我国四大城市住宅价格与租金的关系研究

近20年,我国城市住宅价格经历了大幅下跌与上涨,而同期租金逐年下降,房价与租金之间的关系令人关注。本文利用1993年第二季度至2010年第一季度的数据进行实证分析,结果表明北京、上海、广州和深圳的租金指数和房价指数之间不存在协整关系,说明住宅市场价格与租金不存在长期均衡关系,房价严重脱离了租金这一基本面的影响,不再遵循现值理论模型所揭示的两者之间的运行趋势,表明房价泡沫在长期积聚。为了预防市场泡沫破灭对经济体造成的严重冲击,政府应该严格监察与调控房地产市场。     

House prices and rents in Spain: Does the discount factor matter?

We estimate alternative price-to-rent ratios in the Spanish housing market by considering different stochastic discount factors in present value models similar to those used in the financial literature but where the higher rigidity that characterises this market is taken into account. We identify three robust across-model regularities: (i) the increase in the price-to-rent ratio since the late 1990s helped at first to restore equilibrium, (ii) further increases in house prices raised the ratio between 24% and 32% above equilibrium by 2004, although (iii) at that time the ratio was only around 2% above its short-term adjustment path towards a (new) long-run equilibrium.     

Hedonic analysis of a housing market in disequilibrium

This paper tests the hypothesis that information about housing market activity and about specific dwellings becomes capitalized into single family dwelling prices through a disequilibrium adjustment process. A dynamic price adjustment model, which is an extension of the standard hedonic model widely used in the literature, is derived, specified, and tested with both micro and aggregated data from the city of Chicago and for the period 1972–1976. The results show that from 32 to 75% of the variance in dwelling prices, unexplained by the standard hedonic attributes under assumptions of equilibrium, is explained by market activity signals such as mortgage interest rates and neighborhood transaction rates of the preceding period. Dwellings about which there is less information, making comparison pricing difficult, are shown to command a price premium. The standard equilibrium hypothesis appears readily rejectable and better predictions are obtained from the disequilibrium specifications. Several directions for extending this line of research are discussed.     

Bubble trouble ‐ are British house prices significantly overvalued?

The OECD last December said British house prices were overvalued by 30% or more. There has been much talk, including in a 2005 speech by Gordon Brown, of a house price bubble. This article, by Gavin Cameron, John Muellbauer and Anthony Murphy of Oxford University, finds no significant evidence for a bubble from a dynamic panel data model of British regional house prices between 1972 and 2003. The model consists of a system of inverted housing demand equations, incorporating spatial interactions and lags and relevant spatial parameter heterogeneity. The results are data consistent, with plausible long-run solutions and include a full range of explanatory variables. Novel features of the model include transaction cost effects influencing the speed of adjustment and housing market flows, as well as stocks, driving prices. Furthermore, the model allows for shifts in real and nominal interest rate effects as credit markets liberalised.     

Risk shocks and housing supply: A quantitative analysis

This paper analyzes the role of stochastic uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production and provide estimates of the time-series properties of risk shocks by using firm level productivity data. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for understanding housing price movements. Specifically, the model can match the volatility of housing prices observed in the data. It is also demonstrated that adjustment costs are important in replicating the contemporaneous correlation of housing prices with GDP and residential investment. Critically, bankruptcy costs act as an endogenous markup factor in housing prices and are an important determinant of house price volatility. However, in comparison to housing demand shocks, risk shocks have low explanatory power for real quantities.     

我国四大城市住宅价格与租金的关系研究

近20年,我国城市住宅价格经历了大幅下跌与上涨,而同期租金逐年下降,房价与租金之间的关系令人关注。本文利用1993年第二季度至2010年第一季度的数据进行实证分析,结果表明北京、上海、广州和深圳的租金指数和房价指数之间不存在协整关系,说明住宅市场价格与租金不存在长期均衡关系,房价严重脱离了租金这一基本面的影响,不再遵循现值理论模型所揭示的两者之间的运行趋势,表明房价泡沫在长期积聚。为了预防市场泡沫破灭对经济体造成的严重冲击,政府应该严格监察与调控房地产市场。     

Measuring the diffusion of housing prices across space and over time

How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring impulse response functions from local projections to a spatial autoregressive model of housing prices. For a dynamic panel of California counties, the data reveal that the diffusion of regional housing prices across space lasts up to two and half years. This result, and the econometric techniques employed, should be of interest not only to housing and regional economists, but to a variety of applied econometricians as well. Copyright © 2009 John Wiley & Sons, Ltd.     

上海住宅价格的解释——基于自回归均值回复模型的分析

使用1998年1月至2013年7月间月度上海住宅价格指数,采用自回归均值回复模型（ARMR）,尝试对上海住宅价格进行解释。模型效果测试表明模型与实际住宅价格指数之间匹配良好。上海房价均衡月度增长率为0．77％;自回归系数显示43％的前两个月增长率将持续到当月;均值回复系数表明如果上月房价高出（低于）均衡水平1个百分点,下月房价增长率将下降（增加）大约0．022个百分点。     

A panel data analysis for housing affordability in Taiwan

Although the equilibrium relationship between household income and house price is well documented in previous theoretical studies, the empirical results are usually unfavorable. This article examines whether a long-term relationship between house price and income exists through a panel integration and cointegration methodology in analyzing data from four cities in Taiwan from 1980 to 2007. The findings support the existence of a long-term equilibrium relationship between income and house price, which indicate that housing affordability in Taiwan is stable. After controlling other variables, the income elasticity of house prices on average is close to one. Furthermore, evidence points to a bi-directional causality between income and house price.     

国有土地使用权出让中“地王”现象分析

“地王”的产生既有土地供应、需求等基本层面的因素,也有分税制、招拍挂、土地国有等制度层面的因素,同时又受到国际国内经济运行大环境的影响.“地王”不仅会直接推高房价,还会提高房价上涨预期,形成地价房价相互抬高的恶性循环.“地王”增加了经济运行风险,不利于国民经济长期可持续发展.为抑制“地王”产生,要坚决遏制投资投机性住房...     

What drives returns to euro area housing? Evidence from a dynamic dividend–discount model

We apply a dynamic dividend–discount model to analyse housing returns for eight euro area countries comprising over 90% of euro area GDP, both individually and as a panel. A vector autoregressive model (VAR) is estimated for four variables – excess return to housing, rents, the real interest rate and real disposable per capita income – using quarterly data over the period 1978–2009. This empirical investigation – which allows for a decomposition of house price movements into movements in rent (cash-flow) and expected return news components – indicates that the bulk of the variability of euro area house price movements can be attributed to movements in fundamentals. There remains nonetheless an important but less sizeable influence of market-wide (or expected-return) variations in house prices. Country-specific estimation indicates considerable heterogeneity around the euro area result, both for what concerns long-term impacts and dynamics. Notably, changes in expected returns play a relatively strong role in the house prices of Ireland and Spain.     

Determinants of house prices in Istanbul: a quantile regression approach

This paper uses quantile regression methods where a hedonic equation is estimated for each quantile of the conditional distribution of housing prices. The survey data are used to investigate the relationship between house prices and housing characteristics in Istanbul. This data set includes some housing characteristics of the dwellings like numbers of room, bathroom, heating system, location of house etc. In the results of this paper show some similarities and differences from earlier studies on housing prices. We find that age, cable tv, security, heating system, garage, kitchen area, increasing numbers of room and bathroom increase the house prices. Our findings also show that side variable which is a special factor for Istanbul real estate market has negative effect on the prices. It is clear that the factors of housing prices can change because of the properties of country, region or city. The results of this study may give some important interpretations for developing real estate market.     

Do house price developments spillover across euro area countries? Evidence from a global VAR

This paper empirically assesses the prospects for house price spillovers in the euro area, where co-movement in house prices across countries may be particularly relevant given a general trend with monetary union toward increasing linkages in trade, financial markets, and general economic conditions. A global VAR is estimated for three housing demand variables (real house prices, real per capita income, and the cost of borrowing, captured by a real long-term interest rate) on the basis of quarterly data for 7 euro area countries (Belgium, Germany, Ireland, Spain, France, Italy and the Netherlands), which together comprise nearly 90% of euro area GDP, over the period 1971–2009. The results suggest limited house price spillovers in the euro area, albeit with evidence of some overshooting in the first year after the shock, followed by a long run aggregate euro area impact of country-specific changes in real house prices related in part to the country’s economic weight. This contrasts with the impacts of a shock to domestic long-term interest rates, causing a permanent shift in house prices after 2–3 years. Underlying this aggregate development are rather heterogeneous house price spillovers at the country level, with a strong importance for weights – either economic or geographic – in governing their general magnitude. More generally, the impact of financing costs on house prices appears to have grown though time.     

The price responsiveness of housing supply in OECD countries

The responsiveness of housing supply to changes in prices bears important implications for the evolution of housing prices and the speed of adjustment of housing markets. Based on a stock-flow model of the housing market estimated within an error correction framework, this paper estimates the long-run price elasticity of new housing supply in 21 OECD countries. Estimates suggest that the responsiveness of housing supply to price changes varies substantially across countries. It is relatively more flexible in North America and some Nordic countries, while it is more rigid in continental European countries and in the United Kingdom. The responsiveness of housing supply depends not only on national geographical and urban characteristics but also on policies, such as land use and planning regulations.     

Wages and prices: Are workers fully compensated for cost of living differences?

This paper investigates the equilibrium relationship between wages and prices across labor markets. Of central interest is the extent to which workers receive higher wages to compensate for differences in the cost of living. According to the spatial equilibrium hypothesis, the utility of homogenous workers should be equal across labor markets. This implies that controlling for amenity differences across areas, the elasticity between wages and the general price level across areas should equal one, at least under certain conditions. I test this hypothesis and find that the predicted relationship holds when housing prices are measured by rents and the general price level is instrumented to account for measurement error. When housing prices are measured by housing values, however, the wage-price elasticity is significantly less than one, even using instrumental variables. Rents reflect the price paid for housing per unit of time and are arguably the superior measure. Thus, findings in this essay provide support for the full compensation hypothesis. These findings also have important implications for researchers estimating the implicit prices of amenities or ranking the quality of life across areas.     

住房流动性对房价指数的影响及其定量分析

目前中国城市住房市场不稳定程度较高,这不仅体现为房价的迅速变化,而且反映在交易量的大幅波动上,后者就是住房流动性的变化。有学者研究指出,以实际交易价格为基础的房价指数可能会低估住房市场的波动程度。为了更准确地把握住房市场的运行状态,本文借鉴美国MIT的相关技术,分析了住房流动性（交易活跃程度）对房价指数的影响,并尝试将流动性信息引入房价指数当中。我们发现,住房流动性对于房价指数有较大影响,且符合人们对于市场走势的直观判断,能够较好地反映市场转折点。     

房价空间关联的动力机制——基于空间Durbin模型的实证研究

城市房价的一个重要特征就是其空间关联性。分析了房价空间关联的四种动力机制,基于一个消费者均衡模型并利用268个城市的房价数据,应用空间Durbin模型实证检验了城市房价的空间关联性。研究表明,我国城市房价存在显著的空间关联性和明显的地区差异,相对于东中部城市,西部城市间房地产市场至少在现阶段还缺乏城市问的关联机制。     

Price dynamics in public and private housing markets in Singapore

In down-payment constrained housing consumption models, increases in house prices could trigger household mobility decisions in housing markets. This study empirically tests house price dynamics associated with the mobility of households in the public resale and private housing markets in Singapore. The results show that stochastic permanent breaks were found in the public housing resale prices and private housing prices. The relative prices drift apart occasionally, but mean-revert to a long-run fundamental equilibrium. Error correction mechanisms and lagged public housing prices were also found to have significant explanatory effects for price changes in the private housing markets. The results support the hypothesis that household mobility creates co-movements of prices in public and private housing submarkets in the long run.     

Spatial Lock-in: Do Falling House Prices Constrain Residential Mobility?

Falling house prices have caused numerous homeowners to suffer capital losses. Those with little home equity may be prevented from moving because of imperfections in housing finance markets: the proceeds from the sale of their home may be insufficient to repay their mortgage and provide a down payment on a new home. A data set of mortgages is used to examine the magnitude of these constraints. Estimates show that average mobility would have been 24% higher after 3 years had house prices not declined, and after 4 years, it would have been 33% higher. Among those with high initial loan-to-value ratios, the differences are even greater.     

地价与房价关系探析

在对房地产市场结构、运行模式分析的基础上,分析并阐述地价与房价之间的关系。为了清楚揭示这二者之间的关系,首先对“地价是否是房价的决定因素”这个问题进行了探讨,并在此基础上从市场角度出发,沿着市场→房价→地价这条主线,揭示在市场作用下受供求关系的影响房价不断攀升,而且有力推动地价上涨。接着,继续研究地价、房价的变动对房地产市场所产生的影响,揭示了当前地价、房价的上涨不但没有降低需求热度,反而使开发商和购房者的购买欲更旺,市场的供求差距进一步拉大,以此形成一个循环正反馈链。最后,针对房价上涨,对中央政府和地方政府的协调行为提出了几点建议。