CAJ | 학술논문

中国住房市场上存在一种经验法则：居民与实务界倾向于将租金收益率与名义存款利率比较以作为购房还是租房的依据。本文从通货膨胀可能同时引起租金收益率和名义利率变动的角度，检验了该法则是符合理性的代理假设与通货膨胀风险溢价假设，还是非理性的货币幻觉假设。通过将京沪广深四个城市的历史租金收益率分解为理性预期真实租金增长率、主观风险溢价以及主观预期租金增长偏离理性预期租金增长而导致的错误定价三个时变部分，本文发现：代理假设在四个城市住房市场均成立，通货膨胀风险溢价假设仅在北京成立，而货币幻觉现象存在于北京与上海。结论表明中国住房市场投资者的乐观预期可能是导致房价膨胀与租金收益率下行所不能被忽视的重要理性因素。
중국주방시장상존재일충경험법칙：거민여실무계경향우장조금수익솔여명의존관리솔비교이작위구방환시조방적의거。본문종통화팽창가능동시인기조금수익솔화명의리솔변동적각도，검험료해법칙시부합이성적대리가설여통화팽창풍험일개가설，환시비이성적화폐환각가설。통과장경호엄심사개성시적역사조금수익솔분해위이성예기진실조금증장솔、주관풍험일개이급주관예기조금증장편리이성예기조금증장이도치적착오정개삼개시변부분，본문발현：대리가설재사개성시주방시장균성립，통화팽창풍험일개가설부재북경성립，이화폐환각현상존재우북경여상해。결론표명중국주방시장투자자적악관예기가능시도치방개팽창여조금수익솔하행소불능피홀시적중요이성인소。
This paper considers that inflation may cause rental yield co -movement with nominal interest rate. We decompose the realized rental yield of four major cities into three time - varying components ： a negative rational expected real rent growth rate, the subjectively expected risk premium, and a mispricing term attributed to subjective rent growth deviating from rational rent growth. The empirical results show that the proxy hypothesis is found in four cities＇ housing market, and the risk premium hypothesis is found only in Beijing. In addition to the above, we also find the money illusion phenomenon exists in Beijing and Shanghai housing market. Our empirical results are significantly different from the existing literature.