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。

Explain the Residential Real Estate Prices --a case of Shanghai

This work uses Shanghai monthly residential real estate prices between January 1998 and July 2013, aided with the ARMR model, to try to explain how Shanghai housing prices evolve in the studied period. We find that our ARMR model fits the actually observed data very well. There has been a monthly growth of 0.77% in Shanghai residential real estate prices, and the autoregressive coefficient shows that about 43% of the previous two months＇ growth is carried over into the current month. The mean reversion coefficient shows that if the previous month＇s housing price is 1% higher/lower than the equilibrium level, the current month＇s housing price growth is decreased/increased by about 0.022%.