中国城市房价泡沫测度及其时变传染效应研究

The Measurement of Urban Housing Price Bubbles in China and Its Time-Varying Contagion Effects

本文基于2010-2018年49个大中城市的月度房租比数据,利用后向递归右侧单位根检验考察国内房价泡沫情况,并采用时变参数VAR模型动态刻画城市间房价泡沫的时变传染效应。研究结果表明,中国有24个城市存在房价泡沫,集中爆发于2015年12月至2017年9月,泡沫"南北分化,东强西弱"特征显著,二线城市泡沫水平高于一线城市。进一步分析发现:房价泡沫溢出呈多方位辐射状,深圳、上海、武汉、重庆在全国房市泡沫传染中充当"辐射源";城市间房价泡沫的时变传染效应整体呈倒U型,前期传染性强于中后期;区域间逐步形成一条"从南至北、由东向西、中心向外辐射"的核心传染路径,辅以局部地区多条传染分支。本文结果对地方政府异质性房市调控具有重要启示。

The housing price bubble has become an important issue for China’s economy.Accurately measuring the level of the domestic housing market bubble and monitoring the contagion effect of the regional housing market bubble is of paramount importance in effectively preventing the risks of the housing market.Drawing on data collected from the monthly price-to-rent ratio of 49 large and medium-sized cities between 2010 and 2018,this paper makes use,for the first time,of the backward recursive right-tailed unit root test to detect a housing bubble.Based on the measurement results of the housing bubble,it then uses the time-varying parameter VAR(TVP-VAR)model to dynamically describe the time-varying contagion effect of housing price bubbles across cities.The results of the study show that there have been housing price bubbles in 24 cities nationwide,which mainly occurred from December 2015 to September 2017.The characteristics of the bubble"north-south differentiation,strong in the east and weak in the west"are obvious,and the bubble level in second-tier cities is higher than that of first-tier cities.Further analysis reveals that:(i)the housing price bubble spillover has a multi-directional radial shape.Shenzhen,Shanghai,Wuhan and Chongqing act as"radiation sources"in the contagion of the housing bubble nationwide;(ii)the time-varying contagion effects of housing price bubbles across cities generally have an inverted U-shape,and the early stage transmission is stronger than in the intermediate and late stages;and(iii)a core transmission path radiating"from south to north,east to west,and from the centre outwards"is gradually formed between regions,complemented by multiple transmission branches in other areas.The above results have important implications for the heterogeneity and time-varying monitoring of systemic risks by local governments in the housing market.