房价、房价偏离与溢出效应：来自珠江三角洲的经验证据

利用国外较新的PMG估计法,探讨影响珠江三角洲商品房均衡价值的因素及房价偏离,并采用脉冲响应函数分析房价偏离在不同城市间的溢出效应。随着收入和人口的增加,房价加速上涨;经济越发达的城市,房价收入比越大,房价的增长速度更快、波动更为剧烈。人均可支配收入是推动房价上涨最重要的长期因素,通货膨胀次之,贷款最小;但贷款、通货膨胀是主要的短期推动力。虽然珠江三角洲地区房价总体上没有明显的泡沫,但波动很剧烈,一旦发生调整,其幅度将很大。除江门外,其他城市只对深圳房价偏离的冲击做出响应,而深圳对其他城市房价偏离的冲击没有响应;江门房价更多的受到来自中山和珠海的影响,深圳是珠江三角洲房价波动的源头。     

中国城市生产性服务业集聚模式选择的经济增长效应*——基于行业、地区与城市规模异质性的空间杜宾模型分析

本文基于新经济地理学的分析框架,利用2003-2012年中国285个地级及以上城市的统计数据,运用空间杜宾模型实证检验了中国城市生产性服务业模式选择的经济增长效应。结果显示,中国城市生产性服务业的专业化集聚、多样化集聚与经济增长都存在显著的空间相关性。生产性服务业集聚模式选择对经济增长的影响效应受到行业结构、地区差异和城市规模的约束：低端生产性服务业集聚的中小城市选择专业化集聚模式可以促进经济增长,而高端生产性服务业集聚的大城市和特大城市更适合选择多样化集聚模式。生产性服务业的多样化集聚模式在全国层面和区域层面（东部、中部、西部）都能够推动经济增长,而生产性服务业专业化集聚对中部地区的经济增长也能存在显著的正向影响,这得益于生产性服务业专业化集聚对经济增长的空间溢出效应。提升市场潜力和人力资本不仅对本地区经济增长具有显著的正向影响,而且对周边地区经济增长也存在明显的促进作用和空间溢出效应。     

Capital Inflows and House Prices: Aggregate and Regional Evidence from China

Rising house prices in China have been of concern for investors and policymakers. Prices have risen substantially in the last decade, especially in large urban cities, and some economists have expressed concerns about the affordability of residential housing for young adults. This phenomenon becomes a major concern for policymakers, in terms of managing policies to balance the residential needs of individuals and the transition to a market economy. Theoretically, house prices ought to be linked to economic factors such as disposable income, availability of land to build and credit policy. However, it appears that traditional economic theories fail to appropriately explain house prices in China. We provide an explanation from the perspective of capital inflows into China. In terms of per capita remittances, China receives the highest inflow of foreign capital, and this may have a significant impact on risk adjusted returns in the Chinese market. To investigate this relationship, we use the vector error correction model to assess the impact of capital inflows on house prices. We find that capital inflows have a significant positive effect on house prices. The study makes important contributions to understanding the relationship between house prices and foreign remittances after controlling for other economic factors. China is a large economy. Because the impact of economic development in China has not been consistent across the country, we address the regional differences in the house price changes to capital inflows. Using regional data, we show that capital inflows have an asymmetric effect on the housing market across different provinces and cities of China. This has important implications for the development of economic policies in China that aim to provide fair access to residential housing for everyone. These findings are also relevant to investors in the housing market, whether investing for a personal residential home or as part of their diversified investment portfolio. It will also be informative to see how a reversal of capital inflows associated with tighter financing conditions in advanced countries will affect house prices in China.     

城市化对房价的影响:线性还是非线性?——基于四种面板数据回归模型的实证分析

文章从线性和非线性两个角度分析了中国城市化进程对房价的影响。通过对各省历年房价和城市化的核密度估计空间分布分析,发现城市化和房价之间存在明显的正相关性,并且各省份的城市化和房价水平存在"双峰"分布特征和空间相关性。这说明在分析城市化对房价的影响时应考虑可能的门限效应和空间溢出效应这两种非线性关系。据此,文章基于中国30个省份1998-2009年的面板数据,使用普通面板回归、空间面板回归、门限面板回归和平滑门限面板回归这四种模型进行分析发现,城市化水平对本地区和相邻地区的房价均具有显著的促进作用,且在经济增长水平较高、人力资本集聚的地区,城市化对房价的促进作用更加显著。     

房价对居民消费的跨空间影响*——基于中国278个城市空间面板数据的实证研究

本文首先基于住房财富效应,构建了房价变动对居民消费的跨空间影响的分析框架。该框架阐释了住房财富效应的区域差异：不同地区间房价的空间传导、居民的异地消费以及消费的示范效应,使得本地房价变动可能引起周边地区居民消费的连锁反应。其后,本文利用中国278个地级市2000—2018年数据,通过空间面板杜宾模型,实证考察了不同地区住房财富效应的差异,以及房价变动对居民消费的跨空间影响。结果显示：（1）虽然中国整体上存在住房财富效应,但西部城市财富效应并不显著,并且核心城市还存在负财富效应。（2）不同城市间房价对消费存在跨区影响。东部城市和核心城市对周边城市消费的正向影响很显著,而边缘城市则对周边城市消费有显著的负向影响。（3）不同城市间的消费也具有空间上的示范效应。最后,本文从房价和居民消费空间联动的视角,为政府扩大内需、调控房地产市场提供了相关政策建议。     

Modelling Regional House Prices in the UK

Maximum likelihood cointegration methods are used to analyse the determinants of house prices in each of the eleven regions of the UK. Broad similarities in the structure of house price equations are found across regions in England and Wales (but not Scotland or Northern Ireland), indicating that the source of differences in English and Welsh regional house prices should probably be sought in different regional incomes, opportunity costs, and housing starts. Tests of spatial dependence in regional house prices cast doubt on the well-known 'ripple effect' hypothesis.     

房价对居民消费的跨空间影响*——基于中国278个城市空间面板数据的实证研究

本文首先基于住房财富效应，构建了房价变动对居民消费的跨空间影响的分析框架。该框架阐释了住房财富效应的区域差异：不同地区间房价的空间传导、居民的异地消费以及消费的示范效应，使得本地房价变动可能引起周边地区居民消费的连锁反应。其后，本文利用中国278个地级市2000—2018年数据，通过空间面板杜宾模型，实证考察了不同地区住房财富效应的差异，以及房价变动对居民消费的跨空间影响。结果显示：（1）虽然中国整体上存在住房财富效应，但西部城市财富效应并不显著，并且核心城市还存在负财富效应。（2）不同城市间房价对消费存在跨区影响。东部城市和核心城市对周边城市消费的正向影响很显著，而边缘城市则对周边城市消费有显著的负向影响。（3）不同城市间的消费也具有空间上的示范效应。最后，本文从房价和居民消费空间联动的视角，为政府扩大内需、调控房地产市场提供了相关政策建议。     

Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

The price discovery and spillover effect are significant indicators in futures markets. This study examines the price discovery and spillover effects using vector error correction model and generalized autoregressive conditional heteroskedastic for seven types of steel products in Chinese spot and futures markets. The results show that the price discovery exists in all of steel futures market. It is also confirmed that futures prices in all items are mainly leading spot prices via permanent-transitory and information share. In the results of spillover effects, it is found that wire rod, coking coal, coke and silico-manganese have the effects between spot and futures market. In rebar market, there is the spillover effect from spot to futures. This information about futures prices can help the market participants to make decisions when they predict the spot prices.     

国际石油价格与通货膨胀的溢出效应及动态相关性

国际石油价格大幅波动不可避免地给全球经济带来了一定程度的冲击和影响。文章采用向量自回归、多元GARCH-BEKK和DCC-GARCH模型对中美两国通货膨胀与国际石油价格之间的均值溢出效应、波动溢出效应及动态相关关系进行了实证检验。检验结果表明,国际石油价格与中国通货膨胀不存在任何方向的均值和波动溢出效应,美国通货膨胀与国际油价则存在双向显著的均值和波动溢出效应;中国通货膨胀与国际油价的动态相关关系显著弱于美国,不易受到国际油价的冲击和影响。从整体上看,当前中国通货膨胀与国际石油价格的关联性并不显著,但随着我国石油消费对进口依赖程度的不断提高,石油安全问题在可预见的未来将成为中国需要应对的一个现实挑战。因此,相关部门应及早采取有效措施,应对未来石油冲击对宏观经济的影响。     

The public sector and convergence with spatial interdependence: empirical evidence from Spain

We propose a framework to analyse convergence between regions, incorporating the public sector and technological knowledge spillovers in the context of a Neoclassical Growth Model. Second, we apply novel estimation methods pertaining to the spatial econometrics literature introducing a spatial Durbin panel data model based on instrumental variables and maximum-likelihood estimation. Our model makes it possible to analyse, in terms of convergence, the results obtained in Spanish regions with the policies implemented during the period 1980–2011. The results support the idea that education and fiscal policies have a positive effect on regional development and cohesion. Therefore, we can conclude that it is possible to obtain better results for regional convergence with higher rates of public investment in education and tax revenues. We also obtain interesting results that confirm the existence of spillover effects in economic growth and public policies, identifying their magnitude and significance.     

多中心空间结构促进了城市群协调发展吗?--基于形态与知识多中心视角的再审视

多中心空间结构作为谋求空间均衡发展的重要政策工具和手段,其是否促进了区域协调发展,目前尚有争论。通过分别采用城市人口数据以及Web of Science核心数据库中的知识信息流数据来测度八大城市群2000-2016年形态多中心和知识多中心程度变化。其次,利用我国八大城市群143个地级以上城市面板数据和考虑双重差分的空间计量模型实证检验了形态和知识多中心空间结构对城市群协调发展的影响。结论显示:虽然形态多中心空间结构对于实现城市群协调发展作用效果不显著,但知识多中心空间结构却能通过借用规模行为以及空间溢出效应的差异间接实现城市群的协调发展。     

沿海地区金融空间关联的经济效应研究——以山东省为例

金融作为经济增长核心助推器,对其空间集聚与扩散的经济效应准确识别,是沿海地区发展蓝色经济的关键所在。本文以山东省为例,通过建立金融发展空间关联网络识别区域的金融空间关联关系,基于此设计金融关联空间权重矩阵,对金融空间关联的经济效应进行检验。结果表明：山东省城市间金融发展具有稳健的空间关联性;区域金融发展水平同区域经济发展之间存在显著正向促进效应,金融发展能有效拉动本区域经济状况,对周边区域经济正向拉动效应相对微弱。建议从加快推进区域一体化进程,加强城际间金融交流合作,鼓励金融创新发展等方面充分发挥金融发展正向溢出效应,拉动沿海地区蓝色经济向好发展。     

Asymmetric responses of house prices to changes in the mortgage interest rate: evidence from the Australian capital cities

We examine the dynamic and asymmetric responses of house prices to changes in mortgage interest rates in Australia from January 1995 to November 2017. We propose a threshold intervention model to distinguish between the effects of positive versus negative changes in the standard variable interest rate. The results indicate that rising interest rates decrease house prices more than falling interest rates increase them. For example, a 1% decrease in interest rates increases Sydney’s house prices by 0.7%, whereas a 1% increase leads to a 1.5% fall. The findings also support the view that when interest rates are on the rise, house prices in larger capital cities such as Sydney and Melbourne fall faster than in their smaller counterparts. Our findings imply that a rise in interest rates may thus lead to sharp, fast and significant falls in house prices, a phenomenon which will not simply be a symmetric unwinding of earlier price increases.     

中国区域经济分化与空间动能解析

1949—2019年，中国各省份经济总量不平等程度先下降后上升，在近十年的短周期内也呈现先下降后上升的态势；而人均实际GDP不平等程度则处于水平波动的状态，近年来呈现σ趋同态势，并在2019年出现β趋同的新迹象。创新能力较弱、政府债务率偏高和劳动人口占比偏低是当前落后地区增长动能匮乏的重要原因。研发支出、资本存量和就业规模是区域经济差距形成的主要原因，可以解释1999—2019年省级层面GDP差异的889%和人均GDP差异的591%，其中研发支出与就业规模是地区GDP总量分化的主因，研发支出与资本存量是地区人均GDP分化的主因。空间计量分析发现，中国区域经济增长的空间溢出效应显著存在，但研发支出、资本存量和就业规模的空间溢出效应存在明显区别，仅周边研发支出对地区经济增长存在正向空间溢出效应，并且东中西三大经济带的空间溢出效应存在一定差异。     

基于MESS模型的服务业影响因素及空间溢出效应分析——以浙江省69个市县为例

基于矩阵指数空间规范(MESS)模型,文章以浙江省69个市县为例,采用Bayes方法对服务业的影响因素进行了空间计量分析。研究发现,浙江省各市县的服务业存在显著的空间相依性和空间异质性。地区的服务业从业人员比例、人口密度、工业产值以及地方财政支出占GDP的比例不仅对本地区的服务业增长有显著的促进作用,还对邻近地区的服务业有正向溢出效应;而地区的全社会固定资产投资对服务业的发展则是一个抑制性因素。     

Ripple effect in house prices and trading volume in the UK housing market: New viewpoint and evidence

This study adopts the data of house prices and trading volume in the overall UK housing market and in the housing markets in the 10 major regions in the UK to estimate the ripple effect in the trading activities in the housing markets. First, this study details why the ripple effect occurs in the housing market price and volume using static and cobweb dynamic models. The results of the panel-based unit root tests indicate that the relative price and volume ratios show constancy, signifying that long-run equilibrium relationships exist between the regional and national housing markets in the UK. The frequency of the transaction volume convergence behavior is higher than that of the overall house prices.     

基于三维距离的省域创新绩效空间溢出效应研究

运用空间计量模型对2010-2019年28个省份面板数据实证分析,研究省际创新绩效溢出效应空间格局,分析三维距离对省域创新绩效空间溢出影响,探索通过区域创新能力构建促进创新强省创新绩效正向空间溢出效应。研究发现：省域创新绩效由低向高增长阶段对邻近省域产生回流效应;在高位增长阶段,对空间邻接和地理距离邻近、经济水平差距大的省域具有回流效应;对空间邻接、地理距离邻近和经济距离邻近省域产生正向空间溢出效应。经济发展水平越接近,原始创新力对区域创新绩效溢出效应的促进越明显,且呈倒U型曲线趋势;经济水平差距是技术创新力直接效应与间接效应差距的关键因素;空间邻接和地理距离邻近是成果转化力空间正向溢出的关键因素。     

Interest Rates,Local Housing Markets and House Price Over‐reactions

Understanding the effects of interest rates on city‐specific house price to household income ratios is important for managing local housing markets. In particular, there is concern that keeping interest rates at sufficiently low levels can distort the relationship between local house prices and fundamentals. We use house price to income ratios across capital cities in Australia to investigate this issue and show that there is a national interest rate ‘transition’ point below which housing dynamics can become unstable. This result lends support to the presence of a duration‐dependent threshold effect (hitherto mainly explored in theoretical models).     

宏观共同因子、特质因子以及货币政策对中国各线城市房价的影响——基于FAVAR模型

运用FAVAR模型,将中国各线城市房价分离出宏观共同因子和特质因子部分,研究了各因子及货币政策对房价的影响。研究发现:大城市的房价更易受宏观共同因子和地区特质因子的影响,且变动的持续性更大;共同因子可在很大程度上解释房价变动的持续性和波动性;共同因子对房价的影响较为持久,而地区特质因子只在短期内影响房价;利率和货币供应量可以有效地影响房价;相比利率,货币供应量对一线和二线城市房价水平的影响更大,对各线城市房价波动的影响更为持久;一线城市的房价水平及其波动对货币政策冲击的敏感度较高,二线城市的敏感度居中,三线城市的敏感度较低;未发现货币政策的"价格之谜"现象,表明本文模型设定的合理性较强。     

我国商品房销售价格的影响因素——基于空间面板计量模型的实证分析

运用空间面板计量模型,利用2000—2009年中国31个省域的面板数据,实证分析了我国商品房销售价格与其影响因素的关系。实证结果显示:空间面板计量模型的拟合效果更好、解释力更强;我国的商品房销售价格存在正向的空间相关性,相邻地区商品房销售价格的提高能够推动本地区商品房销售价格的提高;城镇居民收入水平、城镇化水平、第三产业发展水平和对外开放程度对商品房销售价格有正向推动作用,政府对经济的干预程度和工业化水平的提升有助于降低商品房销售价格。