管理评论

›› 2015, Vol. 27 ›› Issue (9): 3-13.

• 经济与金融管理 •    下一篇

我国城市群商品住宅价格传导与波动性外溢研究

曾祥渭, 刘志东, 刘雯宇   

  1. 中央财经大学管理科学与工程学院, 北京 100081
  • 收稿日期:2014-05-04 出版日期:2015-09-30 发布日期:2015-09-29
  • 作者简介:曾祥渭,中央财经大学管理科学与工程学院博士研究生;刘志东,中央财经大学管理科学与工程学院教授,博士生导师,博士;刘雯宇,中央财经大学管理科学与工程学院博士研究生。
  • 基金资助:

    国家自然科学基金项目(71271223)。

Study on Transmission and Volatility Spillover of Housing Prices in China's Urban Agglomerations

Zeng Xiangwei, Liu Zhidong, Liu Wenyu   

  1. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081
  • Received:2014-05-04 Online:2015-09-30 Published:2015-09-29

PDF (PC)

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摘要：

本文分别研究了我国三个典型城市群(京津冀、长三角和珠三角)区域城市商品住宅价格的长期均衡关系和短期动态时变波动性外溢特征。Johansen协整检验表明三者所辖城市的商品住宅价格均存在显著的协整关系。建立DCC-MGARCH模型实证研究表明:三者所辖城市的商品住宅收益率动态条件相关系数与动态条件方差均呈明显的时变特征,存在波动性外溢效应;且京津冀商品住宅市场的分异性最强,长三角次之,珠三角最弱;"限购令"的实施对京津冀、珠三角城市间的波动性外溢效应影响不显著,对长三角产生了负面影响。交换三者的核心城市构建6个参照组发现长期均衡关系均能通过检验,但波动性外溢效应明显减弱;替换三者的非核心城市构建3个参照组发现长期均衡关系被部分破坏,波动性外溢效应亦显著减弱。

关键词: 城市群, 商品住宅, DCC-MGARCH, 波动性外溢

Abstract:

This paper studies interactive features of commodity housing prices of China's 3 typical urban agglomerations (Beijing-Tianjin-Hebei, Yangtze River Delta and Pearl River Delta) from 2 perspectives, i.e., long-term equilibrium relation and volatility spillover of short-term dynamic time-varying. Johansen co-integration test indicates that commodity housing prices of all the cities located in these 3 urban agglomerations show notable co-integration relationship. Empirical study through building DCC-MGARCH model shows that correlation coefficient and variance of the dynamic conditions of the commodity housing yield in the 3 urban agglomerations show notable time-varying characteristics, i.e., volatility spillover effects; the differentiations among commodity housing markets of Beijing, Tianjin and cities in Hebei are the most obvious, followed by Yangtze River Delta, and then Pearl River Delta; the implementation of Property Purchase Restriction Policies had insignificant influence on the volatility spillover effects in Beijing-Tianjin-Hebei and Yangtze River Delta urban agglomerations, while it had some negative influence on that of Pearl River Delta agglomeration. After exchanging three core cities of the 3 urban agglomerations to establish six reference groups, it is discovered that they all kept the long-term equilibrium relation, but the volatility spillover effect decreased significantly; after changing the non-core cites to establish 3 reference groups, it is discovered that the long-term equilibrium relation of the 3 were partially destroyed and the volatility spillover effect decreased significantly.

Key words: urban agglomeration, commodity housing, DCC-MGARCH, volatility spillover