南京市房地产开发投资与GDP互动关系

GDP12210096Granger19902004GDPGDPGDP;GDP;Granger;;RelationshipbetweenraelestatedevelopmentinvestmentandGDPinNanjingZHONGYuan1LIQi-Ming2(DepartmentofConstructionManagement&RealEstate,SoutheastUniversity,NanJing210096)Abstract:ThispaperuseseconometricstoolsincludingGrangercausalitytestimpulseresponsefunctionandvariancedecompositiontoresearchtherelationshipbetweenrealestatedevelopmentinvestmentandGDPinNanjingduring1990-2004.ItrevealsthattherealestatedevelopmentimpactsGDPobviously,howevertherealestatedevelopmentinvestmentislackofstability,andthereisnoevidentcausalityrelationshipbetweenrealestatedevelopmentinvestmentandGDP,whichindicatesthatNanjingrealestatemarketisstillnotmature.keywords:realestatedevelopmentinvestment;GDP;Grangercausalitytest;impulseresponsefunction;variancedecomposition1990200415.33GDPGrangerGDP11.1GrangerGrangerxyxGrangeryxyVARGrangerVECGrangerGranger1.2IRFImpulseResponseFunctiontt(IRF)VAR(1)tPtttM,1112111Pεαα++−−(1)ttttMPM,2122121εαα++=−−(2)(Innovation)t,1εPPPMVAR()t,1εt,2εt,1εVARVEC1.3VAR22.119902004REINVGDPCPI1012345678199019911992199319941995199619971998199920002001200220032004GDPREINV119902004REINVGDPGDPREINVCPI2.2ADFAICSCGDPAICSC211GDPADFTestStatistic-3.4862531%CriticalValue-2.8622AIC-3.880982SC-3.7902071AICSCADF199GDPGDPI(2)REINV22REINVADFADFTestStatistic-1.95980410%CriticalValue-1.6337AIC0.023430SC0.114206290REINVREINVI(2)GDPREINVEGOLS3GDPREINVT10902.3VARlnGDPlnREINVVARAICSC3AIC-6.439942SC-5.874217VAR44R22.4REINVGDPVARGDPREINV2-0.04-0.03-0.02-0.010.000.010.02123456789101112131415GDPREINVResponseofGDPtoOneS.D.-0.06-0.04-0.020.000.020.040.06123456789101112131415GDPREINVResponseofREINVtoOneS.D.2GDPREINVGDPt-1GDPt-2GDPt-3REINVt-1REINVt-2REINVt-3CAdjR2GDPt0.8430740.2834730.229652-0.122694-0.0471570.002603-1.3520540.997500REINVt4.841633-6.4484921.7781560.7803940.483206-0.393549-0.7769330.977365EGTestStatistic-1.96352410%CriticalValue-3.4518AIC-2.513560SC-2.3688714VAR2GDPREINVGDP0.0130.00970.011GDPREINV-0.033-0.033REINVGDP-0.0190.050.0090.025REINV0.0578-0.074GDPGDPGDPGDPREINVGDPGDPGDP2.5REINVGDPGDPREINV2.3VAR55GDPREINVGDP1013GDP25.13REINV74.87REINVGDP24.64REINV75.36REINVGDPGDPGDP5.9REINV94.1REINVGDPGDP2REINVREINV2GDPGDPREINVGDPREINVTGDPREINVGDPREINVGDPREINVGDPREINV1100.00000.0000009.64630790.3536990.353699.6463070.000000100.0000288.0567111.9432935.2640164.7359967.0777632.9222446.6098053.39020365.1026334.8973732.7517567.2482542.6021457.3978645.5147354.48527449.1249050.8751036.6336363.3663726.9456973.0543147.8566752.14333539.8294460.1705637.6117662.3882418.5124281.4875845.6796654.32034633.9409466.0590636.4526563.5473513.6552386.3447738.9066961.09331730.3050869.6949232.7312567.2687510.7746989.2253131.8184268.18158828.1925271.8074829.7099970.290019.02161190.9783925.9812774.01873926.9178673.0821427.4737372.526277.89482792.1051721.9018078.098201026.1395173.8604926.1138773.886137.13720792.8627919.0306980.969311125.6588874.3411225.2749674.725046.60606193.3939416.9969083.003101225.3520274.6479824.8536175.146396.21497293.7850315.4988684.501141325.1323774.8676324.6404475.359565.90710594.0928914.3355085.664505GDPREINV14.34REINV85.66GDPGDPGDPGDP,2.6REINVGDPGrangerVARREINVGDPGranger66GDPREINVGranger6195GDPREINVGrangerREINVGDPGranger299GDPREINVGrangerREINVGDPGranger395GDPREINVGrangerREINVGDPGrangerGrangerGrangerGDP3VARGDPGrangerGDPGDPGDPGrangerGDPGranger195REINVGDP[1].GDP[J].2004.9[2]PesaranHH,ShinY.Generalizedimpulseresponseanalysisinlinearmultivariatemodels[J].EconomicsLetters,1998,58(1)[3]JamesDH.TimeSeriesAnalysis[M].Princeton:PrincetonUniversityPress,1994[4].[M].2004NullHypothesisLAG1LAG2LAG3REINVdoesnotGrangerCauseGDP0.163851.3E-050.09564GDPdoesnotGrangerCauseREINV0.083710.000150.00185