城市房价泡沫及其传染的“波纹”效应  

Urban Housing Price Bubble and the Ripple Effect in Contagion

作　　者：刘海云[1] 吕龙[1] LIU Hai-yun;LYU Long(College of Economics, Huazhong University of Science and Technology)

机构地区：[1]华中科技大学经济学院

出　　处：《中国工业经济》2018年第12期42-59,共18页China Industrial Economics

摘　　要：本文基于2007—2017年42个大中城市的季度数据,放宽住宅基础价值模型的常数参数设定,利用改进后的模型提高测度城市房价泡沫的准确度;立足房价泡沫测度结果,将有向无环图(GAP)与结构向量自回归(SVAR)模型结合,刻画房价泡沫传染的路径与强度,探究房价泡沫传染网络并利用QAP回归模型考察房价泡沫传染效应的影响因素。研究结果显示:中国房价泡沫水平上升速度较快,2007—2017年样本城市平均房价泡沫水平由20%上升至28.8%,9个城市超过40%;在房价泡沫快速集聚的背后,城市间房价泡沫传染效应发挥着重要作用,可解释房价泡沫水平的48.5%;进一步分析发现,房价泡沫传染整体呈现"由东至西"、局部呈现"由中心向外辐射"的空间特征。不同城市在房价泡沫传染过程中分别扮演"领导者"、"跟随者"、"经纪人"、"双向引导者"和"独行侠"的角色,多条房价泡沫传染路径构成复杂的网络结构;结果证实了城市房价泡沫传染的"波纹效应理论",即地理意义上的空间"近邻"关系会促进不同区域间的房价泡沫传染;值得关注的是,经济发展的协动性、人口流动与信息传递等非地理因素也会加剧城市间房价泡沫传染,这对房价宏观整体把控和城市间差异化调控具有重要启示。This paper used the quarterly dataset span from 2007 to 2017 in 42 cities to research housing bubble and corresponding contagion effect. At first, improve the housing fundamental-price model with time-varying coefficient and stochastic volatility structure. Then we use the improved model to measure the housing price bubble for 42 cities. Secondly, describe the contagion path and strength with DAG and SVAR. At last, analyze the factors of contagion with QAP regression. The results show that: the housing bubble grows very fast, from 2007 to 2017,the ratio between bubble and housing price risen from 20% to 28.8%, the ratio in 9 eastern cities even over 40%.Contagion effect plays a very important role in the generation of housing bubble. Nearly 48.5% of housing bubble can be explained by contagion effect. Contagion direction is from east to west as a whole, from core to the outside in local region. Several contagion path construct a complicated network in which different cities play different roles as "leader", "follower","broker", "bidirectional-leader" and "loner". The results confirm the "ripple effect theory"of urban housing price bubble infection. It means that the spatial distance in geographical sense promote the housing price bubble infection among different regions. It should be noted that the non-geographical "near neighbors" may strengthen the contagion effect of housing price bubble such as correlation of economic development, population migration and information transfer. It has important implications for the overall control of urban housing prices and the differential regulation among cities.

关 键 词：房价泡沫测度 住宅基础价值模型 传染效应 经济协动性 

分 类 号：F293[经济管理—国民经济]