经济政策不确定性与房价波动——来自70个大中城市的证据  

Economic Policy Uncertainty and Housing Price Volatility—Evidence from 70 Large and Medium Cities in China

作　　者：张方 Zhang Fang

机构地区：[1]上海立信会计金融学院

出　　处：《经济研究参考》2022年第1期81-90,104,共11页Review of Economic Research

基　　金：国家社会科学基金青年项目“长三角一体化背景下区域房价的联动效应研究”(No.19CJY017)。

摘　　要：经济政策调整及由此带来的不确定性对房地产市场带来了一定的冲击。本文通过对2006~2018年70个大中城市的房价指数进行面板协整和面板格兰杰因果检验后发现,经济政策不确定性与新建住宅和二手房价格均存在长期协整关系和因果关系。PVAR模型的回归结果显示,经济政策不确定性对新建住宅和二手房价格产生抑制作用,之后房价即出现反弹。脉冲响应分析显示,经济政策不确定性对新建住宅价格产生持续抑制作用,对二手房价格的影响则使其先抑后扬。由此可见,政府在通过调整经济政策影响房地产市场时,应充分考虑政策影响的异质性和时效性,在合理预期内针对不同城市调整相应政策。To some extent,house prices in urban China have been shocked by economic policy uncertainty(EPU).By using the housing price index of 70 large and medium cities in China from 2006 to 2018,we find that there is a long-term integration between EPU and housing prices through panel cointegration test.Panel Granger causality test shows that,EPU has significant causality impact on newly-built housing price and second-hand housing price as well.PVAR model indicates that although EPU has restrained housing prices,after a short while housing prices have rebounded.Impulse response analysis demonstrates that EPU can constantly impede newly-built housing price.However,EPU firstly has hampered and then stimulated second-hand housing price.Therefore,government should pay attention to the different effects of EPU on the newly-built and second-hand housing markets,and implement city-specific policies based on reasonable expectations.

关 键 词：经济政策不确定性 房价波动 面板协整检验 面板格兰杰因果检验 面板向 量自回归模型 

分 类 号：F299.23[经济管理—国民经济]