中国住宅市场价格泡沫的测度——基于预期时间路径的拟合估计

Prices Bubbles Measurement in China's Housing Market——Fitting Estimate Base on Expecting Time Path

本文运用牛顿-高斯非线性参数分析、最小二乘回归等经济计量方法,对预期时间路径的主要参数进行了估计;并利用2005年7月至2010年6月全国住宅价格月度同比数据,对估计的预期函数进行了拟合优度检验。检验结果表明:样本区间内人均可支配收入的变动对住宅价格没有直接影响,预期的变动是住宅价格波动的唯一原因。理性预期从而基本面价值遵循指数增长趋势。当预期偏离均衡值时,价格泡沫开始形成并呈周期性变化。样本区间内,泡沫变化的周期约为30.4个月,平均泡沫程度约为2.25%,极端泡沫值约占基本面价值的6.64%。

This paper estimated the key parameters of expecting and price function of time through Gauss-Newton regression,least square estimates and other econometric methods,in turn,provided goodness of fit testing on the function related based on the national house price monthly year-on-year data from July 2005 to June 2010.And then,deduced the time path of fundamental value of house,on which measured the foam of house price.The results showed that the fundamental value of house obey exponential growth trend in the short run.It＇s the change of expectation rather Per capita disposable income that affected the house price.When expectation deviate its equilibrium,the foam began and changed cyclically.It estimated that during the sample period,the cycle of foam fluctuation is about 30.4 month and the maximum size is about 6.44 percent while the average value is 2.25 percent.