摘要
本文从风险网络视角出发,以我国69个大中城市的房价波动率为研究对象,运用LASSO-VAR模型构建城市间房价波动溢出网络,在此基础上考察房价波动总体溢出和方向性溢出特征,分析不同等级、不同区域城市间房价波动溢出效应,并探讨城市间强房价波动溢出结构。研究发现:第一,我国城市间房价波动溢出效应显著存在,并且各城市房价波动溢出水平的变化范围大于溢入水平。同时,房价波动溢出水平较高的城市,其溢入水平也普遍较高;溢出水平较低的城市,其溢入水平差异较大。第二,一二三线城市的房价波动溢出水平依次降低,而且一线对二三线、二线对三线城市的溢出水平均高于反方向溢出,不同等级城市的房价关联具有显著的非对称性。第三,东部城市的房价波动溢出水平最高、溢入水平最低,西部城市正好相反。此外,同区域城市间房价波动溢出强度不一定大于跨区域溢出强度。第四,我国城市间强房价波动溢出网络具有显著的“无标度特性”和时变特征,东部城市、二线城市具有较强的强房价波动溢出能力,而且随着时间推移,二线城市强房价波动溢出能力不断增强。
From the perspective of risk network,this paper takes the housing price volatility of 69 large and medium-sized cities in China as the research object,and uses the LASSO-VAR model to build the spillover network of housing price volatility among cities.On this basis,we investigate the total spillover and directional spillover characteristics of housing price volatility,analyze the spillover effect of housing price volatility among different grades and regions,and discuss the structure of strong housing price volatility spillover among cities.The study found that:First,there is a significant spillover effect of housing price volatility among cities in China,and the fluctuation range of the spillover-to level of housing price volatility in 69 cities is greater than the spillover-from level.In addition,cities with higher levels of housing price volatility spillover-to have higher spillover-from levels;cities with lower spillover-to levels have greater differences in spillover-from levels.Second,the levels of housing price volatility spillover in first-tier,second-tier,and third-tier cities decrease sequentially,and the spillover levels from the first-tier to the second-and third-tier and from the second-tier to third-tier are higher than those in the opposite direction.That is to say,the connectedness of housing price volatility in cities of different grades has significant asymmetry.Third,the eastern cities have the highest level of housing price volatility spillover-to and the lowest level of spillover-from,while the western cities are just the opposite.In addition,the spillover intensity of housing price volatility among cities in the same region is not necessarily greater than the spillover intensity across regions.Fourth,the strong housing price volatility spillover network in China has significant“scale-free”and time-varying characteristics.Eastern cities and second-tier cities have strong housing price volatility spillover ability,and as time goes on,the strong housing price volatility spillover ability of
作者
李政
王雪杰
刘淇
LI Zheng;WANG Xue-jie;LIU Qi
出处
《中央财经大学学报》
CSSCI
北大核心
2021年第4期114-128,共15页
Journal of Central University of Finance & Economics
基金
国家社会科学基金一般项目“债务违约与资产价格下跌叠加冲击下系统性金融风险的跨部门传染机理与溢出效应研究”(项目编号:19BJY262)。
