分析[J].山西财经大学学报，2006(2):39一43.
[8]刘建江,杨玉娟,袁冬梅.从消费函数理论看房地产财富效应的作用机制[J]消费经济,2005,(3):93-96.
[9]石弘.商品房价格与城镇居民收入差距的实证分析[J].中国物价，2007（11）：43-46.
[10]宋勃.房地产财富效应的理论分析和中国经验的实证检验1998-2006[J].经济科学,2007(5).
[11]王蕾,赵岩.中国城市房价上涨的财富效应分析[J].价格月刊2011(5):27-31.
[12]肖宏.房地产价格波动对居民消费的影响[J].社会科家,2007(11):158-159
[13]徐迎军,李东.我国住宅市场财富效应研究[J].经济与融,2011,(1):14-20
[14]姚玲珍，刘旦.中国城镇房地产市场财富效应分析一基于生命周期假说的宏观消费函数[J〕.河北经贸大学学报，2007(6).
[15]张存涛.中国房地产财富效应——基于1987-2005年数据的实证分析[J].世界经济情况,2007(11).
[16]周建军，欧阳立鹏.现阶段房地产价格与消费的相互关系研究一基于中国数据的理论与实证分析叮[J].消费经济，2008(3):67一70.
[17]周守亮.我国房地产价格波动对消费的影响分析[J].经济理论与实践,2009.
[18]周孝坤,杨晓.我国居民影响消费的实证分析——以京津沪渝为例[J].经济理论与实践,2010.
[19]高铁梅，吴桂珍，刘玉红.计量经济分析方法与建模「M」.北京:清华大学出版社，2006.
[20]张红.房地产经济学[M].北京:清华大学出版社,2005.
[21]常瑜.我国房地产价格变动对居民消费的影响分析[D].吉林:吉林大学.
[22]李淑云.房价的波动对城镇居民消费的影响分析[D].吉林:吉林大学.
[23]马辉.股票市场、房地产市场对消费行为的影响[D].吉林大学,2006.
[24]王乃合.房地产价格变动对城市居民消费的影响研究[D].天津:南开大学.
[25] Case,K.E.,R.J.Shiller,The behavior of home buyers in boom and post-boommarkets[J].New England Economic Review，1987:29-46.
[26]Campbell, John and Joao Cocco.How do House Prices Affect Consumption?Evidence from Micro Data[J]. Journal of Monetary Economic,forthcoming.
[27]Case, Karl E., Shiller, Robert J.，Quigley, John M. Comparing Wealth Effects:The Stock Market Versus the Housing Market,unpublishhed paper.
[28]Case,Quigley,Shiller.Real Estate Versus Financial Wealth in Consumption[J].Real Estate Finance and Economics,2004:341-354.
[29]Chen，J.Re-evaluating the association between housing wealth andaggregate consumption:New evidence from Sweden[J].Journal of HousingEconomies，2006(4):321一348.
[30]Elliott, J.W. Wealth and Wealth Proxies in a Permanent IncomeModel[J].Quarterly Journal of Economics,1980(5):509一535.
[31]Engelhardt,Gary V,House price and the decision to save for downpayments.[J]Journal of Urban Economies,1994 136:209一237.
[32]Giliberto, Thibodeau. Explaining Refinacing Decisions Using Microdata[J].RealEstate Economics,1989:293-311.
[33]Joe Peek. Capital Gains and Personal Saving Behavior[J]. Journal of Money,Credit and Banking,1983:1-23.
[34]Levin, Laurence. Are Assets Fungible? Testing the Behavioral Theory ofLife-Cycle Savings[J]Journal of Economic Organization andBhavior,1998(36):59-83.
[35]Ludwig, Alexander, Slok, Torsten.The relationship between stock prices, houseprices and consumption in OECD.IMF working paper,2002.
[36] Matthew I. Spiegel, William N. Goetzmann. The Policy Implications of PortfolioChoice in Underserved Mortgage Markets[J].Yale ICF WorkingPaper,2000(10)：00-18.
[37]Muellbauer, Murphy. Booms and Busts in the UK HousingMarket[J] . TheEconomic Journal 1990;107: 01-27.
[38]Sei-Wan,Kim. Housing Price’s Effect on Consumption in Korea : Consideringthe Business Cycle[J].Journal of Housing Economics,2008(3):27-51.
[39]Sheiner, Louise. Housing Prices and the Savings of Renters [J] .Journal of UrbanEconomics, 1995(38):94-125.
[40]Skinner, Jonathan.Housing Wealth and Aggregate Saving [J].Regional Scienceand Urban Economics, 1989(19):305-324.
[41]Skinner, J. Housing wealth and aggregate saving [J]. Reg. Sci. Urban Econ.1989(19):305～324.
[42]Thaler,Richard H. Saving, Fungibility and Mental Accounts[J].Journal ofEconomic Perspectives,1990:193-205.
[43]Yoshikawa,Hiroshi ,Fumio Ohtake.Femade labor supply,housing demand and thesaving rate in Japan[M].European EconomicReview.1989:997-1030.
[44]Christopher D.Carroll,Misuzu Otsuka,Jirka Slacalek.How large is the housingwealth effect?a new approach[R].NBER working paper,2006 12746.
[45]Hoynes, Hilary W. and Daniel L. McFadden. The Impact ofDemographics on Housing and Non housing Wealth in the United States.MichaelD. Hurd and Yashiro Naohiro, eds., The Economic Effects of Aging inthe United States and Japan Chicago: University of Chicago Press for NBER[R]1997.
[2]高波,王辉龙.长三角房地产价格波动与居民消费的实证分析[J].产业经济研究，2011（01）:1-10.
[3]高春亮,周晓艳.34个城市的住宅财富效应:基于panel data的实证研究[J].南开经济研究,2007(1).
[4]洪涛,高波.中国股价与房价关系分析2001-2006[J].财经市场,2007.
[5]黄平.我国房地产财富效应货币政策关系的实证检验[J].上海金融，2006(6):32一51.
[6]李亚明,佟仁城.中国房地产财富效应的协整分析和误差修正模型[J].系统工程理论与实践, 2007,(11):1-6,33.
[7]李玉山，李晓嘉.对我国居民消费的财富效应计量分析[J].山西财经大学学报，2006(2):39一43.
[8]刘建江,杨玉娟,袁冬梅.从消费函数理论看房地产财富效应的作用机制[J]消费经济,2005,(3):93-96.
[9]石弘.商品房价格与城镇居民收入差距的实证分析[J].中国物价，2007（11）：43-46.
[10]宋勃.房地产财富效应的理论分析和中国经验的实证检验1998-2006[J].经济科学,2007(5).
[11]王蕾,赵岩.中国城市房价上涨的财富效应分析[J].价格月刊2011(5):27-31.
[12]肖宏.房地产价格波动对居民消费的影响[J].社会科家,2007(11):158-159
[13]徐迎军,李东.我国住宅市场财富效应研究[J].经济与融,2011,(1):14-20
[14]姚玲珍，刘旦.中国城镇房地产市场财富效应分析一基于生命周期假说的宏观消费函数[J〕.河北经贸大学学报，2007(6).
[15]张存涛.中国房地产财富效应——基于1987-2005年数据的实证分析[J].世界经济情况,2007(11).
[16]周建军，欧阳立鹏.现阶段房地产价格与消费的相互关系研究一基于中国数据的理论与实证分析叮[J].消费经济，2008(3):67一70.
[17]周守亮.我国房地产价格波动对消费的影响分析[J].经济理论与实践,2009.
[18]周孝坤,杨晓.我国居民影响消费的实证分析——以京津沪渝为例[J].经济理论与实践,2010.
[19]高铁梅，吴桂珍，刘玉红.计量经济分析方法与建模「M」.北京:清华大学出版社，2006.
[20]张红.房地产经济学[M].北京:清华大学出版社,2005.
[21]常瑜.我国房地产价格变动对居民消费的影响分析[D].吉林:吉林大学.
[22]李淑云.房价的波动对城镇居民消费的影响分析[D].吉林:吉林大学.
[23]马辉.股票市场、房地产市场对消费行为的影响[D].吉林大学,2006.
[24]王乃合.房地产价格变动对城市居民消费的影响研究[D].天津:南开大学.
[25] Case,K.E.,R.J.Shiller,The behavior of home buyers in boom and post-boommarkets[J].New England Economic Review，1987:29-46.
[26]Campbell, John and Joao Cocco.How do House Prices Affect Consumption?Evidence from Micro Data[J]. Journal of Monetary Economic,forthcoming.
[27]Case, Karl E., Shiller, Robert J.，Quigley, John M. Comparing Wealth Effects:The Stock Market Versus the Housing Market,unpublishhed paper.
[28]Case,Quigley,Shiller.Real Estate Versus Financial Wealth in Consumption[J].Real Estate Finance and Economics,2004:341-354.
[29]Chen，J.Re-evaluating the association between housing wealth andaggregate consumption:New evidence from Sweden[J].Journal of HousingEconomies，2006(4):321一348.
[30]Elliott, J.W. Wealth and Wealth Proxies in a Permanent IncomeModel[J].Quarterly Journal of Economics,1980(5):509一535.
[31]Engelhardt,Gary V,House price and the decision to save for downpayments.[J]Journal of Urban Economies,1994 136:209一237.
[32]Giliberto, Thibodeau. Explaining Refinacing Decisions Using Microdata[J].RealEstate Economics,1989:293-311.
[33]Joe Peek. Capital Gains and Personal Saving Behavior[J]. Journal of Money,Credit and Banking,1983:1-23.
[34]Levin, Laurence. Are Assets Fungible? Testing the Behavioral Theory ofLife-Cycle Savings[J]Journal of Economic Organization andBhavior,1998(36):59-83.
[35]Ludwig, Alexander, Slok, Torsten.The relationship between stock prices, houseprices and consumption in OECD.IMF working paper,2002.
[36] Matthew I. Spiegel, William N. Goetzmann. The Policy Implications of PortfolioChoice in Underserved Mortgage Markets[J].Yale ICF WorkingPaper,2000(10)：00-18.
[37]Muellbauer, Murphy. Booms and Busts in the UK HousingMarket[J] . TheEconomic Journal 1990;107: 01-27.
[38]Sei-Wan,Kim. Housing Price’s Effect on Consumption in Korea : Consideringthe Business Cycle[J].Journal of Housing Economics,2008(3):27-51.
[39]Sheiner, Louise. Housing Prices and the Savings of Renters [J] .Journal of UrbanEconomics, 1995(38):94-125.
[40]Skinner, Jonathan.Housing Wealth and Aggregate Saving [J].Regional Scienceand Urban Economics, 1989(19):305-324.
[41]Skinner, J. Housing wealth and aggregate saving [J]. Reg. Sci. Urban Econ.1989(19):305～324.
[42]Thaler,Richard H. Saving, Fungibility and Mental Accounts[J].Journal ofEconomic Perspectives,1990:193-205.
[43]Yoshikawa,Hiroshi ,Fumio Ohtake.Femade labor supply,housing demand and thesaving rate in Japan[M].European EconomicReview.1989:997-1030.
[44]Christopher D.Carroll,Misuzu Otsuka,Jirka Slacalek.How large is the housingwealth effect?a new approach[R].NBER working paper,2006 12746.
[45]Hoynes, Hilary W. and Daniel L. McFadden. The Impact ofDemographics on Housing and Non housing Wealth in the United States.MichaelD. Hurd and Yashiro Naohiro, eds., The Economic Effects of Aging inthe United States and Japan Chicago: University of Chicago Press for NBER[R]1997.
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