中国商品住宅期房与现房市场的价格引领关系

Price lead-lag relationship between presale and spot housing market in China

相对于我国期房市场的巨大规模.理论界对期房和现房价格相互关系的研究还不够深入.借鉴金融期货和现货市场关系的研究方法.同时考虑我国房价数据较短的限制因素,采用商品住宅期房和现房价格省级面板数据建立VECM模型,运用协整分析、Granger因果检验以及方差分解等方法考察我国期房和现房市场的价格引领关系.实证结果表明,我国期房和现房市场与期货和现货市场类似,存在长期均衡关系和双向价格引领,并且期房市场的价格发现作用大于现房市场.

Compared with the large scale of presale property market in China, researches on the rela- tionship between China＇s presale and spot real estate prices are far from adequate. By the experiences of research on financial market, this paper adopts VECM model to research price lead-lag relationship between presale and spot housing market in China. By testing both the short-run and long-run Granger casualty relationship, the results indicate that there＇s a bilateral price lead-lag relationship between Chinese presale and spot property market. The outcomes of VECM models and variance decomposition demonstrate that presale housing market plays a greater role in the property price discovery process in China.