房价与经济波动的区制转移——基于STAR系列模型的实证研究

An Empirical Study on House Price and Economic Fluctuation in Regime Transition:Based on the STAR Model Series

本文运用平滑转移自回归(STAR)系列模型定量分析了1998-2010年间我国经济波动区制转移(Regime Transition)过程及房价波动在其中的作用。研究结果表明,我国经济在受到外生刺激时会产生跳跃冲动,但能否出现区制转移现象取决于外生刺激的持续性,单纯依靠以往经济的表现不能充分地解释这种现象;房价作为外生变量有效地解释了经济波动中存在的动态转移过程,这表明房价波动中存在着先行信息并可用于预测未来经济走向。此外,经济波动转移过程并非不可逆转,足够的反向推动力能够扭转经济势头,这使得政策干预成为可能。

This paper analyzes the influence of house price volatility towards economic fluctuation in regime transition by estimating STAR model series during 1998-2010.Research results show that the economy has interior impulse in regime transition due to lasted exogenous stimulations,which can not be explained by former economic performance.The expanded MRSTAR model with house price as a variable has an advantage in describing the dynamic process and eliminating the forecasting error with short-term economic fluctuations,which confirms the leading information in predicting economic fluctuations.Meanwhile,enough exogenous forces,like policy interventions,could reverse the process.