城市房价溢出效应的测度、网络结构及其影响因素研究

Research on the Measurement,Network Structure and Influencing Factors of the Spillover Effect of Urban Housing Prices

利用厚尾VAR模型构建测度指数来量化房价溢出效应大小,在梳理传导机制的基础上,采用35个城市数据分析房价溢出的网络结构与主要影响因素,结果显示:市场整体房价溢出水平自2011年以来上升11%,系统性风险加剧。城市房价相互溢出关系形成复杂的"小世界网络",北京等7个城市是"领导者",天津等7个城市是"经纪人",石家庄等11个城市是"双向引导者",青岛等10个城市属于"跟随者"。从全国范围看,人口流动与羊群效应是房价溢出的重要途径,但各板块存在差异。"领导者"主要依靠人口流动、资本流动与羊群效应实现房价外溢;"经纪人"与"双向引导者"依赖羊群效应实现房价外溢;"跟随者"主要依赖人口流动与羊群效应实现内部城市间相互溢出,但对其他板块影响不大。因此,政府部门应高度重视房价溢出效应可能诱发的系统性风险,完善房地产行业相关的产权、信息披露制度,提高楼市调控效率。

This paper uses heavy-tailed VAR model and constructs measuring index to quantify the spillover effect of housing prices. We analyze network structure and influential factors of the spillover effect based on the transmission mechanism and data from 35 cities. The results show that the general level of spillover effect of market increases by 11% from 2011 till now,indicates an aggravation of systematic risk. Mutual spillover effect of urban house prices shapes a complicated'small-world network': seven cities including Beijing are'leaders';seven cities such as Tianjin are 'agents ';eleven cities like Shijiazhuang are 'bidirectional guides ';ten cities such as Qingdao are 'followers'. From a nationwide perspective,movement of population and herd effect are the primary channels of spillover effect,but they are different between cities. Migration of population,capital movement and herd effect are the main channels of spillover for 'leaders',while herd effect is critical for both 'agents'and 'bidirectional guides'. Movement of population and herd effect are important for 'followers',but the effects are internal.In order to increase the regulation efficiency of real estate market,the government should pay high attention to systematic risk which may led by spillover effect of housing prices,and improve the system of property rights and information reporting in real estate industry.