城市住宅价格波动相关性模型  

Correlation model of urban housing price fluctuations

作　　者：陈立文[1] 杜凤霞[1] 杨占昌[1] 

机构地区：[1]河北工业大学经济管理学院,天津300401

出　　处：《辽宁工程技术大学学报（自然科学版）》2013年第9期1288-1292,共5页Journal of Liaoning Technical University (Natural Science)

基　　金：国家自然科学基金资助项目(70872029)

摘　　要：针对大城市商品住宅价格存在时空相互影响问题.采用移动自回归模型、向量自回归模型和向量误差修正模型,研究了北京、天津和上海三大城市住宅价格的空间联动性和长期均衡关系.结果表明:城市住宅价格存在不同结构的自回归和移动平均过程.三个大城市住宅价格存在协整关系.北京处在价格变化的中心位置,是上海和天津的格兰杰因,对天津和上海住宅市场当期和下一期有显著拉动作用;上海也是天津的格兰杰因对天津当期直至第6期都有正向影响;但北京对天津的影响迅速且比上海显著.天津、北京和上海由短期波动向长期均衡状态的调整速度依次降低.细致刻画了大城市住宅价格的时间与空间特征,明确了城市住宅价格的联动与均衡关系.In order to test the housing price lead-lag relation between cities,this paper established ARIMA and VAR model,and took Beijing,Tianjin,and Shanghai as samples.The result of study shows that the autoregressive moving average process structure between these three cities are different.There are cointegration relationship between these three cities.Beijing related to Shanghai and Tianjin is the center of housing price changes.It is the Granger of Shanghai and Tianjin,and the effect will persist for two periods.At the same time,Shanghai is the Granger of Tianjin,and the effect will persist for six periods.However,as for the lead effect to Tianjin,Beijing is more significant than Shanghai.The adjust speed from short term fluctuation to long term equilibrium reduces successively between Tianjin,Beijing,and Shanghai.This paper described the details of metropolis housing price characters in time and space and showed the linkage and equilibrium relationship.

关 键 词：城市经济学 联动 均衡 移动自回归 向量自回归 向量误差修正模型 协整分析 住宅市场 

分 类 号：F293.3[经济管理—国民经济] F224