| 我国住宅用地价格增长率波动的实证分析——基于经济周期理论和ARCH类模型 |
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| 引用本文： | 黄砺,王佑辉.我国住宅用地价格增长率波动的实证分析——基于经济周期理论和ARCH类模型[J].南京农业大学学报(社会科学版),2012,12(1):74-79. |
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| 作者姓名： | 黄砺 王佑辉 |
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| 作者单位： | 华中师范大学经济学院,湖北武汉,430079 |
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| 摘 要： | 基于经济周期理论并借助HP滤波法,分析了我国住宅地价增长率从1998年第1季度至2011年第2季度的周期波动特征,结果表明住宅地价增长率波动的周期性特征非常明显且波动幅度日益加强.接着利用ARCH类模型分析了住宅地价增长率的波动特征,发现住宅地价增长率具有显著的集簇性,没有高风险高回报的特征,并具有与股票市场恰好相反的杠杆效应.最后提出了相应的政策建议.
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| 关 键 词： | 住宅地价 增长率波动 经济周期理论 HP滤波 ARCH类模型 |
An Empirical Analysis of the Growth Rate Fluctuation of Residential Land Price in China:Based on Business Cycle Theory and ARCH-type Model |
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| HUANG Li,WANG You-hui.An Empirical Analysis of the Growth Rate Fluctuation of Residential Land Price in China:Based on Business Cycle Theory and ARCH-type Model[J].Journal of Nanjing Agricultural University(Social Science Edition),2012,12(1):74-79. |
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| Authors: | HUANG Li WANG You-hui |
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| Institution: | (College of Economics,Central China Normal University,Wuhan 430079,China) |
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| Abstract: | Based on the business cycle theory and with the help of the HP filter method,this paper analyzed the fluctuation characteristics of residential land price from the first quarter of 1998 to the second quarter of 2011.The result indicated that the cycle fluctuation appears and the range of fluctuation gets wider.Based on this finding,this paper further investigated the price fluctuation with the following models:ARCH-type,including GARCH,GARCH-M and TARCH.The result showed that the residential land price takes on the significant volatility clustering,without the characteristics of high-risk and high-reward.Another finding indicated that there exists a significant conditional heteroskedasticity but the leverage effect on land market is different from the one in the stock market.Finally,this paper put forward some corresponding policy recommendations. |
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| Keywords: | Residential Land Price Growth Rate Fluctuation Business Cycle Theory HP Filter ARCH-type Model |
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