Abstract:
This paper tests and measures the real estate price bubble by the Markov Regime Switching model. Firstly, from the perspective of indirect measurement, theoretical models are built to determine the basic price of real estate. Secondly, the basic price of the real estate is taken away from its market price by employ the cointegration method, and with Markov Regime Switching model, the real estate price bubbles are tested and measured. Finally, the economic background and the reason of the real estate price bubble are interpreted, and relevant policy recommendations are put forward. The empirical results of this paper show that, real estate price bubbles in China are mainly concentrated in four phases during 2003-Oct. 2016. The first phase, which is from the first season of 2003 to the first season of 2004, is caused by the housing monetization reform. The second is from the second season of 2007 to the second season of 2008, which is the extension of the second phase, and spawned by the rapid economic growth. The third, which is from the first season of 2009 to the end of 2010, is originated from the huge currency issued by central bank, and the reaffirmation that real estate industry is a pillar industry of the national economy. The fourth is from the first season to the fourth season of 2013, and is caused by the adjustment of monetary policy aim to stabilize the growth of economy. The last is from year 2015 to 2016, and mainly shows the structural characteristic in economic shift period.
孟庆斌, 荣晨. 中国房地产价格泡沫研究——基于马氏域变模型的实证分析[J]. 金融研究, 2017, 440(2): 101-116.
lMENG Qingbin, RONG Chen. On Real Estate Price Bubbles of China: An Empirical Study Based on Markov Switching Mode. Journal of Financial Research, 2017, 440(2): 101-116.
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