房地产价格波动集聚性和杠杆效应的实证研究

Empirical Research on the Volatility Clustering and Leverage Effect in the Real Estate Prices

选取了2001年第一季度至2012年第三季度一线和二线城市房地产价格指数的相关数据,构建了TARCH模型,实证分析了我国一线和二线城市房地产价格波动的集聚性和杠杆效应。结果表明:一线城市和东中部的二线城市的房地产价格存在显著的波动集聚性,而西部内陆地区的二线城市则不存在波动集聚性;东部沿海和长三角地区的二线城市存在房地产价格波动的杠杆效应,利率政策在该地区具有一定的调控效果,然而在其他二线城市和一线城市则不具有杠杆效应,利空消息和利好消息对房地产价格波动没有影响。

Using data of the real estate price index in the first tier and second-tier cities from Q1 of 2001 to Q3 of 2012, this paper analyzes empirically volatility clustering and the leverage effects of real estate prices in the first tier and second tier cities of China by using the TARCH model.The results suggest that real estate prices in the first tier and second-tier cities in the east and middle of China show the significant volatility clustering while those second-tier cities in the western inland areas not~ the real estate prices of the second-tier cities in the eastern coastal and the Yangtze River Delta show the sig- nificant leverage,which suggests that interest rate policy has played a certain role in these areas.How- ever, there are no leverage in the other second tier and most of the first tier cities which declares that the bad or good news have no effect on real estate Drices.