我国住宅价格影响因素与波动性特征
摘要
住宅价格是地产价格和房产价格组合的相互联系、相互影响、相互制约的有机整体,本文在对住宅价格影响因素以及价格波动研究文献综述的基础上,发现现有的研究往往只注重住宅价格本身的研究,忽视对住宅价格体系的研究,对住宅价格的研究往往局限于单个市场层面的研究,对住价格波动的研究尚未取得突破性的进展。因此,本文从住宅价格影响因素和价格波动的角度研究住宅的定价问题。
首先,研究房价、地价与土地制度的基本理论关系,并进行了实证分析。研究结论表明,实行土地招拍挂制度后,住宅市场和土地市场的市场效率均得到显著提高,价格更充分地反映住宅市场和土地市场的相关信息,两市场之间存在双向的Granger因果关系。
其次,构建综合考虑宏观层面、中观层面和微观层面的多层面住宅价格影响因素的理论模型;设计考虑长期因素、短期因素和短期因素偏离长期因素的偏离程度的误差纠正模型并进行了实证研究。结论表明,我国住宅价格的长期影响因素包括可支配收入、银行贷款、住宅需求、住宅供给、土地价格、土地供给量、完成开发土地量等;短期住宅价格的影响因素有需求、土地供给和开发等;我国不同地区住宅价格既有共同的影响因素,也有各地区差异的影响因素,同一因素的影响程度不同,且各地区住宅价格回归均衡水平的速度不同。
最后,研究我国住宅价格波动特征与影响因素以及住宅市场内部期房市场与现房市场的波动溢出效应。结论表明,住宅价格波动具有聚集性、持续性和非对称性;住宅空置量是解释住宅价格波动非对称性的重要解释因素之一;我国住宅价格波动的主要影响因素有住宅需求、供给、银行信贷、空置量和住宅价格变化等;我国商品房预售制度有利于房地产市场的价格波动的稳定,存在显著的现房市场向期房市场的波动溢出效应。
The residential price is influenced by many factors of different markets including land market, housing market, rent market and so on. The theoretical and empirical studies are mainly focus on researching the houing price formation mechanism from single market and neglecting the study of the housing price volatility, the volatility influencing factor and volatility transmission. Therefore this paper mainly study the residential price formation mechanism including multi-aspect influencing factor of residential price, influencing factor of price volatility and the price volatility transmission.
Firstly, this paper studies the dynamic relationship between housing and land price in the Chinese real estate market. Using a cointegration and error correction model framework, the empirical results show that both the housing and land markets are more informationally-efficient after the adoption of a new land grant system, as they both respond to market disequilibria more quickly than before. We also find that there exists long-run bidirectional Granger causality between housing prices and land prices after the adoption of a new land grant system.
Secondly, according to the formation mechanism of housing price, this paper presented Chinese housing multi-aspect factors theoretical model and desiged the emprirical model. The empirical results show that the main long-factors of housing price are income, housing demand, housing supply, bank loan, land supply land development and land price. The main short-term factors are housing demand, land supply and land development. At the same time, Chinese housing market is non-balanced, different regional housing price has different factors under some common factors, the influencing degree and the long-run correction rate to the market disparity of regional market are also different.
Finally, this paper provides the study to examine the characteristic and influencing factor of Chinese housing price fluctuations, and the transmission of information and price discovery between Chinese forward and spot housing market though Granger causality, univariate GARCH and bivariate BEKK-GARCH model. The results show that there are GARCH effects and volatility clustering effects and volatility asymmetric effects in Chinese housing market; the main influencing factors of housing price volatility are housing demand, housing supply, bank load, housing vacancy rate and the housing price changes; the volatility of the spot market was more sensitive to shocks than the forward market. Moreover, information was mainly transmitted from the spot market to the forward market, but not vice versa. The main function of Chinese pre-sale mechanism is financing and without the price discovery which are popular with in the forward market.
首先,研究房价、地价与土地制度的基本理论关系,并进行了实证分析。研究结论表明,实行土地招拍挂制度后,住宅市场和土地市场的市场效率均得到显著提高,价格更充分地反映住宅市场和土地市场的相关信息,两市场之间存在双向的Granger因果关系。
其次,构建综合考虑宏观层面、中观层面和微观层面的多层面住宅价格影响因素的理论模型;设计考虑长期因素、短期因素和短期因素偏离长期因素的偏离程度的误差纠正模型并进行了实证研究。结论表明,我国住宅价格的长期影响因素包括可支配收入、银行贷款、住宅需求、住宅供给、土地价格、土地供给量、完成开发土地量等;短期住宅价格的影响因素有需求、土地供给和开发等;我国不同地区住宅价格既有共同的影响因素,也有各地区差异的影响因素,同一因素的影响程度不同,且各地区住宅价格回归均衡水平的速度不同。
最后,研究我国住宅价格波动特征与影响因素以及住宅市场内部期房市场与现房市场的波动溢出效应。结论表明,住宅价格波动具有聚集性、持续性和非对称性;住宅空置量是解释住宅价格波动非对称性的重要解释因素之一;我国住宅价格波动的主要影响因素有住宅需求、供给、银行信贷、空置量和住宅价格变化等;我国商品房预售制度有利于房地产市场的价格波动的稳定,存在显著的现房市场向期房市场的波动溢出效应。
The residential price is influenced by many factors of different markets including land market, housing market, rent market and so on. The theoretical and empirical studies are mainly focus on researching the houing price formation mechanism from single market and neglecting the study of the housing price volatility, the volatility influencing factor and volatility transmission. Therefore this paper mainly study the residential price formation mechanism including multi-aspect influencing factor of residential price, influencing factor of price volatility and the price volatility transmission.
Firstly, this paper studies the dynamic relationship between housing and land price in the Chinese real estate market. Using a cointegration and error correction model framework, the empirical results show that both the housing and land markets are more informationally-efficient after the adoption of a new land grant system, as they both respond to market disequilibria more quickly than before. We also find that there exists long-run bidirectional Granger causality between housing prices and land prices after the adoption of a new land grant system.
Secondly, according to the formation mechanism of housing price, this paper presented Chinese housing multi-aspect factors theoretical model and desiged the emprirical model. The empirical results show that the main long-factors of housing price are income, housing demand, housing supply, bank loan, land supply land development and land price. The main short-term factors are housing demand, land supply and land development. At the same time, Chinese housing market is non-balanced, different regional housing price has different factors under some common factors, the influencing degree and the long-run correction rate to the market disparity of regional market are also different.
Finally, this paper provides the study to examine the characteristic and influencing factor of Chinese housing price fluctuations, and the transmission of information and price discovery between Chinese forward and spot housing market though Granger causality, univariate GARCH and bivariate BEKK-GARCH model. The results show that there are GARCH effects and volatility clustering effects and volatility asymmetric effects in Chinese housing market; the main influencing factors of housing price volatility are housing demand, housing supply, bank load, housing vacancy rate and the housing price changes; the volatility of the spot market was more sensitive to shocks than the forward market. Moreover, information was mainly transmitted from the spot market to the forward market, but not vice versa. The main function of Chinese pre-sale mechanism is financing and without the price discovery which are popular with in the forward market.
引文
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