中国房地产市场的联动效应和溢出效应分析——基于DAG和溢出指数的考证

Measurement of Connectedness and Spillovers in China’s Housing Market——Based on the DAG and Spillover Index Model

各线城市房价存在的关联效应是使房价表现与政策调控目标出现背离的重要原因.本文将中国房地产市场分为五个等级,创新地运用基于有向无环图（DAG）的溢出指数建模方法,分析了2011年1月至2016年2月不同等级城市间的房价联动效应和信息溢出效应,以及货币政策调控对各级市场的作用.结果表明：中国房地产市场存在“自下而上”的同期市场联动效应,一线城市不具有明显的“市场引领”作用,中长期二线城市市场对其他各级市场的影响程度明显加强,三、四、五线城市房地产市场对外的影响程度较弱.整个房地产市场的各级市场关联程度较强,但一线城市存在较高独立性,二线城市的净溢出效应最强,三、四、五线城市的净溢出效应则为负.制定货币政策时,应针对各线城市房地产市场的特征,辩证地选择数量型和价格型货币政策工具进行调控。

The connection effect of housing prices in different tier cities is the important factor causing a divergence between the house market.performance and the policy＇s control target. In this paper, we divide China＇s housing market into five grades, and innovatively employ spillover index modeling based on directed acyclic graph（DAG） to analyze linkage effect and information spillover effect of housing prices among different tier cities from January 2011 to February 2016, and the function of the monetary policy regulation to the five markets. The results show that China＇s real estate market exists the ＇Bottom-Up＇contemporaneous connection effect; the first-tier cities do not present obvious ＇market leading role＇, and the second-tier cities market for the medium and long term has strengthened the influence degree on the other markets, while the third-, fourth-and fifth-tier cities markets＇ influence is weak on all the other markets; the whole market correlation degree is relatively strong, and the first-tier cities exist a higher independence, the second-tier cities shows the strongest net spillover effects, while the net spillover effect of the third-, fourth-and fifth-tier cities are negative. The monetary policy should be aimed at the characteristics of the different grade market, and the government should dialectically choose quantitative and pricing policy instrument to regulate and control housing price.