政策不确定、宏观冲击与房价波动--基于LSTVAR模型的实证分析

The Policy Uncertainty,Macro Impact and Housing Price Fluctuation:Based on the LSTVAR Model

本文利用Baker等人提供的中国政策不确定性指数,结合1999年1月-2014年3月我国宏观经济数据,在构建我国房价短期波动模型的基础上,采用LSTVAR模型以及广义脉冲响应函数实证分析了不同政策不确定性环境下宏观变量冲击对于房价波动的影响。理论模型表明,宏观环境向好会引起房价的正向波动,而且这种波动会随着政策不确定性的增加而加大;不同的政策不确定性背景下,宏观冲击对于房价波动的影响存在差异性。实证结果表明,在政策不确定程度较高和较低两种不同的状态下,宏观变量的冲击对于房价波动的影响具有明显的非对称性;较高的政策不确定性程度会延缓个人的购房消费和投资以及房地产企业的供给,甚至引起市场失灵,从而引起房价的无谓波动;政策不确定程度较高时,房屋买卖双方的预期也会引起房价的"超调",进而加剧了房价的波动。

This article analyses the impact of macro variables on real housing price volatility under different lev- els of policy uncertainty by building a theoretical model on short - term Chinese real housing price volatility, and furthermore by applying LST - VAR Model and Generalized impulse response function on empirical study of Economic Policy Uncertainty Index provided by Baker et al. and macroeconomic data between January 1999 and March 2014. The theoretical model shows better microenvironment leads to real housing price growth; and the growth enlarges with the increase of policy uncertainty. Also, the impact of macro variables on real housing price volatility differs under different levels of policy uncertainty. The empirical study shows, impact of macro variables on real housing price is asymmetry under two difference scenarios of high and low policy uncertainty. High policy uncertainty will make individuals to delay their consumption and investment, and further depress house supply of real estate companies. Moreover, it will even cause market failure and lead to unnecessary vola- tility. Expectation of demanders and suppliers is also effected. This aviation in expectation leads to excess ad- justments, and exaggerate house price volatility.