基于GARCH模型的珠三角区域城市住宅价格波动研究

A GARCH Model-based Study of Fluctuations in Urban Housing Prices in 3 Pearl River Delta Cities

为制定合理的房地产调控政策,以珠三角区域中的广州、深圳和珠海为研究对象,采用多元GARCH模型对三地住宅价格波动的特性以及城市间住宅价格波动的相关性进行研究.结果表明:广州和深圳住宅价格的波动具有明显的周期性,珠海住宅价格的波动周期性不明显;广州与深圳的住宅价格波动高度相关,除个别时间段外,珠海的住宅价格波动与广州和深圳的相关性很低;广州和深圳之间住宅价格波动无明显的溢出效应,但广州和深圳对珠海的住宅价格波动有溢出效应.

To formulate sound real estate control policies, a study is made of the real estate development in Guangzhou, Shenzhen and Zhuhai, 3 cities in the Pearl River Delta region. The project adopts the univariate and multivariate GARCH models to study the characteristics of the housing price fluctuations in the three cities and the correlation between their housing price fluctuations. The results show that Guangzhou and Shenzhen＇s housing price fluctuations are of an obvious periodic nature, and those of Zhuhai are not; Guangzhou and Shenzhen is highly correlated in housing price fluctuations; except in certain periods of time, housing price fluctuations in Zhuhai had a low correlativity to those occurring in Guangzhou and Shenzhen; housing price fluctuations in Guangzhou and Shenzhen have no obvious spillover effect, but Guangzhou and Shenzhen＇s housing price fluctuations have spillover effect on Zhuhai.