中国城市房价泡沫区制特征及其非对称溢出效应研究

An Empirical Research on the Regime Characteristic and Asymmetric Spillover Effect among China's City Housing Bubble

基于单位根右侧ADF泡沫检验方法(BSADF)对中国一、二、三线城市在2010-2016年期间的住宅价格泡沫程度进行动态监测,进而比较各线城市房价泡沫分布特征差异,最后采用马尔科夫区制转换向量自回归模型(MS-VAR)来分析一、二、三线城市住宅价格泡沫之间在不同区制下的交互溢出效应。研究结果表明:在整个时期内,一、二、三线城市住宅市场均出现多次周期性泡沫,但差异明显;一、二、三线城市房价泡沫程度依次降低。一线城市住宅价格泡沫会向二、三线城市传染,而二、三线城市住宅价格泡沫之间会相互传染。一、二、三线城市住宅价格泡沫均存在三种区制(负泡沫、潜伏、膨胀)状态,各线城市住宅价格泡沫之间存在区制依赖的非对称溢出效应。

This paper make an empirical research on China＇s urban housing bubble based on backward sup ADF test method（BSADF） from 2010 to 2016. On this basis, we compare bubble level and distribution among first-tier cities, second-tier cities and three-tier cities. Finally, we ana- lyze asymmetric spillover effect of housing bubble among first-tier cities, second-tier city and three-tier cities based on MS-VAR model Our result shows that there are some significant period- ic urban housing bubble in China during the entire period. There is great difference about the number of occurrence, duration and peak among all these housing bubble. The housing bubble of First-tier cities, second-tier cities and third-tier cities is reducing in turn. First-tier cities housing price bubble can infect second and third tier cities. At the same time, second-tier cities housing bubble can be contagious with three-tier cities. There are three regime such as negative bubble, latent bubble and inflated bubble among all cities. The spillover effect among first-tier cities, second-tier city and three-tier cities can vary with different bubble regime.