Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study

This study investigates whether there was a housing price bubble in Beijing and Shanghai in 2003. The existence of a bubble can be interpreted from (abnormal) interactions between housing prices and market fundamentals. This paper introduces an enhanced framework, with the combination of standard econometric methodologies: i.e., Granger causality tests and generalized impulse response analysis, and the reduced form of housing price determinants. A test case in Hong Kong, between 1990 and 2003, is included to test the reliability of our methods because Hong Kong has experienced the formation and bursting of a huge housing bubble around the year 1997. It is found that the pattern and magnitude of the estimated bubbles conform quite well to the discrepancies between the actual and predicted prices. Also, the findings suggest that there appeared a bubble in Shanghai in 2003, accounting for 22% of the housing price. By contrast, Beijing had no sign of a bubble in the same year. The bubble phenomenon, of course, should be taken with cautions. Nonetheless this study has laid the groundwork for further investigations in abnormal housing price phenomena in Mainland China.     

大陆与台湾股指期货价格发现功能比较研究

本文利用日内15分钟交易数据,对大陆与台湾股指期货的价格发现功能进行了比较,发现沪深300股指期货和现货间存在双向价格引导关系,但在信息传导效率上,期货领先现货,对台湾市场而言,仅存在期货对现货的单向引导关系;期货市场在长期价格发现功能中占主导地位,但台指期货的主导作用要强于沪深300股指期货。文章从投资者结构、合约设计、交易制度等影响因素分析了两岸股指期货价格发现功能的差异,并提出改善大陆股指期货价格发现功能的建议。     

Sectoral Responses of the Chinese Stock Market to International Oil Shocks

We investigate the relationship between international oil shocks and the sectoral dynamics of the Chinese stock market. Our empirical results show that the behavior and response to international oil shocks by the Chinese stock market differ significantly from the behavior and responses of the European stock market as documented in the literature. In China, only the mining industry has a strong and consistent link with international oil shocks when systematic risk factors are controlled. There is no clear evidence of asymmetries in China's sectoral stock-oil relationship.     

基于VAR模型对CPI与房地产价格关系的实证分析

随着经济的不断发展,物价波动与房地产价格之间的关系逐渐成为关注的焦点。本文选取我国2006年1月至2010年12月的CPI和房屋销售价格指数月度数据,建立VAR模型。通过格兰杰因果检验发现:房地产价格和物价波动之间存在单向的因果关系。通过脉冲响应函数进行分析,表明房屋销售价格指数对CPI有着正向的作用。方差分解的结果说明在长期CPI的变动很大程度是由房屋销售价格指数引起的,房地产市场价格波动受自身因素的影响较大。     

商贸服务业发展对农产品价格波动影响的实证研究

以中国1980~2014年共35年宏观经济数据为样本,采用向量误差修正模型、脉冲响应函数及方差分解等方法,考量商贸服务业对农产品价格波动的动态影响。结果表明：批发零售对农产品价格存在时滞的、长期且稳定的负向影响;交通运输短期内会对农产品价格产生负向影响,但这一影响不能持续;长期来看,其投资额的增加会推动农产品价格的上涨。为此,要加大力度建设农村商贸流通体系,加快发展涉农批发及零售业,大力发展涉农现代物流业。