中国房地产价格泡沫研究--基于马氏域变模型的实证分析

发布时间：2019-01-06 19:20

【摘要】：本文利用马氏域变模型,对我国房地产价格泡沫进行了研究。本文首先从资产泡沫间接度量角度出发,参考前人研究建立理论模型,确定了房地产的基础价格;然后,采用协整分析方法从房地产实际价格中剔除基础价格,并利用马氏域变模型对残差部分进行分析,对我国房价泡沫进行了检验和度量;最后,对我国房价泡沫产生的背景及原因进行了解释,并提出相应的政策建议。研究发现,我国房地产价格泡沫状态主要集中于四个阶段:一是2003年到2004年第一季度,由我国住房货币化改革催生;二是2007年第二季度到2008年上半年,为第一阶段的延续,并由该阶段经济快速增长催生;三是从2009年初到2010年底,源于金融危机期间采取的宽松货币政策以及鼓励购房政策;四是2013年全年,源于2012货币政策的预调微调;五是2015年到2016年,更多的体现为经济"换挡期"过程中的结构性行情。
[Abstract]:In this paper, the real estate price bubble in China is studied by using the Markov domain variable model. Firstly, from the perspective of indirect measurement of asset bubbles, this paper establishes a theoretical model of real estate based on previous studies, and determines the basic price of real estate. Then, the cointegration analysis method is used to remove the basic price from the real estate price, and the residual part is analyzed by using the Markovian variable model to test and measure the real estate price bubble in China. Finally, the paper explains the background and reasons of housing bubble in China, and puts forward corresponding policy suggestions. It is found that the bubble state of real estate price in our country is mainly concentrated in four stages: first, from 2003 to the first quarter of 2004, the reform of housing monetization in our country gave birth to; The second is from the second quarter of 2007 to the first half of 2008, which is the continuation of the first stage, which is stimulated by the rapid economic growth in this period, and the third is the loose monetary policy adopted during the financial crisis from the beginning of 2009 to the end of 2010, and the policy of encouraging the purchase of housing. Fourth, 2013 as a whole, due to the 2012 monetary policy pre-tuning fine-tuning; fifthly, 2015 to 2016, more reflected in the economic "shift period" in the process of structural market.
【作者单位】：中国人民大学商学院;国家发改委市场与价格研究所;
【基金】：中国人民大学科研基金(2015030083)资助
【分类号】：F299.23

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