住房市场泡沫识别的超指数膨胀模型——以京沪各区县房价为例

Super-exponential expansion model about recognition of housing market bubble:In case of all districts in Beijing and Shanghai

近年来我国房价不断攀升，京沪房屋平均销售价格始终位居全国前两位，目前京沪房价仍处于上升通道，人们愈加关心京沪房地产市场是否存在泡沫．基于京沪各区县二手房交易价的周均价数据，本文构建了房价泡沫检测与识别的均值回复随机平稳终结模型，并估计了房价泡沫的膨胀强度和泡沫破灭的临界时距．利用它对京沪区县2007年12月至2015年10月的投机泡沫实证分析表明，该模型能够有效地检验京沪区县住房市场泡沫的存在性，识别29个区县泡沫膨胀强度和积累的稳定性大小，模型对于房价下跌有很好的预警效果．最后，本文利用该模型的实证结果指出，当前京沪各区县的房地产市场存在不同程度的投机泡沫．

The housing price in China has been raising for recent years, and the average housing sale prices for in Beijing and Shanghai have remained the top two in China. Now the housing prices in Beijing and Shanghai are still in the ascending, which rises people＇s concern that whether or not there is bubble in Beijing and Shanghai＇s housing market. Based on the second-hand housing sale price of each district in Beijing and Shanghai, this paper sets up super-exponential bubble model with stochastic mean-reverting critical times to detect and recognize the bubble of the over housing market. The paper distinguishes different level of bubble expansion and different stability of accumulation, and inspects the critical times that the bubbles will burst. Employing this model, the empirical study for housing market of Beijing and Shanghai between Dec. 2007 and Oct. 2015 indicates that housing bubble can be detected and the strength as well as stability of bubbles among 29 districts be also measured. Finally, we use this model to find that different levels of speculation bubble exist among all the districts of Beijing and Shanghai.