高铁梅--预期收入-收益率和房价波动-基于35个城市动态面板模型的研究

)))基于35个城市动态面板模型的研究*张亚丽梁云芳高铁梅:本文在跨期优化选择模型中根据住房和消费品的边际替代率条件得出房价决定模型,使用动态面板广义矩进行建模得出结论:预期人均实际收入和预期房地产收益率是房价持续快速上涨及波动的主要因素该模型可以解释我国房价自1999年以来的快速上涨以及2004年房价增长的拐点和2007年房价增长的拐点高房价城市房价的预期收入弹性大于1,因此高房价城市房价出现了非理性增长,房地产市场存在泡沫中等房价城市房价的预期收入弹性小于1,低房价城市预期收入对房价没有显著的影响,因此中等房价城市特别是低房价城市房价增长较为理性:房价波动预期收入收益率动态面板广义矩估计模型:张亚丽,山东财政学院经济学院讲师,250014;梁云芳,东北财经大学经济计量分析与预测研究中心副教授博士,116025;高铁梅,东北财经大学经济计量分析与预测研究中心教授博士生导师,116025:F293130:A:1002)8102(2011)01-0122-08一引言和文献回顾1998200912,19982063/20094600/,,200420072004,2004;2008,;2009,,,,,,,???122Finance&TradeEconomics,No11,2011*2009(:08CJY018)(:2009R22),MuellbauerMurphy(1997)1957-1994,,Clayton(1996),,1979-1991,MalpezziWachter(2005),,,JudWinkler(2002)1984-1998130,:Capozza(2002)62,,(2008)351999-2005,(2008)311996-2006,,;,:(2004)1995-2002,14,,2000,14(2010)1998-200835,,,(2007)1999-2006,,,,(2008)(2010),,,MuellbauerMurphy(1997),,,,,,,35,35¹二房价与预期收入房地产收益率的关系()12320111¹352008,:500035005000,350010;13;1256Meen(1990),(MuellbauerMurphy,1997;PainWestaway,1996):,:(H)(C),M,Htt,,Ctt,u(Ht,Ct),(1):Q]0e-utu(Ht,Ct)dt(1)(r),,1,(2),tptt,Qtt,Stt,ytt,tax,Att,(1-tax)rtAtptQt+St+Ct=(1-tax)yt+(1-tax)rtAt(2)(3)t,tt(4)t,tt,Pt,DHt+1-Ht=Qt-DHt(3)At+1-At=St-PtAt(4)(2)(3)(4),,(MuhMuc):MuhMuc=pt(1-tax)rt-Pt+D-$pept(5),Muh,Muc,rpet=$petpt,eDoughertyVanOrder(1982)1,,,(5),¹,Rt,(5),(6):pt=f(Rt,tax,rt,Pt,D,rpet)(6)MuellbauerMurphy(1997)ydet,,,ydetCPI,,(7):pt=f(ydet,tax,rt,D,rpet)(7),ptt;ydett;rtt;124Finance&TradeEconomics,No11,2011¹DoughertyVanOrder(1982),,Meen(1990),,(5),,,rpett,,(7)()MuellbauerMurphy(1997),,,,,,DipasqualeWheaton(1996),,,:rpet=12pt-pt-1pt-1+pt-1-pt-2pt-2(8),rpett,ptt()Muellbauer(1996),,,,,,,:lnydej,it=lnydej,it-1+Cj(lnydj,it-lnydej,it-1)(9),Cj,0Cj[1,j=123,i,i=1,2,,,nj,nj,t,yd,yde()Dtax,rpet,,(7),:lnpj,it=Bj0+Bj1lnydej,it+Bj2rj,it+Bj3rpej,it+Ej,it(10),jit(9),Ej,it,(9)(10),,¹Xi:lnpj,it=Aj0+Hjlnpj,it-1+Aj1lnydj,it+Aj2rj,it+Aj3rj,it-1+Aj4rpej,it+Aj5rpej,it-1+Xj,i+Nj,it(11),jit(9),Xj,i,,(11),(11)(10)Bj0Bj1Bj2Bj3,(12):Cj=1-HjBj0=Aj0CjBj1=Aj1CjBj2=Aj2Bj3=Aj4(12)12520111¹[]:56,2005,631~632三建立预期收入收益率和房价的动态面板模型()1.351999-2008,,Pt¹,rt,565656ºpt,=GDPt,ydt2.(11),,,OLS,(11),ArellanoBond(1991)(GeneralizedMethodofMoments-Difference,GMM-DIFF),::lnpj,it=Aj0+Hjlnpj,it-1+AcjXj,it+Xj,i+Nj,itj=1,2,3;i=1,,,nj;t=1,,,T;Hj1(13),i,t;E(Nj,it)=0;varNj,it=R2;E(Nj,itNj,is)=0,sXt;Xj,i,Ajk@1,Xj,itk@1,Xj,it(11),Aj(11),k=5,(13):$lnpj,it=Hj$lnpj,it-1+Acj$Xj,it+$Nj,itj=1,2,3;i=1,,,nj;t=1,,,T;Hj1(14),$,$lnpj,it=lnpj,it-lnpj,it-1,$lnpj,it-1=lnpj,it-1-lnpj,it-2,$Nj,it=Nj,it-Nj,it-1,$lnpj,it-1$Nj,it,OLS,cov(lnpj,it-2,$Nj,it)=0,cov(lnpj,it-2,$lnpj,it-1)X0,lnpj,it-2,,lnpj,it-k(2[k[t-1),,(Two-step)GMM(13)HjAj()»,(11),Sargan,(10),2003-2008,,(11)11,(12),(10)Bj1Bj2Bj3126Finance&TradeEconomics,No11,2011¹º»Pt=CPIt-100,CPIt(=100)/,1999-200135,,1999EViews61021GMM-DIFF(lnpj,it)j=1j=2j=3lnpj,it-1^Hj01855***(41931)01676***(131805)01690***(71316)lnydj,it^Aj101233***(21877)01210***(51679)01132(11249)rj,it^Aj211555***(51246)01869***(31569)01805***(41998)rj,it-1^Aj301281(01650)01172(01594)0122(01988)rpej,it^Aj41118***(161527)11220***(71011)11259***(41767)rpej,it-1^Aj5(01707**(21379)(01597**(21259)(01398***(21689)100130120Sargan81601[4]71560[7]71868[6]:1.j=1232.******1%5%10%,t3.Sargan,[]Sargan4.GMM/2-step02:lnp^j,it=^Bj0+^Bj1lnydej,it+^Bj2rj,it+^Bj3rpej,it(15)j=1j=2j=3lnydej,it^Bj1=^Aj1^Cj,^Cj=1-^Hj11599***01648***01424rj,it^Bj2=^Aj2115550186901805rpej,it^Bj3=^Aj41118***11220***11259***:1.******1%5%10%,12.j=1232:1.(lnydej,it),,,,^B11=11599,^B21=01648,1%,11599%01648%,,19999103%,5176%^B31,,,1999GDP64822,GDP25151^B11=115991,,1,,2007121999,2007,2007,2008,,,2007127201112008,,,,,,2009511999(/)21999(/)2009-20104,¹2009,,20089,,,,,,,2.(rpej,it)1%^B13=1118,^B23=1122,^B33=11259,1,1118%1122%11259%,,,,,,2004200412,2004,2004,2004,2004,10194%,º2005,,2005,20042004,2004,,,128Finance&TradeEconomics,No11,2011¹º520096,200924%,20103701117%,1998-20044188%2014%2518%31128%2618%14116%-10194%,2004,,/0/0,,3.,,¹:,,;,,,,,四结论35,:(1),2007^B11=115991,,1,,(2),2004;2004,,,,,,,,,,,,:1.:5?6,562008122.:56,56200783.:5:356,56200814.:56,56201035.Clayton,J1,RationalExpectations,MarketFundamentalsandHousingPriceVolatility1RealstateEconomics,Vol124,No14,1996,pp1441-47016.JohnMuellbauerandAnthonyMurphy,BoomsandBustsintheUKHousingMarket1TheEconomicJournal,Vol1107,No1455,1997,pp11701-172717.Jud,G1DonaldandWinkler,DanielT1,TheDynamicsofMetropolitanHousingPrices1TheJournalofRealEstateRe-search,Jan-Apr123,2002,pp129-4518.Malpezzi,StephenandWachter,SusanM,TheRoleofSpeculationinRealEstateCycles1JournalofRealEstateLitera-ture,Vol113,No12,2005,pp1143-1641责任编辑:原宏12920111¹(2010),,,,