市场投资者情绪与我国房价波动——基于Markov区制转换VAR模型的实证检验  

Market Investor Sentiment and China's House Price Fluctuation:Empirical Research Based on the Model of Markov Mechanism Switching VAR

作　　者：刘林[1] 陈宁[1] 

机构地区：[1]太原理工大学经济管理学院,山西晋中030600

出　　处：《数学的实践与认识》2017年第22期58-67,共10页Mathematics in Practice and Theory

基　　金：山西省优秀青年学术带头人项目(154010149-s)

摘　　要：运用MSI(3)-VAR(1)模型,选取2005年7月-2016年12月的月度数据,基于投资者情绪,从非线性角度实证研究了影响我国房地产价格波动的因素.实证结果表明,第一,投资者情绪的高涨会促进房地产价格的上涨,且在房地产市场低迷时期,投资者情绪推动房地产市场上涨的作用更显著.第二,住房开发成本的上涨会促进房地产价格上涨,且在房价高涨时期最为显著.而利率的提高会引起房地产价格下跌,且在房地产市场低迷时期更加显著.第三,投资者情绪不仅受到房价和银行存款利率的正向影响,还显著地受到住房开发成本负向作用的影响.最后,根据实证结论为政府部门提出稳定房地产市场的政策建议.In this paper,we empirically investigate the causes of changes in China＆#39;s house price based on the view of investor sentiment from nonlinear angle applying MSI（3）-VAR（1） model and using monthly data from 2005.7 to 2016.12.We find that,first,therise in investor sentiment will promote the real estate prices rise,and the role is more significant especially in a rise period.Second,the rise of housing development costs will promote real estate prices,while the increase of interest rates will cause real estate prices to fall.Thirdly,investor sentiment is not only affected by the negative impact of real estate price and bank deposit rates,but also by the negative impact of housing development costs.Finally,this paper puts forward the relevant policy suggestions for the government departments to stabilize the real estate market according to the empirical conclusion.

关 键 词：房价 投资者情绪 MS-VAR 非线性 

分 类 号：F299.23[经济管理—国民经济]