南京农业大学学报：社会科学版
南京農業大學學報：社會科學版
남경농업대학학보：사회과학판
Journal of Nanjing Agricultural University(Social Science Edition)
2012年
1期
74~79
,共null页
住宅地价 增长率波动 经济周期理论 HP滤波 ARCH类模型
住宅地價 增長率波動 經濟週期理論 HP濾波 ARCH類模型
주택지개 증장솔파동 경제주기이론 HP려파 ARCH류모형
Residential Land Price;Growth Rate Fluctuation; Business Cycle Theory; HP Filter; ARCH-type Model
基于经济周期理论并借助HP滤波法，分析了我国住宅地价增长率从1998年第1季度至2011年第2季度的周期波动特征，结果表明住宅地价增长率波动的周期性特征非常明显且波动幅度日益加强。接着利用ARCH类模型分析了住宅地价增长率的波动特征，发现住宅地价增长率具有显著的集簇性，没有高风险高回报的特征，并具有与股票市场恰好相反的杠杆效应。最后提出了相应的政策建议。
基于經濟週期理論併藉助HP濾波法，分析瞭我國住宅地價增長率從1998年第1季度至2011年第2季度的週期波動特徵，結果錶明住宅地價增長率波動的週期性特徵非常明顯且波動幅度日益加彊。接著利用ARCH類模型分析瞭住宅地價增長率的波動特徵，髮現住宅地價增長率具有顯著的集簇性，沒有高風險高迴報的特徵，併具有與股票市場恰好相反的槓桿效應。最後提齣瞭相應的政策建議。
기우경제주기이론병차조HP려파법，분석료아국주택지개증장솔종1998년제1계도지2011년제2계도적주기파동특정，결과표명주택지개증장솔파동적주기성특정비상명현차파동폭도일익가강。접착이용ARCH류모형분석료주택지개증장솔적파동특정，발현주택지개증장솔구유현저적집족성，몰유고풍험고회보적특정，병구유여고표시장흡호상반적강간효응。최후제출료상응적정책건의。
Based on the business cycle theory and with the help of the HP filter method, this paper analyzed the fluctuation characteristics of residential land price from the first quarter of 1998 to the second quarter of 2011. The result indicated that the cycle fluctuation appears and the range of fluctuation gets wider. Based on this finding, this paper further investigated the price fluctuation with the following models： ARCH-type, including GARCH, GARCH-M and TARCH. The result showed that the residential land price takes on the significant volatility clustering, without the characteristics of high-risk and high-reward. Another finding indicated that there exists a significant conditional heteroskedasticity but the leverage effect on land market is different from the one in the stock market. Finally, this paper put forward some corresponding policy recommendations.
