基于向量自回归的存量住房房价租金比分析

1998年住房制度改革以来,房屋销售价格和租金均呈上涨趋势,但两者在增速上有明显的不同。本文基于动态Gordon模型,用一阶向量自回归的方法研究了8个城市房地产市场预期和非预期的房价租金比,结果表明向量自回归模型预测杭州、深圳、武汉、成都、北京的对数房价租金比效果较好,上海的房价租金比最不容易预测。未预料到的房价租金比的决定有明显的地区差异,西部地区的城市主要受租金流新信息的影响,长三角城市受收益率新信息的影响非常大,其他地区的城市主要受收益率新信息的影响。

Analysis of China Housing Priceto Rent Ratio Based on Vector Autoregressive Model

Since 1988 housing prices and rents in China have gone up but in different speed.Based on dynamic Gordon model,this paper uses a vector autoregressive model(VAR)to predict eight cities’ housing price to rent ratios and decompose their variances.The VAR yields two main results.First,VAR has good power to predict five cities’ housing price to rent ratios.Second,except in Chengdu and Xi’an,unexpected housing price to rent ratio is primarily driven by new information about future housing market returns.