基于变结构面板协整模型的房价调控政策有效性  

Effectiveness of Real Estate Regulation Policy Based on Variable Structure Cointegration Model

作　　者：申敏[1,2] 吴和成[1] 

机构地区：[1]南京航空航天大学经济管理学院,江苏南京211100 [2]南京工业大学理学院,江苏南京210009

出　　处：《系统工程》2013年第2期69-76,共8页Systems Engineering

基　　金：教育部人文社科规划项目(11YJA910001)

摘　　要：通过引入变异系数、基尼系数和泰尔指数刻画长三角地区八个城市房价差异的动态突变过程,从而建立了含突变点的变结构面板协整模型,探究房价变化的主要原因,实证研究表明:长三角地区的八个城市的房价的差异在限购令政策出台之后明显减小;房产税政策对房价作用不明显,但限购政策却使房价明显下降,且限购政策改变了利率和房价的关系,使得紧缩性货币政策由无效变得有效;房价、物价指数和贷款利率均是不稳定变量,且三者之间不存在明显的协整关系,但存在以限购令出台时间为突变点的带有水平漂移和协整向量漂移的变结构协整关系。Through analyzing the coefficient of variation, gini coefficient and theil index, this paper describes the dynamic mutation process of the house price difference among eight cities in the Yangtze River Delta region, and constructs panel cointegration model with variable structure so as to find out the main cause of falling house price. Through empirical analysis, this paper draws conclusions as follows： （1） The house price difference among eight cities drops significantly after the enactment of Limited Purchasing Order; （2） Real estate tax has no effect on reducing house prices, while the effect of the limited purchasing order is significant in that it alters the relationship between house price and loan interest rate, which makes the ineffective tightening of monetary policy effective; （3） House price, CPI and loan interest rate are all instahle variables, and there is no obvious cointegration among them ,while there exsists variable structure cointegration, taking the limited purchasing order as mutation point, which contains the changes of the intercept and slope among house prices, loan interest rate and CPI.

关 键 词：面板数据 差异性 变结构协整 

分 类 号：F293[经济管理—国民经济]