基于ECM模型的房价波动与主要经济因素关系的实证分析

Empirical Analysis on the Relationship Between Housing Price Volatility and Main Economic Factors:Based on an ECM Model

房地产价格的大部分成本是在房子的开发和建造过程中产生的,而房价的波动还受很多因素影响.近年来,随着我国GDP总量增长,人均可支配收入的提高,以及城市人口迅速膨胀,我国房地产市场发展迅猛,房价一路高涨.本文研究了房价和各种经济因素间的关系.根据2000-2014年中国房地产平均售价和主要经济因素国内生产总值、全国城镇居民人居可支配收入(元)、5年以上贷款利率、货币供应量M1以及人民币对美元汇率的年度数据,通过统计分析,建立向量自回归(VAR)模型并进行修正,根据修正后的ECM模型和稳健性分析得出结论:长期看来,房价对人民币对美元汇率(ROE)具有反作用的经济后果,短期的美国次贷危机可能造成房价对人民币对美元汇率影响的正向作用.

The most cost of real estate prices is produced in the process of the development and construction of the house, but housing price volatility is influenced by many factors. In recent years, with the growing amount of total GDP and the per capita disposable income, the rapid expansion of urban population, China＇s real estate market has developed rapidly, the housing price is up all the way. This paper investigates the relationship be- tween housing price and various economic factors. Based on the annual data 2000--2014 average price of China＇ s real estate and the main economic factors GDP , the urban residents living disposable income , more than 5 years lending rate , money supply M1 and the exchange rate against the U.S. dollar, this paper establishes a vector autoregression （VAR） model and modifies through a variety of statistical analysis. According to the modified ECM model, we get a conclusion： the housing price can economically function back to ROE in the long term. The short-- term America subprime crisis could make the housing price play a positive influence on the ROE.