对上海市住房市场非均衡性的实证分析[1]

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[](1981-),,,(,200051)[],,,,,,,[];;;[]F22[]A[]1000-971X(2006)03-0036-07,19961998,,19953.71%,19985.02%,20005.53%,20037.42%,2003,24.5%,12.2%,,,,(,2002;,2003)(,2003),,18121(2003),,,,20054,,,200320055,,,,,,,,(,2001;,2004)(),(Case&Schiller,1989),,DiPasqualeWheaton(1994),63©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Quigley,2002),,,,,,,,,,,,,,,,(),,(Evans,2004):ABXY,1,AOA,BOB,XA,OAX,,YB,OBY,,AB,MN,,,,,,,,MN,,,,,,1,(Tu,2002),,73©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1972),FairKelejian(1974)MaddalaNelson(1974),,,()(),,(Maddala&Nelson,1974),()(Laffont&Garcia,1977),MaddalaNelson(1974),,:HDt=X1t1+1Pt+1t,(1)HSt=X2t2+2Pt+2t,(2)Pt=(HDt-HSt)+3t,(3)Qt=min(HDt,HSt),t=1,2,,n.(4)HDtt,HStt,X1tX2tHDtHSt,12,;Qtt,Ptt,,Pt=Pt-Pt-1,,(3),t,,,1t2t3t,122232;,,,,,(20002004)(20022005)(http:PP),,20031200552003120047,HDt(HAi,i=t-13,,t-1,)(Euct)(et-1),(St-1)(Pt)(t),1,,,t(Diamond,1980)Euct=(tpt+mt+Ei)(1-)-(t-1Pt-1+t-2)Pt-2)P2(5)tpt,(1-83©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.)1.2%;Ei,,;mt,mt=(mt-7+mt-1)P2;,5%HSt(Lm,t-1)(Ep)(Wt-1,,)(Ct-12,)(Invt-3,)(sat-12,)(Pt),Ep=(Pt-1PPt-1+Pt-2PPt-2)P2(6),,,HDtHStPt,HAiet-1St-1Lm,t-1Ct-12Invt-3sat-12Wt-1,tEuctEpHDt=0+1t+2HAi+3Euct+4et-1+5St-1+Pt+1t(7)HS1=0+1t+2Lm,t-1+3Ep+4Wt-1+5Ct-12+6Invt-3+7Pt+2t;(8)HDt=0+1t+2Euct+3et-1+4Pt+1t;(9)HSt=0+1t+2Lm,t-1+3EP+4Sat-12+5Pt+2t.(10)(),,(ML),XtHDtHStPtg(HDt,HSt,Pt|Xt),(1t,2t,3t)g(HDt,HSt,Pt)(1t,2t,3t)|J|g1(Qt,Pt|Xt)QtQtPt,g2(Qt,Pt|Xt)Qt,(4)g1(Qt,Pt|Xt)=Qtg(Qt,HSt,Pt|Xt)dHStNt(11)g2(Qt,Pt|Xt)=Qtg(HDt,Qt,Pt|Xt)dHDt1-Nt(12)Nt=prob(HDtHSt),f(Qt,Pt|Xt)=Ntg1(Qt,Pt|Xt)+(1-Nt)g2(Qg,Pt|Xt)(13)=Qtg(Qt,HSt,Pt|Xt)dHSt+Qtg(HDt,Qt,Pt|Xt)kHDt(14)L=nt=1lnf(Qt,Pt|Xt)(15),,(TSLS),(1)(3)Pt,Pt=X1t1+X2t2+3Pt-1+t(16)PtP^t,P^t(1)(2)Pt,(4):HDt=X1t1+1P^t+v1t,(17)HSt=X2t2+2P^t+v2t,(18)Qt=min(HDt,HSt).(19),MaddalaNelson(1974),,,,,TSLS,12:1=0.0411,t2.4623;2=0.10457,t2.127693©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(4.498)(0.7017)(0.0048)(1.4571)(0.2034)(0.0072)60.89121.623320.01182-8.062621.89492-0.00882(11.91)(0.2594)(0.0019)(4.516)(0.8267)(0.0023)71.12511(3.3585)SeR20.34710.94510.39520.9422123457.452910.24951-2.71-0.984211.47451(1.6011)(0.0601)(1.35)(1.435)(0.4708)93.26531.983531.16383-0.01523-4.92153(44.992)(0.8639)(0.7441)(0.0008)(1.6144)SeR20.10810.98310.13820.97822HSt12345678SeR20.632911(6.229)0.10891(0.3956)-0.00621(0.0054)-12.7191(7.747)-1.34221(0.8646)-0.03211(0.0462)0.00451(0.0048)2.52131(1.5471)2.70610.6061-0.00422(0.0015)-12.0272(4.475)-1.3672(0.4668)0.04572(0.0248)0.004762(0.0044)2.51932(0.8044)2.74820.5952123456SeR2-6.26341(5.001)-0.30461(0.2496)-0.00211(0.0003)2.35131(1.7337)0.387811(0.1528)2.92011(1.2613)0.60810.6971-0.00423(0.0015)3.77413(2.2024)0.262073(0.1126)1.67373(0.4728)0.74430.6293:::1TSLS;2;3(9)et-1St-1(),,,,,,,1,0Straszheim(1973):(),,,Euct-8.0626,(5),,,04©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1991),,200320040.9890.883,,,HAi0.0018,,,:;,,,2,200320040.6250.608,,,,,EP,:,,,,,,,,(),,20032004-0.1073-0.1249,,,,(),,,,(,),,,0,,,,,,,,,,,,,,0.3650.511,,,2004,,,,0.10457,,14©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:[1].[J].,2001,(06).[2].(19992004)[M]..[3].(19962004)[M].:.[4].(20022005).[5],.[J].,2004,(04).[6].[J].,2003,(04).[7],.[M].:,2002.[8],.[J].,2003,(03).[9]http:PP[10]Case,KarlE.andShiller,Robert.,TheEfficiencyoftheMarketforSingle2FamilyHomes,AmericanEconomicReview;March1989,79,135-37.[11]deLeeuw,FrankandEkanem,NkantaF.,TheSupplyofRentalHousing,AmericanEconomicReview,December1971,61,806-17.[12]Diamond,DouglasB.,Taxes,Inflation,SpeculationandtheCostofHomeownership,AmericanRealEstateUrbanEonomicAssociationJournal,Fall1980,8,281-98.[13]DiPasquale,Denise,andWheaton,W.,HousingMarketDynamicsandtheFutureofHousingPrices,JournalofUrbanEono2mis,January1994,35,1-27.[14]Evans,AlanW.,RICSFoundation,Economics,RealEs2tate,andtheSupplyofLand,BlackwellScienceLtd.,Malden,Mass,2004.[15]Fair,R.C.,andDwightM.Jaffee,MethodsofEstimationforMarketsinDisequilibuium,Econometrica,May1972,40,497-514.[16]Fair,R.C.,andHarryH.Kelejian,MethodsofEstima2tionforMarketsinDisequlilibrium-AFurtherStudy,Econometri2ca,January1974,42,177-90.[17]Fair,RayC.,DisequilibriuminHousingModels,Jour2nalofFinance,May1972,27,207-21.[18]Fu,Yuming,AModelofHousingTenureChoice:Com2ment,AmericanEconomicReview,January1991,81,381-83.[19]Maddala,G.S.,andForrestD.Nelsom,MaximumLikeli2hoodMethodsforModelsofMarketsinDisequilibrium,Econometri2ca,November1974,42,1013-30.[20]Maisel,ShermanT.,ATheoryofFl