基于VAR模型对CPI与房地产价格关系的实证分析  

An Empirical Analysis of the Relation of CPI and Real Estate Price Based on VAR Model

作　　者：于守华[1] 

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073

出　　处：《内蒙古财经学院学报》2012年第4期6-12,共7页Journal of inner Mongolia finance and economics college

摘　　要：随着经济的不断发展,物价波动与房地产价格之间的关系逐渐成为关注的焦点。本文选取我国2006年1月至2010年12月的CPI和房屋销售价格指数月度数据,建立VAR模型。通过格兰杰因果检验发现:房地产价格和物价波动之间存在单向的因果关系。通过脉冲响应函数进行分析,表明房屋销售价格指数对CPI有着正向的作用。方差分解的结果说明在长期CPI的变动很大程度是由房屋销售价格指数引起的,房地产市场价格波动受自身因素的影响较大。With constant economic development, te relation of price fluctuation and real estate price has gradually become a focus. This paper uses the monthly data of CPI and house sale price index from January, 2006 to December, 2010 to set up VAR model. Through Granger causality Tests, this paper finds out that there exists one - way cause and effect relationship between real estate price and price fluctuation. Through an analysis of impulse response function, this paper proves house sale price index has positive effect on CPI. The outcome of variance decomposition proves that the long - term CPI fluctuation is due to house sale price index to a great extent and the price fluctuation of real estate market is under great influence of its internal factors.

关 键 词：CPI 房屋销售价格指数 VAR模型 脉冲响应函数 

分 类 号：F293.3[经济管理—国民经济]