基于TVP-SV模型的商品住房价格波动机理研究——以深圳市为例

A Study on the Price Fluctuation Mechanism of Shenzhen Commodity Housing Based on the TVP-SV Model

近年来，商品住房价格受多变量因素动态作用呈现出较大的波动现象，而各因素对商品住房价格的作用机理表明其具有不同的相关性和显著性。研究采用深圳市为样本数据，基于时间序列回归模型并引入时变和随机因子，构建了随机波动时变参数（TVP—SV）模型，通过分析影响商品住房价格的供给和需求因素指标，运用Gibbs抽样方法估计模型参数，针对2000—2015年影响深圳市商品住房价格变动的因素进行动态分析，实证研究表明，小学学生数量、商品住房供应量和土地价格对深圳市商品住房价格波动的影响最为显著。

In recent years commodity housing price is influenced by dynamic actions of multiple vari- able factors and present a large fluctuation, while action mechanisms of various factors on commodity housing price show that they have different correlations and significances. This study is based on time series regression model and employs time varying factor and random factor, takes Shenzhen city as the sample data, and has built a TVP-SV model. Through analyzing the supply factor and demand factor that influence commodity housing price, and employs Gibbs sampling method to estimate this model＇s parameters, and conducts a dynamic analysis on factors that influence Shenzhen commodity housing＇s price fluctuation in 2000-2015. The study results show that the population of primary school students, supply amount of commodity housing and land price have the most significant influences on Shenzhen commodity housing price fluctuation.