基于非平稳面板计量方法的房地产价格非理性繁荣检验

上海交通大学学报（自然版） ›› 2011, Vol. 45 ›› Issue (12): 1807-1811.

基于非平稳面板计量方法的房地产价格非理性繁荣检验

柯昇沛1，黄静2，屠梅曾1

（1.上海交通大学安泰经济与管理学院，上海 200052； 2.上海师范大学商学院，上海 200234）

收稿日期:2010-12-29 出版日期:2011-12-31 发布日期:2011-12-31
基金资助:
国家自然科学基金资助项目（71103121）, 上海市哲学社会科学规划课题（2011EJL002）

An Empirical Analysis on the Irrational Exuberance of Chinese Cities’ Housing Prices Based on Nonstationary Penal Econometrics Methods

KE Sheng-Pei-1, HUANG Jing-2, TU Mei-Zeng-1

(1. Antai College of Economics & Management， Shanghai Jiaotong University， Shanghai 200052,China; 2. Business College, Shanghai Normal University, Shanghai 200234,China)

Received:2010-12-29 Online:2011-12-31 Published:2011-12-31

摘要/Abstract

摘要： 利用中国30个大中城市1998~2009年季度面板数据，采用非平稳面板计量方法对房价与房租之间的长期均衡关系和Granger因果关系进行分析.结果表明：各大中城市的房价与租金之间存在长期稳定的均衡关系，并且这种长期均衡关系在各城市间存在较大的差异；短期而言，各大中城市的房价与租金之间不存在Granger因果关系，长期来看，房价是租金的Granger原因，但租金不是房价的Granger原因，表明房价已脱离租金所确定的基本面，中国房地产市场存在非理性的繁荣.

关键词: 房价, 租金, 非平稳面板计量, 非理性繁荣

Abstract: This paper re-investigated the comovement and the granger-causality relationship between housing price and rents by using the quarterly panel date from the 30 cities of China and the new non-stationary penal econometrics methods. The paper has solved the questions of small sample and the difference of different cities. The empirical results provide clear support of a longrun co integration relationship between housing price and land price. But the relationships are different in different cities. The evidence shows that the granger-causalities run from housing prices to rents in the long-run. While in the short time the granger-causalities between housing prices and rents are not existence. This shows that house prices have gone beyond the fundamentals determined by the rents, the Chinese real estate market is irrational exuberance.

Key words: housing price, rents, the non-stationary penal econometrics methods, irrational exuberance

中图分类号:

F299.3

柯昇沛1, 黄静2, 屠梅曾1. 基于非平稳面板计量方法的房地产价格非理性繁荣检验[J]. 上海交通大学学报（自然版）, 2011, 45(12): 1807-1811.

KE Sheng-Pei-1, HUANG Jing-2, TU Mei-Zeng-1. An Empirical Analysis on the Irrational Exuberance of Chinese Cities’ Housing Prices Based on Nonstationary Penal Econometrics Methods[J]. Journal of Shanghai Jiaotong University, 2011, 45(12): 1807-1811.

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收稿日期：20110625