房价与地价的内生性及其互动影响-基于联立方程模型的实证分析-温海珍

)))基于联立方程模型的实证分析*温海珍吕雪梦张凌:虽然从城市层面来看,经济基本面是房价地价的影响因素已经得到认可,但是关于房价与地价之间的关系却一直存在争议本文以城市地价与房价为内生变量,选取5个地价影响因素和7个房价影响因素为外生变量,构建了联立方程模型通过收集全国21个城市2000-2005年的样本资料,采用两阶段回归法(2SLS)对模型进行了估计,发现房价与地价之间存在内生性关系,相互影响的方向均为正向,并且房价处于主导地位实证结果也表明,人均可支配收入是地价的重要影响因素,同时也对房价有显著的影响作用,房价滞后期对房价的影响程度最大,说明房价的预期效应是推动房价上涨的主要原因:住宅价格土地价格内生性联立方程:温海珍,浙江大学土木工程管理研究所副教授博士,310058;吕雪梦,浙江大学土木工程管理研究所硕士研究生,310058;张凌,浙江大学土木工程管理研究所讲师博士,310058:F29313:A:1002-8102(2010)02-0124-06一引言1998,,,,,,2000-2005,212778/,20002328/20053571/,53137%;211267/,2000200510141949/,92122%,,?,:,(,2005),(2005)Granger,,()(2005),(2005)Granger,,(2003)Granger,,(2005),,,,124Finance&TradeEconomics,No12,2010*(NO:05CJY017)(NO:40801057)212000-2005,,57,,,,,,,二选择性文献述评(),(,2004),,,,,,Quigley(1999)411986-1994,,10%~40%,,,95%,,,Manning(1988)941980,()5,233,,(),Granger,OoiLee(2006)1990-2005(),ADFJohansen,(ECM)Granger,,,,OzanneThibodeau(1983),Potepan(1996),581974-1983,(2SLS),,,,GrangerVAR,,,,,,,12520102(2SLS),Hausman,三模型与数据()4172000-200521(HP)(LP),7(IEE)(ABA)(LPA)(PLP)(PDI)(PGR)(OER);5(PP)(LBA)(II)(PDI)(PGR)11HP+LP+LP(-1)+HP(-1)+PP-IEE?LBA-ABA-II+LPA-PGR+PGR+PDI+OER+PDI+PLP+:HP:,56/0(/)LP:,/0(/)IEE:,56/011()ABA:,56/0()LPA:,56/0,()PLP:,56/0,,GDP()PDI:,56/0,(),()PGR:,56/0(j)OER:,//@1000,/0/056()PP:,56/0()II:,56/0,()LBA:,56/0,/0,()126Finance&TradeEconomics,No12,2010(),:LP=A0+A1HP+A2LP(-1)+A3PP+A4LBA+A5II+A6PGR+A7PDI+u1(1)HP=B0+B1LP+B2HP(-1)+B3IEE+B4ABA+B5LPA+B6PGR+B7OER+B8PDI+B9PLP+u2(2),(1)(2),,(2SLS):1:HPu1HPHP=C0+C1LP(-1)+C2HP(-1)+C3PP+C4LBA+C5II+C6IEE+C7ABA+C8LPA+C9PGR+C10OER+C11PDI+C12PLP+u~(3)u~OLS,HP~HP,:HP~=C0+C1LP(-1)+C2HP(-1)+C3PP+C4LBA+C5II+C6IEE+C7ABA+C8LPA+C9PGR+C10OER+C11PDI+C12PLP(4),HP=HP~+u~,HP:12HP~u~OLS,HP~u~2:HPHP~(1),:LP=A0+A1(HP~+u~)+A2LP(-1)+A3PP+A4LBA+A5II+A6PGR+A7PDI+u1=A0+A1HP~+A2LP(-1)+A3PP+A4LBA+A5II+A6PGR+A7PDI+u*1(5)u*1=u1+A1u~(1)(5),HPHP~,HPu1,HP~u*1(5)OLS,,(2),2SLS四结果与讨论Eviews510,2,2,:LP=-10831373+01332HP+331314PGR+01135PDI(6)HP=-3961362+01369LP+01719HP(-1)-01051LPA+7601952OER+01071PDI(7)()HausmanLPHP1,HP~M~LPHP~M~,:LP~=-319129+01571HP~+01486M~,M~t516427,(p01001),LPHP,,,(6)(7)(),,Wald,(6)(7),3127201022tt1:-2961833*-11712-10871491*-11720LP(-1)01332**31841LP(-1)11229**101461HP(-1)01651**121631PDI01107*11729PDI01070**31385IEE-01382**-31141LBA-01334**-21709ABA01112**71828OER5311068**21672LBA-01471*-11882IEE01378**21794PP1191848*11923PLP01011**51176R2adj=01937F=222122**R2adj=01714F=44132**2:-10831373*-21185-3961362*-21214HP01332**51898LP01369**41311PDI01135**31248HP(-1)01719**201567PGR331314**21821PDI01071**31994OER7601952*21190LPA-01051*-11988R2adj=01729F=15160**R2adj=01936F=304185**:***1%10%10%,52(),LP(-1)2,015710,,011536,,,110229%,1j,010249%2,(PP)(LBA)(II)3,,3PDI0157101110229HP(-1)0171891016571HP0154171017109LP0122612011698PGR0115362010249*PDI0118432012514OER0106093012655*LPA-0102024010000*:PGROERj%,()10%,73HP(-1)4,,,017189,016571,,011843,,,128Finance&TradeEconomics,No12,2010019086(1%),-010202,,,()HPLP015417,LPHP(012261),1%017109%,1%011698%21,,LP(-1),HP(-1),,,,,,,,,五结论,,,,,,,,,,,,2,,,,,,,:1.:56,56200642.:56,56200333.:5:6,56200594.:5:6,562005115.:5:6,56200586.:5:1995-2002146,56200467.:56,56200588.Manning,C.A.,TheDeterminantsofIntercityHomeBuildingSitePriceDifferences.LandEconomics,Vol1164,No13,1988,pp11-14.9.Ooi,J.T.L.,Lee,S.,PriceDiscoverybetweenResidentialLandandHousingMarkets.JournalofHousingResearch,Vol115,No12,2006,pp195-112.10.Ozanne,L.,Thibodeau,T.,ExplainingMetropolitanHousingPriceDifferences.JournalofUrbanEconomics,Vol113,No11,1983,pp151-66.11.Potepan,M.J.,ExplainingIntermetropolitanVariationinHousingPrices,RentsandLandPrices.RealEstateEconom-ics,Vol124,No12,1996,pp1219-245.12.Quigley,J.M.,RealEstatePricesandEconomicCycles.InternationalRealEstateReview,Vol12,No11,1999,pp11-20.责任编辑:冷杉12920102