基于动态戈登模型中国住房市场收益波动成因

基于动态戈登模型构建包含住房市场收益率、租金增长率、利率、人均可支配收入增速在内的向量自回归模型,采用中国五个主要城市1999年第二季度至2011年第二季度的数据分析了住房市场收益波动的原因.结果表明:租金增长消息对住房市场收益波动的贡献程度最高,利率消息次之,两者之间存在的相关性减弱了市场收益波动;利率消息对住房市场收益的影响时间长于预期收益消息和租金增长消息;各城市住房市场收益对不同消息的响应强度和速度均存在差异性.

Causes for Return Volatility in Chinese Housing Markets Based on Dynamic Gordon Model

To examine the characteristics of return volatility in Chinese housing market, this paper based on the dynamic Gordon model, selected 4 variables including market return, rental yield, risk-free interest rate, and per capita disposal income to establish the vector autoregression model, and then analyzed the influencing factors and dynamic features of return volatility of the housing markets in 5 major cities using 1999Q2-2011Q2 data. The results show that, the news of rental growth have the strongest impacts on the volatility in housing returns, followed by the interest rate news, and the expected return news as the weakest. The correlation between rental growth and interest rate lowers the return volatility. The impacts of expected return news and interest rate news on market return volatility are consistent in Chinese cities, but the news of the rental growth present the heterogeneous feature. The impacts of expected return news and rental growth news last for about 1 year, while the absorption of the interest rate news takes 2 years, and regional disparities are found for different Chinese cities in terms of response intensity and adjustment speed.