我国期货价格短期大幅波动分析

国内外证券期货市场多次出现价格"闪崩"事件,冲击市场稳定性。近期CFTC发布报告,认为美国期货市场价格的短期大幅波动与市场波动率、经济数据发布等经济基本面因素有关,与流动性等市场自身结构因素无关。本文通过对我国期货市场的实证研究发现,除了市场波动率、经济数据发布等基本面因素外,市场流动性差是诱发我国期货价格短期大幅波动的显著因素。     

房价走高的理性分析--以上海为例

需求、供给与商品房价格 按照经济学的基本原理,价格是商品价值的体现.在市场经济条件下,供给和需求的相互作用是价格形成的决定因素,因此,价格的高低反映着市场供需关系的变化及商品的稀缺程度.沿着这一思路,我们可以发现,上海等城市房地产价格走高离不开其经济的基本面.     

北京市新建商品住宅市场回顾与预测:2005-2006

本文从各种市场统计数据入手,结合经济基本面和宏观调控措施的影响,从开发投资规模、土地供给、市场供求关系和价格变化等方面,对2005年北京市新建商品住宅市场的整体走势和基本特点进行了分析总结,预测了2006年的市场发展趋势,并提出了若干政策建议.     

沈阳市经济适用房投入比对商品房价格影响的实证分析

从定量的角度说明沈阳市经济适用房投入比对商品房价格的抑制作用。根据2002~2012 年沈阳市统计年鉴提供的沈阳市经济适用房、商品房相关数据,以Eviews6.0 为操作平台,通过单位根检验论证数据具有可分析性,通过协整关系检验论证变量间存在某种长期关系,最后通过因果关系检验和误差修正模型的构建论证变量间存在单项因果关系。实证结果表明,经济适用房投入比对商品房价格存在抑制作用,经济适用房投入比平均每增加 1%。商品房价格将降低0.08%。     

期货市场促进了经济增长吗

期货市场的价格发现和风险管理功能有助于实体经济的发展,但期货市场在多大程度上影响了经济增长?本文基于国内外期货市场发展的实践,运用ADF检验、协整检验和格兰杰因果检验等计量工具,对期货市场与经济增长之间的关系进行了实证分析。结果表明,无论国际国内,期货市场对经济增长均具有重要的促进作用,我国尤为明显。同时,相对于商品期货市场,我国金融期货市场的发展一定程度上落后于现实经济的需求,有必要进一步大力建设完善。     

影响我国农村经济增长因素的VAR模型分析

基于VAR模型,应用协整关系检验、误差修正模型以及格兰杰因果关系检验等方法对1983—2012年我国农业相关时间序列数据进行了检验,验证了我国农村金融发展水平、农产品价格以及农作物的受灾比例对农村经济增长的贡献。实证结果表明,以上变量具有长期的协整关系,金融发展水平与经济增长具有双向格兰杰因果关系、农产品价格是农村经济增长的格兰杰原因。并据此提出深化农村金融体制改革,防止农产品价格过度波动,建立自然灾害基金及农业保险等对策建议。     

融资融券对标的股票价格影响的研究

融资融券具有放大证券供求、增加股市流通性、稳定与发现价格等重要功能,自2010年在A股市场推行以来,该业务得到快速发展。但由于受标的股票基本面信息和信息披露状况不同的影响,融资融券交易对股价波动的影响并不具有一致性,文章在融资融券改善股价信息含量的理论分析基础上,通过协整检验、个体固定效应模型、个体随机效应模型对绩优标的股和绩差标的股的面板数据进行实证研究,发现融资交易对标的股价有助涨作用且对绩差股的助涨效应更强,融券交易对标的股价有稳定作用但是对绩差股的稳定作用较弱。     

我国锌期货市场价格发现功能的实证分析

本文通过锌的期货价格与现货价格走势图分析、ADF检验、协整检验、格兰杰因果检验及误差修正模型来研究上海市场锌的期货和现货价格之间的关系,从而考察我国锌期货市场功能如何。本文研究的结果显示,锌期货市场具有一定价格发现功能,且相对锌现货市场,有引导作用。     

基于VAR模型的我国玉米期货价格与现货价格相关性分析

本文通过研究2014年1月2日—2019年5月10日大连商品交易所玉米期货主力合约价格和锦州港玉米现货价格的数据,使用Stata15软件运用VAR模型做ADF单位根检验、协整检验、格兰杰因果检验、脉冲响应函数以及方差分解等方法进行实证分析,得出玉米期货价格和现货价格具有高度相关性、存在长期协整关系,玉米期货价格和现货价格互为格兰杰因果关系,玉米期货市场功能得到有效发挥。     

国际钢铁价格明显回升

近日，国际钢铁类公司股票价格大幅上涨，业内人士认为，钢铁股价上涨与基本面的好转，特别是全球钢材价格出现明显回升有直接关系。     

Housing price dynamics and bubble risk: the case of Turkey

Abstract

Housing prices have increased substantially in some emerging markets in recent years. Turkish housing market has also experienced a boom over the last decade with rapid house price appreciations. This study is the first to employ two different house price indexes to analyze housing bubble in Turkey in two different time periods, 2010:M1–2014:M12 and 2007:M6–2014:M12. We first capture the determinants of housing price by employing Bounds test and then examine whether rising house prices have been justified by fundamentals by employing OLS/FMOLS/DOLS, Kalman filter and ARIMA models. The Bounds test results suggest that there is a long-term cointegration among house price indexes and housing rent, construction cost and real mortgage interest rate. The results imply that the Turkish housing market has experienced some cases of overvaluation, but not bubble formation. This evidence has several implications for house price dynamics and risks in the Turkish housing market. Based on Turkish experience, the study also draws policy implications for emerging housing markets.     

Prices and price expectations in the market for owner occupied housing

Many researchers working with analyses and predictions of the prices of owner occupied houses have found that econometric models based on ‘economic fundamentals’ fail to explain more than a fraction of the movements of the prices. This is especially the case in periods of rapid change. Often, this failure is attributed to psychological factors such as price expectations among the market participants. This paper compares observed market prices and equilibrium prices under three different hypotheses of the formation of price expectations. The results from the investigations indicate that price expectations are formed through an extrapolation of the trend in house prices rather than through a process based on knowledge of the structure of the housing market, economic fundamentals and demographic trends.     

基于计量经济模型的房价与地价关系研究

针对房价与地价间相互因果关系的争论,本文根据2002年第三季度到2006年第四季度A城市房价和地价的数据,利用协整检验和Granger因果关系的计量方法,对二者关系进行了检验,结果发现房价与地价之间存在着互为因果的双向联系,但房价对地价有着重要影响,在两者关系中起主导作用。     

Price discovery of property markets in Shenzhen and Hong Kong

Hong Kong and Shenzhen, while being interrelated in many aspects, have encountered different types of demand shocks throughout the past decade. This is likely due to disparities in market conditions and degrees of government regulations. In the light of such differences in property price trends, this research first investigates the relationships between housing prices and market fundamentals for both cities; and then it explores whether a housing price bubble existed for them in 2006. The results indicate that housing prices seem to have interacted abnormally with market fundamentals in recent years, especially for Shenzhen. In addition, while Shenzhen’s housing prices are mainly explained by previous housing prices and personal income, most economic indicators explain Hong Kong’s housing prices well. With regard to price bubbles, a puny bubble which amounts to as much as 4.5% of the housing price was formed in Shenzhen in 2006. In the meantime, the housing price bubble for Hong Kong had been diminished. Though currently not at dangerous levels, housing price bubbles should be taken with caution especially in today’s China, characterized by overinvestment and rapid policy changes.     

北京地区住宅价格泡沫的研究

本文利用住宅市场的供求关系理论,解释了投机需求对住宅市场价格的影响以及价格泡沫的形成机制。综合考虑社会经济基础与投机因素对市场价格的作用,结合已有的泡沫经济理论,建立了关于住宅市场价格的实证分析模型,并从中分离出泡沫部分,为价格泡沫的定量研究提供了依据。作者以北京住宅市场的年度数据为分析对象,建立了相应的价格决定模型,计算了近十几年来价格泡沫的变化量,并针对目前北京住宅价格中的泡沫含量给出了定量分析。     

House price diffusion of housing submarkets in Greater Sydney

Abstract

Despite numerous studies investigating house price diffusion between regional cities, few have considered a spillover effect among housing submarkets within a metropolitan city. This study expands upon the limited literature to examine house price diffusion of housing submarkets (namely, low-priced and high-priced submarkets) in Greater Sydney, one of the most diverse housing markets in Australia, using convergence tests, cointegration techniques, Granger causality and dynamic ordinary least square cointegration tests. The results show that a long-run relationship in house prices exists between these two submarkets in Greater Sydney. Importantly, the empirical results show that a large degree of diffusion takes place from the less prosperous submarket to the high-end submarket. This supports the equity transfer hypothesis via a filtering process in which house prices in the low-priced submarket will be transmitted into the high-priced submarket. The study also finds that the low-priced submarket is the primary reactor to changes in economic fundamentals. These findings have some profound implications for policy-makers and housing investors.     

南京市房价与物价的协整关系分析

房价与物价是近年来社会关注的热点,有关两者关系的分析以定性或简单定量为主。本文在搜集整理南京市2005年11月至2007年10月月度房价与物价的基础上,运用协整理论、误差修正模型和格兰杰因果检验方法定量分析两者关系,发现南京市房价与物价存在协整关系,且短期内房价是物价的格兰杰原因,而长期内则反之。     

基于情感分析的投资者情绪对房价波动的影响

为了探究房地产市场投资者情绪对我国房价波动的影响机制,基于情感分析方法构建了我国房地产市场上的投资者情绪指数,验证了该指数的有效性。通过构建VAR模型,综合运用脉冲响应、方差分解分析等方法,定量探究了投资者情绪与我国房价波动之间的动态影响关系。结果表明:构建的投资者情绪指数与房价有着高度的相关性;投资者情绪的正向变动在短期会显著地影响房价产生正向波动;投资者情绪对房价变化的贡献率远大于其他经济变量的贡献程度。对房地产市场的调控应当注重对于公众预期的管理,合理引导投资者情绪的变化。     

Economic Fundamentals,Subprime Lending and Housing Prices: Evidence from MSA-level Panel Data

This study finds that employment, real construction cost and the real user cost of housing have a significant impact on real housing price over the 1990:Q2–2009:Q1 period for a panel of 20 metropolitan statistical areas (MSAs) in the US. Over the 2003–2005 period when subprime lending soared, all 20 MSAs experienced a rapid appreciation in real price. Nine MSAs with higher subprime lending relative to the rest experienced a larger appreciation and four of these nine MSAs with high prevalence of second home purchases experienced the highest appreciation rates. The findings are important to policy makers because they point out the importance of underlying economic factors in determining home prices. In general, policy makers at the local level should caution against a sudden surge in the price of homes that is not sustained by economic fundamentals, especially since the magnitude and effect of such shocks can vary considerably across MSAs.