CAJ | 학술논문

本文选择1999至2009年的中国房屋销售价格指数、GDP、货币供应量M2和人均可支配收入的季度数据作为研究样本，通过建立状态空间模型并运用卡尔曼滤波对其估计和分析，分别得到了以上因素对房价影响力的动态特性。由此得出的结论主要包括：人均可支配收入和货币供应量是长期内影响房价的两个主要因素，前者对房价的影响稳定而后者的影响波动较大，此外GDP是另一个对房价影响稳定但影响力稍弱的因素；在2009年中国总体房价快速上涨的过程中，货币供应量对房价的影响强度明显超过了其他两个因素。
본문선택1999지2009년적중국방옥소수개격지수、GDP、화폐공응량M2화인균가지배수입적계도수거작위연구양본，통과건립상태공간모형병운용잡이만려파대기고계화분석，분별득도료이상인소대방개영향력적동태특성。유차득출적결론주요포괄：인균가지배수입화화폐공응량시장기내영향방개적량개주요인소，전자대방개적영향은정이후자적영향파동교대，차외GDP시령일개대방개영향은정단영향력초약적인소；재2009년중국총체방개쾌속상창적과정중，화폐공응량대방개적영향강도명현초과료기타량개인소。
In this paper, with the quarterly data of housing price, GDP, money supply M2 and disposable income per capita in china from 1999 to 2009, a state space model is developed and estimated using Kalman Filtering to examine the dynamic characteristics of the corresponding impacts of these factors on housing prices. The main results show that disposable income per capita and money supply are two major factors that affect the housing price in China for a very long time. The impact intensity of the former is stable but that of the latter is volatile. GDP is another factor with stable and less impacts. Money supply has dramatically surpassed the other two factors and becomes the dominant one within the period of rapid rise in housing prices in 2009.