中国房地产市场与宏观经济运行的关联性研究分析.docx

摘 要
中国房地产市场与宏观经济运行的关联性研究
房地产市场不仅与我国经济发展息息相关，并且与国民经济各部门的发展都有着至
关重要的联系。房地产价格对于房地产市场具有显著影响，不仅关系到人民生活水平，
也对国民经济的稳定发展具有十分重要的作用。我国房地产投资增长率不仅远高于固定
资产投资增长率和 GDP 增长率，同时我国房地产增加值占国民经济总量的比重也在逐
年增加，房地产开发投资额占全社会固定资产投资的比重也呈现出日益增长的趋势，房
地产业已经成为我国国民经济的支柱性产业之一。
本文运用了许多动态经济计量和时间序列分析方法研究房地产市场相关变量与宏观
经济运行之间的关联性问题。我们首先通过对我国房地产价格在经济增长过程中存在的
结构转变来了解我国房地产市场的走势及其与我国经济增长之间的对应关系。我们构建
双变量结构转变模型，结果发现我国商品房销售价格指数与我国GDP增长率双变量结构
转变模型是显著的，从模型的估计结果可以看出我国商品房销售价格指数与我国GDP增
长率双变量结构转变模型存在显著的结构转变点。由结构转变点可以将总样本区间划分
为4个子样本区间，我们采用子样本区间参数估计方法分别对4个子样本区间分别进行参
数估计，发现截距估计值在第一个子样本区间内最大，在第四个子样本区间内最小，随
时间发展呈现出逐级递减的趋势，斜率估计值在第一个子样本区间和第四个子样本区间
为负数，而在第二个子样本区间和第三个子样本区间为正数，而可以看出解释能力在第
三个子样本区间内解释能力最强，在第一个子样本区间内我国商品房销售价格指数对
GDP增长率解释能力最弱。
接下来我们应用单位根检验、VAR 模型、Granger 因果关系检验、脉冲响应函数和
方差分解等计量经济学方法，对我国房地产市场与经济增长之间的相互关系，从多方面、
多视角进行进一步的综合实证检验与分析，从而试图探寻我国房地产市场与经济增长之
间的关联性和影响程度。我们使用 GDP 增长率和工业增加值增长率两种变量来表征我
国经济增长，以商品房销售额同比增长率数据来表征我国房地产市场的发展水平。通过
检验我们发现，我国商品房销售额增长率对 GDP 增长率序列具有较为显著的影响作用，
而 GDP 增长率对商品房销售额增长率的影响则并不十分显著。通过我国商品房销售额
增长率与 GDP 增长率的趋势成分以及波动成分之间的相互影响关系检验我们都发现，
我国商品房销售额增长率能够显著影响 GDP 增长率，而 GDP 增长率对我国商品房销售
I额增长率的影响程度依然相对较为微弱。而我们以工业增加值增速来表征经济增长时，
得到了相同的结论。
其次，我们通过对我国房地产价格以及通货膨胀率的波动过程对比来了解我国房地
产市场的走势及其与我国通货膨胀率之间的对应关系。我们通过利用马尔科夫区制转移
模型对我国商品房价格同比增长率数据与我国通货膨胀率数据分别进行计算检验，以判
别我国房地产市场和通货膨胀之间的关联与区别。估计结果表明我国商品房价格的月度
同比增长率存在明显的两区制特征，即高增长区制和低增长区制，我国商品房价格月度
同比增长率在低增长区制的平均持续期为 5.1867 个月，而在高增长区制的平均持续期为
18.1159 个月。我国通货膨胀率滞后 1 阶的马尔科夫区制转移模型的估计结果也表明我
国通货膨胀率存在明显的两区制特征，我国通货膨胀率在低增长区制的平均持续期为
14.8588 个月，而在高增长区制的平均持续期为 15.2672 个月。可见我国通货膨胀率数据
区制转移的次数较少，而在每个区制的持续期则较长。
然后，我们对我国房地产市场与主要宏观经济变量之间的相互关系分别进行实证检
验与分析。我们通过检验发现通货膨胀率对我国商品房销售价格增长率的影响较弱，名
义利率对我国商品房价格的影响具有一定程度的滞后性，贷款增长率对我国商品房销售
价格增长率的影响非常显著，但商品房销售价格增长率对贷款增长率的影响系数较小。
方差分解结果表明贷款增长率对商品房销售价格增长率序列的贡献率始终保持在 28%左
右。投资增长率对我国商品房销售价格增长率的影响较小，Granger 因果关系检验表明
投资增长率序列不能 Granger 影响我国商品房销售价格增长率序列，方差分解结果表明
我国投资增长率序列对商品房销售价格增长率序列的贡献率很小。我国商品房销售价格
增长率对消费增长率的影响系数较小，而消费增长率对我国商品房销售价格增长率的影
响较显著。方差分解结果表明消费增长率序列对商品房销售价格增长率序列的贡献率在
第 10 期为 4.7799%。
最后，我们对我国房地产市场与我国其他主要市场之间的相互关系分别进行实证检
验与分析，从而探寻我国房地产市场与我国其他主要市场之间的关联性和影响程度。我
们首先检验我国商品房销售价格与股票市场之间的相关关系，发现滞后一阶和滞后二阶
的股票市场对我国商品房销售价格增长率的影响都非常微弱，股票市场对商品房销售价
格增长率序列的贡献率也较小。债券市场对我国商品房销售价格增长率的影响较小，债
券市场序列能够略微 Granger 影响我国商品房销售价格增长率序列，方差分解结果表明
债券市场对商品房销售价格增长率序列的贡献率在第 10 期才上升至 1.9242%。汇率增长
率对我国商品房销售价格增长率具有一定的影响，方差分解结果表明汇率增长率对商品
II房销售价格增长率序列的贡献率到第 10 期上升为 3.3153%。货币增长率对我国商品房销
售价格增长率没有影响，方差分解结果表明货币市场对商品房销售价格增长率序列的贡
献率在第 2 期为 0.0601%，然后逐渐下降。商品房销售价格增长率对汽车产量增长率的
影响系数非常显著，而汽车产量增长率对我国商品房销售价格增长率几乎没有影响。
关键词：
房地产市场，宏观经济，结构转变，区制转移
IIIAbstract
The Correlation between Real Estate Market and Macroeconomic in
China
Real estate market is closely related not only to economic development and the
development of national economy sectors have a vital link. For the real estate market
real estate prices have a significant impact, not only to the people's living standards,
but also the stable development of the national economy has a very important role.
China's real estate investment growth rate is not only much higher than the fixed asset
investment growth and GDP growth, while accounting for the added value of our real
estate economy is also growing proportion of the total real estate development and
investment accounted for in fixed asset investment also showed the proportion of the
growing trend, real estate has become a pillar industry of China is one of the national
economy.
In this paper, a number of dynamic econometric and time series analysis of the
real estate market-related variables and the relationship between macroeconomic
issues. We first of our real estate prices in the process of economic growth, structural
changes to the existing understanding of China's real estate market trends and
economic growth in China's correspondence. We constructed two-variable model of
structural change and found that sales of commercial housing price index for GDP
growth of two-variable model of structural change is significant, estimated from the
model results show that sales of commercial housing price index and the structure of
China's GDP growth rate of two-variable significant changes in the structure of model
transition point. By the structural change point total sample interval can be divided
into 4 sub-sample interval, we use the sub-sample interval estimation methods are
sub-sample interval of 4 to estimate the parameters, respectively, and found that the
intercept estimates range in the first sub-sample of the largest in the The fourth
sub-sample of the smallest interval, step by step over time showing a decreasing trend,
the slope estimates range in the first and fourth sub-sub-sample of the sample interval
IVis negative, the sample interval in the second and third sub-sub-sample interval is
positive, it can be seen in the third sub-sample explanatory power to explain the
strongest interval, sample interval in the first sub-housing sales price index of GDP
growth to explain the weakest.
Next, we applied unit root test, VAR model, Granger causality test, impulse
response function and variance decomposition econometric methods, and the
relationship between economic growth and the real estate market, in many ways,
multi-angle further Comprehensive empirical testing and analysis, which attempts to
explore the real estate market and the relationship between economic growth and
impact. We use the GDP growth rate and growth rate of industrial added value of two
variables to characterize China's economic growth to year growth rate of real estate
sales data to characterize the development level of China's real estate market.
Through testing we found that our rate of growth of the GDP growth rate of real
estate sales sequence has more significant influence, while the growth rate of GDP
growth rates of real estate sales are not very significant. Through our real estate sales
trend growth rate and GDP growth volatility component composition and the
relationships between the test we found that growth rates of real estate sales can
significantly affect the GDP growth rate, while the GDP growth rate of real estate
sales in China influence the growth rate is still relatively weak. The growth rate of
industrial added value to our characterization of economic growth, have the same
conclusion.
We adopted our real estate prices and the volatility of inflation compared to the
process of understanding the trend of the real estate market and its relationship with
China the correspondence between the rate of inflation. We use Markov regime
switching model year growth rate of house price inflation data and the data of tests
were calculated to determine the real estate market and the relationship between
inflation and difference. Our estimation results show that the monthly house price
growth year on year there are obvious characteristics of the two-district system, that
system of high-growth areas and low-growth areas in the system, my monthly house
price growth in the low-growth year on year, the average duration of the district
system was 5.1867 months, high-growth areas in the system, the average duration is
V18.1159 months. China's inflation rate lagged 1-order Markov regime switching
model estimation results also show that China's inflation rate system there are
obvious characteristics of the two areas, China's inflation rate in the low-growth areas,
the average duration of the system was 14.8588 months high-growth areas in the
system, the average duration is 15.2672 months. Our data shows the rate of inflation
less the number of regime switching, and in the duration of each district system is
longer.
We study our real estate market and the main macroeconomic variables,
respectively, the relationship between the empirical test and analysis. We test showed
that the rate of inflation on real estate sales prices of the impact of weaker growth in
the nominal interest rate of commercial housing prices in China have a certain degree
of lag, the loan growth rate of prices of the impact of sales of commercial property is
very significant, but growth rate of commercial housing sales price impact of loan
growth coefficient is small. Variance decomposition results show that the loan growth
rate of real estate sales prices contributed the sequence is always maintained at about
28%. Investment growth rate on real estate sales prices of the impact of lower growth,
Granger causality test showed that the growth rate of investment is not Granger
sequence of growth of commercial housing sales price series, the variance
decomposition results show that the sequence of investment growth rate of real estate
sales prices sequence of a small contribution. Growth rate of real estate sales prices
on consumption growth rate of the coefficient is small, while the consumption growth
rate of real estate sales prices of the impact of more significant growth. Variance
decomposition results show that the consumption growth rate series of real estate
sales prices in the contribution rate of the sequence is 4.7799%.
Finally, our real estate market and other major markets of the relationship
between the empirical test and analysis were to explore the Real Estate Market and
other major markets in China and the relationship between the degree of influence.
We first examined the sales price of real estate and stock market correlation between
the found behind the first and second lag of stock market prices of real estate sales are
very weak growth rate of the stock market to real estate sales price growth sequence
contribution rate is also smaller. Bond market growth rate of commercial housing
VIsales price less affected, the bond market can be a little Granger sequence of growth
of commercial housing sales price series, the variance decomposition results show
that the bond market, the price growth rate series of real estate sales in the
contribution rate was rose to 1.9242 percent. Exchange rate on the growth of
commercial housing sales price has some effect, the exchange rate variance
decomposition results show that the rate of growth of real estate sales prices
contributed to the sequence rose to 3.3153%. Money growth rate on the sales price of
real estate did not affect the variance decomposition results show that the money
market rate series of real estate sales prices in the contribution rate is 0.0601%, and
then gradually declined. Sales of commercial vehicle production growth rate of price
growth in the influence of significant factors, and vehicle production growth rate of
China's real estate sales prices had little impact.
Keywords:
Real Estate Market; Macroeconomic; Structural Change; Regime Switching
VII目录
第 1 章 绪论...............................................................................................................1
1.1 选题背景与研究意义........................................................................................1
1.2 研究思路与研究方法........................................................................................2
1.3 文献回顾............................................................................................................3
1.4 主要创新点......................................................................................................13
第 2 章 中国房地产市场发展的结构性转变分析.................................................14
2.1 结构性转变模型的构建..................................................................................15
2.2 房地产市场结构转变的实证检验..................................................................16
2.3 本章小结..........................................................................................................22
第 3 章 中国房地产市场与经济增长关系的实证研究.........................................24
3.1 检验中国房地产市场与经济增长相关关系的模型与方法..........................25
3.2 房地产市场与 GDP 增长率相关关系检验....................................................31
3.3 房地产市场与工业增加值增速相关关系检验..............................................45
3.4 本章小结..........................................................................................................59
第 4 章 中国房地产市场与通货膨胀的区制转移比较分析.................................60
4.1 马尔科夫区制转移模型的构建......................................................................62
4.2 商品房价格增长率与通货膨胀率的数据分析..............................................65
4.3 商品房价格增长率与通货膨胀率的区制转移分析......................................69
4.4 本章小结..........................................................................................................73
第5章 中国房地产市场与主要宏观经济变量关系的实证研究................................75
5.1 房地产市场与通货膨胀率相关关系检验......................................................77
5.2 房地产市场与利率相关关系检验..................................................................81
5.3 房地产市场与信贷相关关系检验..................................................................85
5.4 房地产市场与投资相关关系检验..................................................................90
VIII5.5 房地产市场与消费相关关系检验..................................................................94
5.6 本章小结..........................................................................................................99
第 6 章 中国房地产市场与其他主要市场关系的实证研究...............................100
6.1 房地产市场与股票市场相关关系检验........................................................102
6.2 房地产市场与债券市场相关关系检验........................................................106
6.3 房地产市场与外汇市场相关关系检验........................................................110
6.4 房地产市场与货币市场相关关系检验........................................................115
6.5 房地产市场与汽车市场相关关系检验........................................................119
6.6 本章小结........................................................................................................123
结 论.......................................................................................................................125
参考文献...................................................................................................................128
后 记.......................................................................................................................138
IX第 1 章 绪论
1.1 选题背景与研究意义
1.1.1 选题背景
自我国开始城镇居民住房改革以来，我国房地产市场实现了突飞猛进的发展。房地
产市场的发展不仅对经济发展起到了巨大的带动作用，与此同时，房地产业的发展也对
国民经济的方方面面都产生了极为深远的影响，直至今日，房地产市场依然是学术研究
以及社会各界所热衷探讨的话题。
回顾我国房地产市场的发展道路，我们不难发现我国房地产市场始终伴随着政府对
于房地产市场的调控，从住房公有制，到住房分配货币化，再到房地产市场的全面发展，
我国房地产市场的发展也清晰的反应出我国经济发展和改革开放的发展历程。1991 年，
国务院发布了《关于全面推进城镇住房制度改革的意见》，这对于城镇住房改革具有深
远的影响，这一意见对于房改的各项原则和目标进行了明确。在 1992 年邓小平同志发
表南巡讲话以后，不仅使得我国对外开放的步伐加快，同时我国社会主义市场经济建设
也进入了一个新的历史时期。从此全国房地产价格也逐步放开，从这一年开始政府审批
权利下放，金融机构也可以进行房地产开发贷款，在我国宏观经济加快改革开放步伐的
带动下，中国房地产市场进入了一个快速扩张时期，具体表现为 1992 年开始我国的商
品房价格呈现突飞猛进的增长势头。由于 1992 年我国房价的大幅度上涨，1993 年我国
开始宣布终止房地产公司上市，并且开始控制银行资金进入房地产。同年，《关于当前
经济情况和加强宏观调控意见》对于稳定市场起到了非常关键的作用。《意见》正式提
出整顿全国的金融秩序，并加强金融机构监管并且进行宏观调控的 16 条具体政策措施，
从而顺利实现经济软着陆。我国政府也开始了对房地产市场加强监管措施，进行清理和
整顿。1994 年，我国又出台了《国务院关于深化城镇住房制度改革的决定》，从此建立
住房公积金成为房改的一项重要内容，可以认为住房公积金制度开始了住房分配的货币
化，也是新的住房制度的雏形。1997 年 5 月，《住宅担保贷款管理试行办法》出台，不
仅成为按揭业务的法律依据，同时也进一步促进了房地产金融的发展。1998 年，我国颁
布实施了《关于进一步深化城镇住房制度改革，加快住房建设的通知》，这一纲领性文
件成为我国住房体制改革的一次重