不确定性条件下的房地产价格决定:随机模型和经验分析

Real Estate Pricing Under Uncertainty:A Stochastic Model and Empirical Analysis

本文通过构造一个随机最优控制模型，分析了不确定性环境下房地产价格的决定因素。理论结果与经验证据显示，房地产价格受按揭贷款额度、按揭贷款利率、居民财富等多种因素的影响。我们还检验了近年来央行为抑制房地产价格上涨过快所实施加息政策的效果。实证结论表明，抵押贷款利率对房地产价格的影响虽然具有统计显著性，但是它缺乏经济显著性。在短期内，抵押贷款利率工具对控制房价的实际作用不明显，我国最近几年来央行所颁布的加息政策缺乏预期的效果。另外，由于居民适应性预期的作用，房地产价格自身的变动冲击是导致房地产价格上涨的主要因素，居民收入虽然也在一定程度上导致了房地产价格的上涨，但是其作用较小。

This paper, by formulating a stochastic model, investigates the factors affecting real estate pricing under uncertainty. Theoretically and empirically, real estate prices are affected by many factors such as mortgage quotas, interest rates and residential wealth. This paper tests the effects of rising interest rates on Chinese real estate market. The conclusion is that interest rates have statistical, but not economic significance on real estate prices. Therefore, raising interest rates will not cool down the real estate market in the short run. Instead, real estate price shocks themselves are the leading factor for the jump of real estate prices, mainly through the channel of residents＇ adaptive expectations on real estate prices. Residential income has some but small effects on real estate price jumps.