基于VAR模型的房地产价格影响因素研究  

Research on the factors influencing the real estate prices based on VAR model

作　　者：罗孝玲[1] 洪波[1] 马世昌[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《中南大学学报（社会科学版）》2012年第4期1-7,共7页Journal of Central South University：Social Sciences

基　　金：湖南省哲学社会科学基金委托项目(2010JD02)

摘　　要：运用向量自回归模型(VAR)对影响房地产价格的各宏观因素进行分析。建立了影响房地产价格因素的VAR模型,采用2001～2010年的季度数据为样本,定量地描述了各宏观因素对房地产价格的影响程度,并利用脉冲响应函数和方差分解分析各个因素对房地产价格的影响时滞、持续时间和作用强度。研究发现,房地产价格受往期价格及货币供给量影响较大;Granger因果关系检验表明房地产价格与GDP、贷款利率存在着双向Granger因果关系,与居民消费存在着单向Granger因果关系。This article uses Vector Autoregression model（VAR） to analyze the macroeconomic factors that affect the real estate prices.We established a VAR model of the factors which influences the real estate prices,and used quarterly data of year 2001-2010 as the samples to quantitatively describe the impact of macroeconomic factors on real estate prices,and analyzed the time delay,duration and intensity that various factors have on the real estate prices by using impulse response function and variance decomposition.It has been found that real estate prices are greatly influenced by prior period price and money supply;Granger causality test shows that bi-directional Granger causality relationship exist between real estate prices and GDP,the loan rate,and there is unidirectional Granger causality relationship with the household consumption.

关 键 词：房地产 VAR模型 定量 脉冲响应函数 方差分解 GRANGER因果关系 

分 类 号：F293.3[经济管理—国民经济]