基于状态空间模型的房地产价格泡沫问题研究

文章首先对房地产价格泡沫进行了理论界定,并对基础价值的特点进行了分析。随后在检验变量之间协整关系的基础上,建立了商品房供给与需求的状态空间模型,基础价值作为一种状态变量被纳入到模型中,从而对上海市房地产价格泡沫问题进行了实证研究。研究结果表明上海市房地产价格泡沫已经出现,并且近四年来平均泡沫程度达到22.5%。

Empirical Analysis on Real Estate Price Bubble Based on State-space Model

The rapid increase of Chinese real estate price in recent years will lead to excessive bubble risk. This paper firstly defines the real estate price bubble in theory and then analyzes the characteristics of fundamental value. Subsequently, the housing state-space models of supply and demand are established on the basis of analyzing the co-integration relationship among variables. In the models, the fundamental value is treated as a kind of state variable so as to accomplish the empirical analysis on real estate price bubble in Shanghai. The study results show that price bubbles have already appeared in Shanghai real estate market and the average degree of price bubble in the latest 4 years amounts to 22.5 percent.