中国十大宜居城市房地产价格泡沫度的实证研究

本文通过单位根ADF检验，对我国十大宜居城市中的九个城市（剔除桂林，数据不可得）的房地产价格泡沫进行了初步检验，结果显示除青岛外其他城市房地产价格都面临着不同程度的泡沫。然后通过建立时变风险溢价模型和三变量VAR模型，对除青岛以外的剩余城市的房地产价格泡沫进行了度量，结果显示：上海、大连、北京、广州、成都、杭州、珠海和厦门的房地产市场都存在着不同程度的泡沫，其中北京、杭州和珠海的房地产市场泡沫已经达到了30％以上，而上海、大连和厦门的房地产市场泡沫在20％以上，成都和广州的房地产市场泡沫也在10％以上。使用该方法可以度量任何一个地区、省份、市区的房地产价格泡沫度，可以为房地产商、购房人和中央及地方政府提供相应的决策依据。

Empirical Analysis on the Real Estate Price Bubbles of Ten Most Livable Cities in China

Based on the method of ADF unit root test, this paper conducted a preliminary examination on the real estate price bubbles in ten most livable cities in China. The examination shows that each region except Tsingtao is facing the real estate price bubble in various degrees. Then the time-varying risk premium model and three-variable VAR model were both utilized to measure the above-mentioned bub- bles which verified that there are different levels of housing price bubbles in Shanghai, Dalian, Beijing, jing, Guang Guangzhou, Chengdu, Hangzhou, Zhuhai and Xiamen. The bubbles have reached more than 30% in Bei Hangzhou and Zhuhai, and more than 20% in Shanghai, Dalian and Xiamen. While in Chengdu and zhou, the bubbles are even above 10%. The result can provide a reference for real estate investors, consumers and government policy makers.