环渤海区域房地产价格波动传递机制的实证研究

An Empirical Study on House Price Transmission Mechanism among Huanbohai Region

某一城市房价的变化不仅会影响到其位置相邻或经济发展水平相近地区的房价变动,也会通过消费者和投资者的预期影响到非相邻及经济发展水平不同城市的房价变化。利用协整分析、Granger因果关系检验、基于VEC模型的广义脉冲响应函数等方法对环渤海区域七城市房价变化的动态关系进行实证分析,结果表明,各城市房价之间存在长期稳定的均衡关系,并具有明显的互动影响关系,沈阳、北京和石家庄均对其他城市的房价变化有显著的引导作用。短期内各城市房价波动受自身影响强度较大,具有较强的惯性。

House price change of one city may not only affect movements of house price in its geographical neighbors or similar eities in economic development, but also affect movements of house price in its non--geographical neighbors and different cities in economic development by consumers and investors＂ expectations. This paper conducts an empirical research on dynamic relations between house price movements among seven cities in Huanbohai region by using co--integration test, granger test, generalized impulse response function based on VEC model. The results indicate that there exists a long run stable equilibrium in house prices of these cities. Meanwhile, some significant interactions of house prices are investigated. Shenyang, Beijing and Shijiazhuang play leading roles in influencing prices of all the other cities. There is a strong reaction to its own price shocks in each of these cities in short term, which presents signiiieant inertia in it.