住宅价格的长记忆波动率特性实证分析!  

An Empirical Analysis of Long-term Memory Fluctuation Rate of Housing Price

作　　者：戴颖杰[1,2] 谢燕[3] 冯照桢[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]中华全国工商业联合会法律部,北京100035 [3]中国人民银行东莞分行,广东东莞523000

出　　处：《东北大学学报（社会科学版）》2013年第2期128-133,共6页Journal of Northeastern University(Social Science)

基　　金：国家自然科学基金资助项目(71073123)

摘　　要：运用FIGARCH模型,利用2000年第一季度至2009年第四季度的数据对商品住宅价格是否存在长记忆波动率的特性进行了实证分析。研究结果表明:我国商品住宅价格的波动存在长记忆性、聚集效应和异方差性。根据实证结果,对房地产调控及房价的研究提出了几点建议:对住宅价格的调控应当更加注重数量型工具,注重政策的稳定性和长期性,金融机构应当不定期地对房产信贷风险作出评估等。Based on the data ranging from the first quarter of 2000 to the fourth quarter of 2009, this paper, by adopting the FIGARCH model, empirically studies whether there exists a long-term memory fluctuation rate of housing price. The findings indicate that the fluctuation of China＇s housing price is characterized by long-term memory, agglomeration effect and heteroscedasticity. Some suggestions are then put forward on the regulation and control of real estate and housing price-- more attention should be paid to quantitative tools in housing price regulation, the policy stability and durability should be emphasized, and the financial institutions should evaluate the credit risks of real estate irregularly.

关 键 词：住宅价格 长记忆性 FIGARCH模型 

分 类 号：F064.1[经济管理—政治经济学]