基于非平稳面板计量的中国城市房价与地价关系实证分析

An empirical analysis on the relationship of Chinese cities' housing price and land price:based on non-stationary panel econometrics methods

本文利用全国29个大中城市1999-2008年的季度面板数据,采用最新发展的非平稳面板计量方法,对我国城市房价与地价之间的长期均衡关系和Granger因果关系进行了实证分析,克服了以往研究中小样本效果差以及忽略了各城市差异的问题。得到的主要结论为:(1)东部经济较发达城市和西南省会城市,地价对房价的长期影响程度较其他中部地区的省会城市大;中部省会城市的房价对地价的长期影响程度要大于东部地区和西南省会城市;(2)总体上,房价对地价长期影响的程度高于地价对房价的影响;(3)长期来看,各城市的房价和地价互为Granger因果关系;短期而言,房价是地价的Granger原因。

In this paper we re-investigate the co-movement and the granger-causality relationship between housing price and land price by using the quarterly panel date from the 29 cities of China and the new non-stationary penal econometrics methods. This paper has solved the questions of small sample and the difference of different cities. The empirical results provide clear support of a long-run eointegration relationship between housing price and land price. But the long-run relationships are different in different cities. The evidence shows that long-run and short-run granger-causalities run from housing price to the land price. While from land price to housing price only exists long-run granger-causalities.