中国大中城市住房市场的波动性分解——基于房价租金比视角的实证研究

发布时间：2018-05-01 10:12

本文选题：房价租金比 + 住房市场波动性分解　；参考：《经济科学》2017年03期

【摘要】：本文建立动态因子模型和改进的Campbell方程,从房价租金比视角将全国28个大中城市的住房市场波动分解成总体因子与本地因子波动,并将以上因子拆分成租金、利率及风险溢价等部分,研究住房市场波动的推动因素。结果发现:大部分城市房价波动主要源于本地因素,且时变的风险溢价是波动的主因,而利率和预期租金的影响相对较小;在本地风险溢价水平较高的城市,总体风险溢价也较高,两者共同导致了房价波动的差异化;本地风险溢价及其波动率与本地基本养老保险参保率存在较强正相关关系,与人均储蓄负相关;在总体风险溢价中存在着由非理性预期或投机活动导致的错误定价。
[Abstract]:In this paper, the dynamic factor model and the improved Campbell equation are established. From the perspective of the price-to-rent ratio, the volatility of the housing market in 28 large and medium-sized cities in China is decomposed into the total factor and the local factor fluctuation, and the above factors are divided into the rent. Interest rate and risk premium and other parts, study the driving factors of housing market volatility. The results show that most urban house price fluctuations mainly originate from local factors, and the time-varying risk premium is the main cause of the volatility, while interest rate and expected rent have relatively little effect on the volatility, while in the cities where the level of local risk premium is higher, the effect of interest rate and expected rent is relatively small. The overall risk premium is also high, both of which lead to the difference of house price fluctuation, the local risk premium and its volatility have strong positive correlation with the local basic old-age insurance participation rate, and negative correlation with the per capita savings. In the overall risk premium there are mispricing caused by irrational expectations or speculative activities.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社会科学基金重大招标项目(011&ZD006);国家社会科学基金重点项目(010AZD013)资助
【分类号】：F299.23

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