基于协整及有向无环图的一线城市房价动态研究

Research on the Dynamic Relationship of Housing Prices between First-tier Cities based on the Co-integration and Directed Acyclic Graph

运用中国四大一线城市:北京、上海、深圳、广州近十年的房价序列进行动态关系研究,结果表明四大一线城市间存在两组长期协整关系。借助有向无环图、脉冲响应与方差分解,分析具体的时间动态关系,发现深圳处于价格领导者地位,其房价波动主要受自身冲击的影响。因此,对一线城市的房价监测,应赋予深圳更高的权重。房价调控政策,加入城市间的动态影响因素,能有效避免调控过度或不足等问题。

This paper built a dynamic model of the four major cities in China： Beijing, Shanghai, Shenzhen and Guangzhou, using housing prices sequence within the last decade. The finding indicates that two groups of long-term co-integration relationship exist between four major first-tier cities. Impulse response analyses as well as variance decomposition are applied to specific time dynamic relationship. Shenzhen is in a price leader position, and the price fluctuation is mainly self- impacted. Therefore Shenzhen should be given a higher weighting while government monitoring the housing price. Taken this factor in consideration will also avoid excessive of insu^icient adjustment effectively.