城市房价波动关联性、溢出效应及影响因素分析

Volatility Connectedness and Spillover Effects in Urban Housing Price and Their Influencing Factors

本文基于大型时变参数向量自回归(TVP-VAR)模型测度了全国35个大中城市房价波动的整体时变关联性,以及城市间的时变波动溢出效应。研究表明,房价波动关联性指数呈周期性震荡态势,易受外部冲击急剧攀升;不同城市的波动溢出效应呈显著结构性差异,二线城市的波动溢出作用在房价下行期间表现更为强烈。具体来看,东部二线城市是波动溢出作用的主要输出方,而中西部城市则是波动溢出的主要接受者。进一步地,本文基于部分宏观经济指标及区域性数据探讨房价波动关联的背后成因,发现货币供给量、宏观经济状况及经济政策不确定与房价波动的整体关联性显著相关,而跨地区的波动溢出效应则可以较好地由经济基本面及市场传染机制加以解释。

Based on the large time-varying parameter vector autoregressive(TVP-VAR)model,this paper measures the time-varying connectedness of housing price volatility and the time-varying spillover effects of cross-regional volatility in 35 large and medium-sized cities in China.The results show that the connectedness index is cyclical,and prone to sharp rise caused by external shocks.Moreover,the volatility spillover effects in different regions are structurally different,where those of second tier cities rises sharply during the period of downward housing prices.From the perspective of specific cities,hot second tier cities are the main exporters of volatility spillover,while first tier cities and other cities are the main recipients of volatility spillover.Besides,based on some macroeconomic indicators and regional data,this paper further explores the underlying causes of volatility connectedness and spillover effects.We find that the money supply,macroeconomic conditions,and economic policy uncertainties are significantly related to the overall connectedness,while cross-regional spillover effects can be better explained by local economic fundamental and market contagion.