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中南大学学报(社会科学版)
ZHONGNAN DAXUE XUEBAO(SHEHUI KEXUE BAN)

2012年08月第18卷第4期
   
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文章编号:1672-3104(2012)04-0001-07
 
基于VAR模型的房地产价格影响因素研究
 
罗孝玲,洪波,马世昌
 
(中南大学商学院,湖南长沙,410083)
 
摘  要: 运用向量自回归模型(VAR)对影响房地产价格的各宏观因素进行分析。建立了影响房地产价格因素的VAR模型,采用2001~2010年的季度数据为样本,定量地描述了各宏观因素对房地产价格的影响程度,并利用脉冲响应函数和方差分解分析各个因素对房地产价格的影响时滞、持续时间和作用强度。研究发现,房地产价格受往期价格及货币供给量影响较大;Granger因果关系检验表明房地产价格与GDP、贷款利率存在着双向Granger因果关系,与居民消费存在着单向Granger因果关系。
 
关键词: 房地产;VAR模型;定量;脉冲响应函数;方差分解;Granger因果关系
 
 
Research on the factors influencing the real estate prices based on VAR model
 
LUO Xiaoling, HONG Bo, MA Shichang
 
(Business School of Central South University, Changsha 410083, China)
 
Abstract: This article uses Vector Autoregression model (VAR) to analyze the macroeconomic factors that affect the real estate prices. We established a VAR model of the factors which influences the real estate prices, and used quarterly data of year 2001-2010 as the samples to quantitatively describe the impact of macroeconomic factors on real estate prices, and analyzed the time delay, duration and intensity that various factors have on the real estate prices by using impulse response function and variance decomposition. It has been found that real estate prices are greatly influenced by prior period price and money supply; Granger causality test shows that bi-directional Granger causality relationship exist between real estate prices and GDP, the loan rate, and there is unidirectional Granger causality relationship with the household consumption.
 
Key words: real estate; VAR model; impulse response function; variance decomposition
 
 
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