房价波动对居民消费价格水平的非线性影响分析——基于面板数据Copula分位数回归的研究

Nonlinear Analysis about the Influence of Housing Price on Consumer Price Level:Using Copula Quantile Regression with Panel Data

本文以我国35个大中城市房价指数和居民消费价格指数的面板数据为研究对象,借助Copula分位数回归模型,研究了房价波动对居民消费价格水平的非线性影响作用。研究发现:首先,房价波动幅度明显大于居民消费价格波动幅度,整体而言房价对居民消费价格存在正向影响效应;其次,在房价上涨较快的城市和房价上涨较慢的城市中,房价的影响作用存在明显差异;再次,随着居民消费价格水平的变化,房价的影响作用也会发生改变。针对以上研究结论,提出针对房价波动对居民消费价格水平的非线性影响的政策建议。

In this paper, we analyze the nonlinear correlation between housing price index and consumer price index with panel data of 35 cities in China using the Copula quantile regression model. The results show： first, the fluctuation range of housing price is obviously larger than that of consumer price, while housing price has positive effects on consumer price on the whole, second, the role of housing price exist significant distinctions in the two kinds of cities, in one of which the housing price roses faster and in the other the housing price roses slower; third, as the consumer rice level varies, the role of housing price also changes. In view of the above conclusions, policy recommendations for the nonlinear effects of housing prices on the consumer price level is proposed.