泡沫经济危机动态预警研究——基于房地产市场国际经验数据

Study on the Dynamic Warning for Bubble Economic Crisis——Based on International Experience Data in Real Estate Market

泡沫经济是一个分阶段,不同阶段互相转化的动态过程。本文首先对泡沫经济的发展过程进行了分析和识别。在此基础上,为了描述经济状态由平稳发展,到资产价格泡沫,最后演化为泡沫经济的动态转变过程,建立了潜在动态有序logit模型将泡沫经济动态演化的不同阶段联系起来,进而得出不同阶段的阈值;同时构建预测模型对经济状态进行预测,通过与阈值进行对比得到预警结果。本文选取了7个经济指标,获得1996年到2016年36个国家的平衡面板,共计756个年度-国家观测值,以此为实证样本。结果表明,本文提出的潜在动态有序模型和预测模型可以有效地刻画经济状况的动态变化,并且实现动态预警系统的递归更新和实时预测。

Bubble economy belongs to a multi-stage, and is the dynamic process for mutual transformation among different stages. The analysis and identification of different stages of the bubble economy be performed by this paper first. And then, the latent dynamic ordered logit model built based on this will connect different stages of the dynamic evolution of the bubble economy, depict the economic status from stable development to asset price bubble and then evolved into the dynamic process of the bubble economy. It has selected 7 economic indexes, obtained balanced panels of 36 countries in 21 years from 1996 to 2016 and 756 annual national observed values in total to be demonstration samples. The results show that the latent dynamic ordered model and forecasting model proposed in this paper can effectively describe the dynamic changes of economic situation and realize the recursive update and real-time forecasting of dynamic early warning system.