我国城市间住宅价格溢出效应研究

摘要

基于我国35个大中城市房地产数据,运用动态相关系数和Global VAR模型研究城市间住宅价格的联动性和溢出效应。动态相关系数显示,我国城市间住宅价格的联动性随价格的上涨而增强,并呈现出逐年增强的趋势。GVAR模型广义脉冲响应结果显示,住宅价格在城市间存在显著的溢出效应,东部城市的溢出强度和速度最高;利率冲击对住宅价格的整体影响较小,但存在区域间异质性;中部城市对利率冲击的响应最大。

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	董加加
	纪晗

关键词：住宅价格溢出效应区域经济货币政策全局向量自回归模型

Abstract：

Based on the real estate data of 35 large and medium-sized cities in China, this article studies the co-movement and spillover effect of urban housing prices through dynamic correlation coefficient and Global VAR model. The dynamic correlation coefficient shows that the co-movement is strengthened when housing price increases and with each year passing by. According to the generalized impulse response results of GVAR model, significant spillover effect exists in urban residential property prices with that of eastern cities’ being the strongest and fastest. Though regional heterogeneity is present, interest rate has little impact on overall housing prices, with central cities showing the strongest response.

Keywords： Housing Price Spillover Effect Regional Economy Monetary Policy GVAR model

收稿日期 2015-10-31; 接受日期 2018-02-07;

基金资助:

国家社会科学基金重大项目(12&ZD067)

作者简介: 董加加(1987-),男,河南开封人,博士,主要从事宏观经济、时间序列分析等方面研究;(通信作者)纪晗(1988-),女,辽宁沈阳人,博士,主要从事货币政策、房地产经济学和行为经济学研究。

引用本文:

董加加, 纪晗.我国城市间住宅价格溢出效应研究[J]. 经济经纬, 2018,1: 8-13

DONG Jia-jia, JI Han.The Spillover Effect of Urban Housing Prices in China[J] Economic Survey, 2018,V35(1): 8-13

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2018/V35/I1/8

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