基于状态空间模型对我国房地产泡沫的研究  

Analysis of Real Estate Price Bubble Based on Space Model

作　　者：张舒涵[1] 

机构地区：[1]安徽财经大学,安徽蚌埠233030

出　　处：《区域金融研究》2015年第2期78-81,共4页Journal of Regional Financial Research

摘　　要：明确房地产泡沫的概念后,在比较已有测度方法的基础上选择改进后的状态空间模型,收集2000年~2012年的年度数据,通过分别建立房地产需求、供给以及基础价值的状态空间模型,运用卡尔曼滤波、描述性分析、ADF平稳性检验和协整检验对我国房地产市场的泡沫度进行分析及测度,最后分析实证研究的结果并关于将我国房地产泡沫控制在合理范围内提出政策建议。Firstly,the concept of real estate price bubble is clearly put forward. Then based on the comparison ofexisting measuring methods and data from 2000 to 2012,an improved method is employed in the construction of Spacemodels of supply,demand and fundamental price to measure the real estate price bubble. And Kalman filtering,de-scriptive analysis,ADF stationary as well as co-integration test are used in the empirical process. Finally,result ofempirical study is analyzed and policy recommendations on controlling real estate price bubble in a reasonable rangeare made.

关 键 词：房地产价格 状态空间模型 泡沫度 基础价值 实际价格 

分 类 号：F832.0[经济管理—金融学]