基于马尔柯夫模型的商品房价格波动研究

 已有的关于房地产价格的文献大部分是基于线性框架的。那么一个很及时的问题是：房地产价格是否表现出非线性的特点呢？我们利用基于非线性的马尔科夫机制转换模型对我国的房地产价格进行了研究。发现我国的房地产价格呈现出非线性的特点；马尔科夫机制转换模型的非线性估计很好地解释了我国房地产价格的特点；不同的状态具有不同的转换概率；两个状态分别具有2.2个季度和1.2个季度的持续期。

Study on the Volatility of Real Estate Prices Based on Markov Regime Switching Model

Existing literature on real estate prices is predominantly in a linear framework, and an important question that has not been addressed is whether real estate prices exhibit nonlinearity. Based on two states Markov Regime Switching Model (MRS), we examine the nonlinear properties of housing prices over the 1999:1-2007:4 periods for entire China. Our main findings are (1) housing price for the entire China show nonlinearity, (2) the dynamic properties implied by the nonlinear estimation explain the typical patterns that have characterized Chinese housing market, and (3) different states had different transformation probability, and each state persist 2.2 quarters and 1.2 quarters respectively.