基于在险值的杭州市房地产市场风险分析

把房地产业增加值作为市场风险的考察对象,选择GDP、建筑业增加值、房地产开发投资、居民消费价格指数作为市场风险的影响因子,构建房地产市场风险测量模型.通过收集1991－2003年杭州市房地产业发展数据,应用SPSS和Matlab软件进行回归分析和蒙特卡洛仿真,计算出在置信水平为90%、95%、99%时,杭州市房地产市场的在险值（VaR）分别为16.891、27.182、51.315亿元.实证研究发现,杭州市房地产市场潜在的波动性较强,市场风险的累积水平较高.VaR方法可以应用于中国房地产市场的风险管理,能够为政府控制市场风险提供有效的参考指标.

Risk analysis of real estate market based on VaR: empirical research on Hangzhou, China

An empirical study was conducted for real estate market of Hangzhou City with value at risk(VaR) model.GDP of real estate industry was taken as the investigation target of the market risk,and four indexes of GDP,GDP of construction industry,investment of real estate industry,and resident consumer price index were chosen as the influence factors of the market risk.By collecting the real estate data of Hangzhou in 1991-2003,multinomial-regression analysis and Monte Carlo simulation were made by using SPSS and Matlab software respectively. At the confidence interval of 90%,95% and 99%,VaR of Hangzhou real estate market were 16.891,27.182 and 51.315 hundred million Yuan respectively.The results show that the potential fluctuation of Hangzhou real estate market is strong,and that the accumulation level of the market risk is great.VaR method can be applied to the risk management of the real estate market,and can offer the effective reference index for the government to control the market risk.