期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

房地产价格理性泡沫检验方法剖析 被引量：3

Anatomy Test of Rational Bubble in Real Estate Price
下载PDF
导出
摘要 房地产市场价格周期波动是全球普遍存在的现象,对局部市场是否有泡沫出现研究者们还没有统一的判断方法,基于理性预期假设的泡沫检验是主流经济学的常用方法。本文对几种常用的理性泡沫检验方法,包括方差上限检验,West设定检验,单根和协整检验,RALS单根和协整检验,体制转换检验等进行了探讨,分析了其作为房地产泡沫检验手段的可行性和局限。 Fluctuations in price dynamics in real estate market is a common phenomenon in each country. A unified criterion about price bubbles in real estate has not been found yet. The test methods used by main-stream economics are based on rational expectation. This paper discussed those methods including Variance Bounds test, West Specification test, Unit root and Co-integration test, RALS Unit root and Co--integration test and regime-switching test, and pointed out their feasibilities and limitations.
作者 张凌 贾生华
机构地区 浙江大学房地产研究中心
出处 《技术经济》 2007年第7期96-98,共3页 Journal of Technology Economics
关键词 房地产价格 理性泡沫 泡沫检验 real estate price rational bubble bubble test
分类号 F293.3 [经济管理—国民经济] F224 [经济管理—国民经济]
  • 相关文献

参考文献15

  • 1RP FLOOD,PM GARBER.Market Fundamentals versus Price-Level Bubbles:The First Tests[J].The Journal of Political Economy,1980,88(4):745-770.
  • 2STIGLITZ J E.Symposium on Bubbles[J].The Journal of Economic Perspectives,1990,4(2):13-18.
  • 3CASE K E,SHILLER R J.Is There a Bubble in the Housing Market?[J].Brookings Papers on Economic Activity,Issue2:299-363.
  • 4SHILLER R J.Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?[J].American Economic Review,1981,71:421-436.
  • 5MARSH T,R MERTON.Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices[J].American Economic Review,76:483-498.
  • 6WEST K D.A Specification Test for Speculative Bubbles[J].The Quarterly Journal of Economics,1987:102 (3):553-580.
  • 7FLOOD R P,HODRICK R J,KAPLAN P.An Evaluation of Recent Evidence on Stock Market Bubbles[G].NBER Working Paper,1986:1971.
  • 8韩德宗.基于West模型的房地产泡沫的实证研究——以北京、上海、深圳为例[J].当代经济科学,2005,27(5):6-11. 被引量：40
  • 9DIBA B T,H I GROSSMAN.The Theory of Rational Bubbles in Stock Prices[J].The Economic Journal,1988,98(392):746-754.
  • 10HAMILTON J D,CHARLES H WHITEMAN.TheObservableImplications of Self-Fulfilling Prophecies[J].Journal of Monetary Economics,1985,16:353-373.

二级参考文献15

  • 1Quigley J M. Real Estate and the Asian Crisis[J]. Journal of Housing Economics, 2001,10(2): 129-161.
  • 2Roehner B M. Spatial analysis of real estate price oubbles: Paris, 1984-1993 [J]. Regional Science and Urban Economics, 1999, (29): 73-88.
  • 3Tirole J. Asset Bubbles and Overlapping Generations [J]. Econometrica, 1985,53(6): 1499-1528.
  • 4Blanchard O J, Watson M W. Bubble Rational Expectations and Financial Markets Crises in the Economic and Financial Structure: Bubbles, Bursts and Shocks [M].Paul Wachtel Lexington, Mass Lexington, 1982.
  • 5Hamilton J D,chares H W. The Observable Implications of Self-fulfilling Expectations [J]. Journal of Monetary Economics, 1985, (16): 353-373.
  • 6Hamilton. the testing for Self-fulfilling Speculative Price bubbles [J]. International Economic Review, 1986,(37): 545-552.
  • 7Blanchard S, Blanchard O J. Lectures on Macroeconomics [M]. The MIT Press, Cambridge, Massachusetts, London, England, 1989.
  • 8(英)伊特韦尔·约翰(Eatwell John) (美)米尔盖特·默里(Milgate Murray) (美)纽曼·彼得(Newman Peter).新帕尔格雷夫经济学大辞典(中译本)[M].北京:科学技术出版社,1987.306.
  • 9Roehner B M. Two classes of speculative peaks [J].Physica A: Statistical Mechanics and its Applications,2001,299(1): 71-83.
  • 10Guttentag J M,Herring R J. Financial Innovation to Stabilize Credit Flow to Developing Countries [J]. Studies in Banking and Finance, 1986, (3): 263-304.

共引文献39

同被引文献27

引证文献3

二级引证文献13

技术经济
2007年 第7期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部