住宅市场量价关系分析——基于香港数据的实证研究

Volume-Price Relationship in the Residential Market——Empirical Evidence on Hong Kong SAR

本文基于滤波方法与向量自回归模型,对香港十多年的住宅交易量和价格数据进行实证研究。结果显示,考察1996.1E1997.6区间的样本交易量与价格互为格兰杰因果关系,表现出正反馈效应,投机现象非常明显。但当选取1997.7E2007.7区间的样本则仅发现价格是交易量的格兰杰原因,并不存在双向因果关系。方差分解结果表明,交易量波动对于价格波动的影响要大于价格波动对于交易量的影响。

Based on the H-P filter method and VAR model, we investigate the relationship of price and volume by using the decade data of the Hong Kong SAR residential market. During the period of 1996.1 to 1997.6, there is a positive effect between volume and price, which indicates an obvious speculative activity. Whereas choosing the sample of 1997.7 to 2007.7, we find that price does Granger Cause to volume, contrariwise, volume does not. Utilizing variance decomposition, we obtain the evidence that volatility of volume plays a more important role in the volatility of price than the price volatility does in the volatility of volume.