摘要
本文选择1999至2009年的中国房屋销售价格指数、GDP、货币供应量M2和人均可支配收入的季度数据作为研究样本,通过建立状态空间模型并运用卡尔曼滤波对其估计和分析,分别得到了以上因素对房价影响力的动态特性。由此得出的结论主要包括:人均可支配收入和货币供应量是长期内影响房价的两个主要因素,前者对房价的影响稳定而后者的影响波动较大,此外GDP是另一个对房价影响稳定但影响力稍弱的因素;在2009年中国总体房价快速上涨的过程中,货币供应量对房价的影响强度明显超过了其他两个因素。
In this paper, with the quarterly data of housing price, GDP, money supply M2 and disposable income per capita in china from 1999 to 2009, a state space model is developed and estimated using Kalman Filtering to examine the dynamic characteristics of the corresponding impacts of these factors on housing prices. The main results show that disposable income per capita and money supply are two major factors that affect the housing price in China for a very long time. The impact intensity of the former is stable but that of the latter is volatile. GDP is another factor with stable and less impacts. Money supply has dramatically surpassed the other two factors and becomes the dominant one within the period of rapid rise in housing prices in 2009.
出处
《南方经济》
CSSCI
北大核心
2011年第2期38-45,共8页
South China Journal of Economics
基金
国家自然科学基金项目(70771012)的资助
关键词
房价
人均可支配收入
M2
Housing Price
Disposable Income Per Capita
M2
