摘要
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.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2011年第12期1807-1811,1818,共6页
Journal of Shanghai Jiaotong University
基金
国家自然科学基金资助项目(71103121)
上海市哲学社会科学规划课题(2011EJL002)
关键词
房价
租金
非平稳面板计量
非理性繁荣
housing price
rents
the non-stationary penal econometrics methods
irrational exuberance