基于MSVAR模型的房地产通货膨胀效应研究

A Research on the Inflation Effect on the Influctuation of Real Estate

笔者运用Markov区制转移模型对我国房地产波动的通货膨胀效应进行研究,发现我国房地产波动的通胀效应具有区制依赖性特点:通货膨胀率预期成分在低速增长区制和中速增长区制阶段,均显著影响房地产收益率,并且方向相反;在三个区制中通货膨胀率的周期成分均显著影响房地产波动,在高速发展阶段房地产波动的通胀效应表现为"代理假说",其余阶段均表现为"费雪假说"。

As is known that inflation rate is greatly related with real estate yield.In order to test the effect of relation on the cycle of real estate in China,this paper researches the relationship between them in China with a markov regime model by setting three regimes of real estate cycle in China.It is found that the fluctuation of real estate in China depends on regimes;The expect part of inflation is significantly related with real estate yield in both ＂low speed regime and ＂medium speed regime＂,with different directions;The cycle part of inflation significantly affects the real estate yield in all regimes with positive effects except in ＂high speed regime＂.It shows that government policies may affcet the fluctuation of real estate.