住宅价格涨跌幅、波动非对称性与空置量关系的实证研究  

Asymmetric Volatility of Housing Prices and Idle Housing Volume

作　　者：邓长荣[1] 马永开[1] 

机构地区：[1]电子科技大学经济与管理学院,成都610054

出　　处：《管理评论》2011年第2期33-37,共5页Management Review

基　　金：国家自然科学基金项目(70672104);教育部新世纪优秀人才支持计划项目(NCET-05-0811)

摘　　要：采用门限ARCH模型研究了我国住宅价格涨跌幅、波动的非对称性与住宅空置量之间的动态关系,实证结论表明:我国住宅空置量与住宅价格涨跌和住宅价格波动呈负相关关系;住宅价格波动具有非对称性,低住宅空置时住宅价格波动大于高空置时的住宅价格波动;同时住宅价格波动具波动聚集性;政府及时披露住宅空置信息和合理调控住宅空置水平,有利于住宅市场的稳定发展。This paper uses a TARCH model to study the dynamic relationship between the asymmetric volatility of housing prices and the idle housing volume in China＇s real estate market.The empirical results show that,idle housing volume is negatively related to housing price volatility,and the housing price volatility is asymmetric in that the volatility is higher when idle housing volume is low.Meanwhile,the housing price volatility is characterized by clustering,and the housing price will tend to be stable if the government discloses the housing stock information in time and control the idle housing volume at a reasonable level.

关 键 词：住宅空置 价格波动 非对称性 波动聚集性 

分 类 号：F293.3[经济管理—国民经济]