基于CEEMD的重大事件对香港住宅价格影响的实证分析

应用互补集成经验模态分解（CEEMD）方法对香港1997―2018年的住宅价格月度数据进行了分解，将经过重构后的数据分成高频序列、低频序列与残差项。将BP多断点检测应用于低频序列，并结合样本时段内的重大事件进行实证分析。结果表明：1997年亚洲金融风暴对房价的影响大于2008年金融危机；外部经济体的救市政策间接地影响香港房价；在经济不景气的大环境下“孙九招”政策没有立即见效；资本投资者入境计划、住房供给调整与按揭贷款调整对房价的影响较为显著；税收调整对房价影响不显著、对交易量影响显著；SARS爆发使住宅价格下降约1%。

The impact of major events on Hong Kong housing prices: A CEEMD based empirical analysis

Monthly housing price data of Hong Kong from 1997 to 2018 are decomposed by the complementary ensemble empirical mode decomposition (CEEMD). Then the reconstructed data are divided into high frequency series, low frequency series and residuals. Bai-Perron multi-breakpoint detection is applied to the low frequency series, and the impact of the major events in the sample period is analyzed. The results show that the impact of the 1997 Asian financial crisis on housing prices is greater than the 2008 financial crisis; the rescue policies of external economies indirectly affected the housing prices in Hong Kong; the Capital Investment Entrant Scheme, housing supply adjustment and mortgage adjustment have a significant impact on house prices; tax adjustments have no significant influence on house prices, but affect transaction volume obviously; SARS outbreak causes the housing prices to fall by around 1%.