预期对中国商品住宅市场的影响研究

发布时间：2018-01-05 05:15

本文关键词：预期对中国商品住宅市场的影响研究　出处：《山西财经大学》2013年博士论文　论文类型：学位论文

【摘要】：预期直接影响着商品住宅市场的运行轨迹，能否揭示二者之间的本质联系关系到市场参与者投资、消费决策的成败，关系到政府住房宏观调控的效果，也关系到整个国民经济的正常运行与社会的和谐稳定。本文从预期与商品住宅价格的关系、预期与住房宏观调控效果的关系、商品住宅价格与预期回报的关系、商品住宅市场预期的形成与扩散四个方面入手，探析了预期对中国商品住宅市场的影响机理。主要的研究工作如下： 1．基于预期异质性的商品住宅价格模型构建与实证研究根据市场特点和交易者行为差异，将金融市场的噪声交易模型进行了符合商品住宅市场的重新设定，首次采用世代交迭模型的跨期决策分析方法，构建了包含理性套利者、动量交易者、信息观察者、基本面分析者4类异质交易者预期的商品住宅价格模型；在考虑预期异质性情形下，采用系统仿真方法探析了异质交易者的重要行为参数对住宅价格的单独影响和叠加影响；在不考虑预期异质性情形下，将上述模型转化为一般的含有预期的住宅价格模型，并选取中国30个省（市、自治区）商品住宅市场的省际面板数据进行了实证检验，由于模型建立过程中引入了更符合经验事实的微观基础，而又不脱离传统的宏观基本面分析方法，从而可以更好地揭示预期与商品住宅价格这两种随机波动序列的本质联系。 2．基于环境异质性的住房宏观调控模型构建与实证研究将预期模式与城市的差异性引入了商品住宅供给和需求调控的分析框架，在住宅存量—流量模型基础上分别建立了考虑异质预期和异质城市政策实施环境的住房供给调控动态模型和住房需求调控模型；对中国35个大中城市住房宏观调控的实施效应进行了量化研究、比较分析和系统仿真，识别出了有效的政策工具，模拟了异质环境下商品住宅市场的运行轨迹，为政府出台具有精准性、有效性的调控政策提供了有力依据。 3．房价与理性（适应性）预期回报的非线性双重时序模型构建与实证研究在房地产回报的非线性双重时序评估模型基础上，首次将预期引入了房价与回报非线性关系的研究框架，将商品住宅价格与预期回报的随机序列视为一个随机系统，利用现代随机系统理论方法进行了系统辨识，构建了可以更好地描述商品住宅市场随机机制的房价与理性（适应性）预期回报的非线性双重时序模型；首次给出了量化不可观测的预期回报的方法，并在中国35个大中城市进行了预期回报评估的实证分析，识别出了具有投资价值的城市和地区，为市场参与者的投资消费决策提供了合理的评估方法和结论。 4．商品住宅市场预期扩散模型构建与仿真研究首次将创新扩散理论与方法应用于住宅市场预期的研究，对传染病扩散模型与Bass模型进行了符合住宅市场现状的重新设定，对仅存在口头交流等内部影响和同时存在大众传媒等外部影响两种情形下的预期扩散过程进行了理论描述、建模刻画与系统仿真，识别出了两种条件下影响预期扩散的关键因素，探析了预期的扩散规律，，为预期的培养、管理活动提供了决策参考。本文的研究工作有助于深入认识商品住宅市场的运行规律，为现实中的房价波动、调控低效、需求非理性增长等问题提供了更多的解释与解决手段，为政府、房地产企业和购房者的行为决策提供了科学依据，也为一般的带预期的非线性随机系统的理论与应用研究提供了一种崭新的思路。
[Abstract]:Is expected to directly affect the running track of the commercial housing market, whether promulgates the two nature of the contact relationship to market participants investment and consumption decisions related to the success or failure of the government housing macro-control effect, but also related to the harmony and stability of the normal operation of the entire national economy and society. This paper discusses the relation between expectations and the price of commodity houses the relationship between expectations and the housing macro-control effect, the relationship between price and the expected return of the commercial housing, commercial housing market is expected to form the four aspects of the diffusion of the expected impact on China residential commodity field mechanism. The main research work is as follows:
1. building and empirical research on commodity housing price model based on expected heterogeneity
According to different market characteristics and behavior of traders, noise trading model in financial markets are re set in line with the commercial housing market, for the first time using intertemporal overlapping generations model analysis method, constructed the rational arbitrager, momentum traders, information observers, commercial housing prices model fundamental analysis 4 kinds of heterogeneous traders expected in consideration of the heterogeneity; the expected case, using the method of system simulation of the important behavior parameters of heterogeneous traders alone influence on housing price and the superposition effect; without considering the expected heterogeneity of the case, the model is transformed into a housing price model with the expected general, and selected 30 provinces (city, Chinese autonomous region) provincial panel data of the commercial housing market the empirical test, because the model in the process of the establishment of the micro foundation of introducing more accord with the facts, It does not break away from the traditional macro basic analysis method, which can better reveal the essential relationship between the two stochastic volatility sequences of the commodity housing price.
2. building and empirical research on the macro regulation model of housing based on environmental heterogeneity
The expected difference analysis framework model and the introduction of the city commercial housing supply and demand control, on the basis of housing stock flow model are established on the regulation of housing supply regulation and the dynamic model of housing demand model of heterogeneous expectations and heterogeneous city policy environment; implementation effect of China 35 large and medium-sized city housing macro-control the quantitative research, comparative analysis and system simulation, to identify effective policy tools, to simulate the trajectory of commercial housing market in a heterogeneous environment, for the government with precision, have provided a strong basis for the regulation of policy effectiveness.
3. construction and empirical research on nonlinear dual time series model of house price and rational (adaptive) expected return
In the evaluation of Nonlinear Doubly Time Series Model on the basis of real estate returns for the first time, is expected to introduce the research framework of the relationship between housing price and return will be nonlinear, random sequence price and the expected return of the commercial housing as a stochastic system, using modern methods of stochastic system theory for system identification, which can better describe the price and rational housing market random mechanism (adaptive) nonlinear doubly time series model of expected return; for the first time given the expected return to quantify unobserved, and make empirical analysis of the expected return Chinese assessment in 35 large and medium-sized city, identified with the investment value of the city and region, provides a reasonable evaluation method and the conclusion for the investment and consumption decisions of market participants.
Study on the construction and Simulation of the expected diffusion model of 4. commodity housing market
For the first time to study the diffusion of innovation theory and method is applied to the residential market expectations, the spread of infectious diseases and Bass model were consistent with re setting the housing market situation, the only oral communication and other internal and external influences such as mass media exist at the same time two cases expected diffusion process theory, modeling characterization and simulation system, identify the key factors affecting the expected diffusion under the two conditions of the diffusion of expectations, is expected to cultivate, management provides reference.
The research work of this paper is to help understand the housing market operation rules in depth, for the price fluctuations, the reality of the regulation of inefficient, irrational demand growth and other issues to provide more explanation and solution, for the government, provide a scientific basis for the real estate enterprises and the purchase decision behavior, but also provides a new the idea for the research on the theory and application of general nonlinear stochastic systems with anticipation.

【学位授予单位】：山西财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F299.23

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