论房价波动的区域间传导——基于两地区DSGE模型与动态空间面板模型的研究

doi:10.16382/j.cnki.1000-5579.2017.01.020

摘要/Abstract

摘要：

自1998年房改以来，我国各地区房价除呈现总体上升趋势之外，有两个深层次的变化特征值得关注。一是各地区房价变化呈现波动性，二是区域间房价变化呈现关联性。在一个两地区DSGE模型框架下，引入信贷市场的不完备性，对以上两个特征事实做出的解释是：首先，信贷约束对外生冲击造成的房价波动产生了放大作用，从而使各地区房价表现出明显的波动性；其次，在信贷市场不完备条件下，房价波动会通过信贷渠道在区域间进行传导，表现出明显的“溢出效应”。较低的信贷市场一体化程度会导致冲击所在地房价的更大波动，而较高的信贷市场一体化程度会导致更为显著的房价溢出效应。利用中国31个省份的面板数据，运用空间计量方法所得到的结果，证实了我国各地区的房价之间存在显著的溢出效应。这意味着政府在对房地产市场进行宏观调控时，应考虑到房价波动在区域间的传导，以提高政策的有效性。

关键词: 房价波动, 区域间传导, 动态随机一般均衡, 信贷约束, 动态空间面板

Abstract:

Since the housing reform in 1998, housing price all over China has experienced dramatic increase. Besides the uptrend of housing price, two stylized facts deserve special attention. One is that regional housing price shows great volatility. The other is that housing price changes between different regions show significant relevance. We formulate a two-region dynamic stochastic general equilibrium framework where credit contracts are imperfectly enforceable to explain the stylized facts above. First, credit constraints amplify economic shocks to produce great volatility. Second, inter-region borrowing makes it possible for housing price to propagate from one region to another. Last, we prove the existence of the "spillover effect" of regional housing price volatility in China by using spatial econometric models and cross-province panel data.

Key words: house price volatility, inter-regional propagation, DSGE, credit constraint, spatial dynamic panel

高然, 龚六堂. 论房价波动的区域间传导——基于两地区DSGE模型与动态空间面板模型的研究[J]. 华东师范大学(哲学社会科学版), 2017, 49(1): 154-163.

GAO Ran, GONG Liu-tang. Regional House Price Volatility and Its Inter-regional Propagation: Based on a Two-region DSGE Framework and a Spatial Dynamic Panel Data Model[J]. Journal of East China Normal University (Philosoph, 2017, 49(1): 154-163.

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[1]	张方. 经济政策不确定性视角下的房价波动：以长江经济带为例[J]. 华东师范大学学报(哲学社会科学版), 2021, 53(6): 165-176.
[2]	张传勇. 房价波动收入分配效应的区域差异分析 ——基于中国省际面板数据的实证研究[J]. 华东师范大学(哲学社会科学版), 2014, 46(1): 113-120.