基于马氏域变的房地产泡沫存在概率研究

借鉴股票市场泡沫的研究方法,采用非齐次马氏域变思想对我国2001年1月到2010年12月的房地产市场泡沫进行了分析.通过Johansen协整检验方法从房价数据中分离出泡沫成份,使用极大似然估计方法估计出房价泡沫在两状态下的方差和转移概率的相关参数,进而求出各时期房价泡沫存在的概率.实证结果表明:第一,样本期间大部分时期内我国房地产价格存在泡沫的概率较小,但2009年4月至12月房价存在泡沫的概率较大;第二,提高贷款利率能够减小从无泡沫到有泡沫的概率,同时增加从有泡沫到无泡沫的概率.

Research on the Probability of Real Estate Price Bubble Based on Non-homogeneous Markov Process

This article analyzed the real estate price bubbles in China were from January of 2001 to December of 2010 by utilizing bubbles studies method of stock market.The bubbles were isolated by utilizing Johansen co-integration test,and maximum likelihood estimation was used to estimate the variance of the housing bubble in the two states and the transition probability parameters,and then the probability of house price bubble for each period was found.The results showed that:1) in most of the period,the probability of the bubble in real estate prices are smaller,but it is larger in April 2009 to December;2) raising the interest rate can reduce transfer probability from no bubble to bubble and increase the probability from bubble to no bubble.