长期和短期性住宅价格泡沫存在性检验--以上海住宅市场为例

A Test of Housing Price Bubbles′ Existence in the Long and Short Run:Taking Shanghai Housing Market for Example

本文以上海住宅市场为例,采用单位根与协整检验及误差纠正模型方法,检验长期和短期性住宅价格泡沫的存在性。通过引入住宅抵押贷款信贷额度这一新的变量,本文将抵押贷款利率对住宅价格的影响非线性化,得到了与一般经济理论相符的协整方程。结论表明,上海市住宅市场在长期并不存在泡沫,但在短期内存在价格泡沫。另外,住宅市场的结构性变化对价格泡沫存在性的结论具有一定影响。

The paper empirically tests the existence of housing price bubbles in the long and short run, taking Shanghai housing market for example. The paper non-linearizes the effect of mortgage rate on housing price by introducing a new variable named housing mortgage credit level. By doing this, we find a cointegration equation which accords with general economic theory. The results show that housing price bubbles exist in the short run but not in the long run. In addition, the structure changes in housing market have some influences on the results of price bubbles＇ tests.