唧唧堂编辑二朵2014-05-15 5:32 PM

探索住房价格的决定因素:对1999-2010年间中国经验的案例研究 Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010 

论文摘要 

宏观经济变量如何影响房价?在本文中,我们运用了 外源输入非线性自回归移动平均线(NARMAX)的非线性建模方法来调查1999:01至2010:06期间中国房价的决定因素。该NARMAX方法结合了著名的向量误差修正模型(VECM),它有能根据统计特性自动选择变量和相应滞后数目的线性和非线性形式的超过现行方法的优点。 估计结果主要用于识别解释住房价格动态的关键的货币和价格变量,其中包括最显著的抵押贷款利率,生产者价格,广义货币供应量和实际有效汇率。同时,真正的经济变量如收入不是独立显著的。

Abstract 

How do macroeconomic variables affect housing prices? In this paper we apply a non-linear modeling approach, the Nonlinear Auto Regressive Moving Average with eXogenous inputs (NARMAX), to investigate determinants of housing prices in China over the period 1999:01 to 2010:06. The NARMAX approach, combined with the famous Vector Error Correction Model (VECM), has an advantage over prevailing methods in that it automatically selects linear and non-linear forms of variables and the numbers of corresponding lags according to statistical properties. Estimation results mainly identify some key monetary and price variables in interpreting housing price dynamics, including most notably mortgage rate, producer price, broad money supply and real effective exchange rate. Meanwhile, real economic variables such as income are not independently significant. 

论文要点 

我们调查了中国房屋价格通胀的决定因素。 
我们运用了NARMAX的非线性建模方法。 
该NARMAX方法还结合了著名的向量误差修正模型。 
我们确定了解释住房价格动态的关键的货币和价格变量。 
我们发现真正的经济变量如收入不是独立显著的。

Highlights 

We investigate determinants of housing price inflation in China. 
A non-linear modeling approach, NARMAX, is employed. 
The NARMAX approach is also combined with the famous Vector Error Correction Models. 
We identify some key monetary and price variables in interpreting housing price dynamics. 
We find that real economic variables such as income are not independently significant. 

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