基于非平稳面板计量方法的房地产价格非理性繁荣检验

An Empirical Analysis on the Irrational Exuberance of Chinese Cities' Housing Prices Based on Non-stationary Penal Econometrics Methods

利用中国30个大中城市1998~2009年季度面板数据,采用非平稳面板计量方法对房价与房租之间的长期均衡关系和Granger因果关系进行分析.结果表明：各大中城市的房价与租金之间存在长期稳定的均衡关系,并且这种长期均衡关系在各城市间存在较大的差异;短期而言,各大中城市的房价与租金之间不存在Granger因果关系,长期来看,房价是租金的Granger原因,但租金不是房价的Granger原因,表明房价已脱离租金所确定的基本面,中国房地产市场存在非理性的繁荣.

This paper re-investigated the co-movement and the granger-causality relationship between housing price and rents by using the quarterly panel date from the 30 cities of China and the new non-stationary penal econometrics methods.The paper has solved the questions of small sample and the difference of different cities.The empirical results provide clear support of a long-run co integration relationship between housing price and land price.But the relationships are different in different cities.The evidence shows that the granger-causalities run from housing prices to rents in the long-run.While in the short time the granger-causalities between housing prices and rents are not existence.This shows that house prices have gone beyond the fundamentals determined by the rents,the Chinese real estate market is irrational exuberance.