基于小波分析的北京市住宅市场景气循环周期

Cyclical fluctuations of Beijing residential housing market based on a wavelet analysis

该文以北京市房地产市场为背景,利用1999—2014年的宏观数据,针对北京市住宅市场的景气循环周期进行识别和分析。在梳理现有研究的指标选取和模型拟合的基础上,使用客观赋权的主成分分析对景气循环等指标进行提取,将核心指标进行数据扩展合成为周期分析的指标;通过多层次离散小波分解去除趋势和噪声,利用重构的周期性信号表征平均周期与波动趋势,进行长周期与短周期的定量分析。实证结果显示:北京市房地产市场波动的短周期平均约3.75a,中长周期周期约为9a。预测结果表明:总体上2014年房地产市场逐步进入萧条期,需要引起投资者、金融机构和政府重视。

This study analyzes the cyclical fluctuations of Beijing residential housing market using macro data in 1999—2014.This study uses a literature review to identify the limitations of current studies on real estate cycles and how to improve both the index selection and model simulations.The index selection uses objective weighting using aprincipal component analysis（PCA）to extract the core index and expand the sample data.The model simulation uses wavelet analyses to separate and rebuild the cyclical fluctuations.The empirical analysis shows a short 3.75 year short cycle and a medium 9 year cycle in Beijing residential housing market.The model indicates that the real estate market is entering a recession period in 2014, which will be noticed by market participants including investors,financial institutions and the government.