1、基于vecM莫型探究中国房地产市场对中国经济增长的影响vecM1型实验姓名 ; 何毛毛 学号： 2012300040242班级：国际金融试验班第一部分 实验背景自 1992 年中国逐步确立市场经济以来的 20 多年里，投资，消费，出口“三驾马车”理论对我国经济增长的巨大作用。政府扩大了对基础设施建设的投资，以及中国的出口保持的高速增长态势，对经济增长的拉动起到了很大的作用。第二部分 实验分析目的及方法故本文选取了商品房价格、居民消费指数以及净出口三个变量构建VEC真型，进行协整检验和向量误差修正并得到脉冲相应函数和方差分解结果，将中国现有数据现状进行分析，得出房地产市场对 我国经济的影响。第三
2、部分 实验样本3.1 数据来源数据来源于中经网统计数据库。3.2 所选数据变量由于国家在1998 年把房地产业定为支柱产业，故本文选取了自 1999 年 1 月至 2014 年 10 月的出口额、进口额、CPI、房地产开发企业商品房销售面积及其销售额的累积额五个变量以月为单位的数据进行一定的处理得到商品房价格P、居民消费指数CPI以及净出口 X三个变量构建VEC真型。第四部分 模型构建4.1 数据处理4.1.1 商品房价格由于商品房价格有较强的地域差异，故此处采用了较为简单的处理方法。取用房地产开发企业商品房销售面积以及房地产开发企业商品房销售额的累计额，而由于我国不单独对1 月份统计数据进行
3、调查， 1-2 月份数据一起调查，一起发布。所以序列缺少每年一月份的相关数据，属于非随机、不可忽略缺失，在此采用一二月平均值得到一月份的数据。补全数据后在每一年度进行差分处理得到当月量，再把总销售额与总销售面积相除得到国内市场上商品房的平均价格序列P。由于序列P有较强的趋势性，为了平滑房价的变动趋势，对P做对数化处理记为LP。4.1.2 净出口- 2 -由于现有数据仅为出口额、进口额，故想减得到净出口值，并乘以当月汇率转化成人民币计量此外为了平滑净出口的变动趋势，对X同样也做对数化处理记为 LX。4.1.3 CPI由于CPI为相对数，为了减少基期的影响以及减少异方差性，对CPI进行对数化处理记
4、为LC。4.2 单位根检验观察LC、LX、LP的图形，如下所示:LC图4.1 LC的曲线图LP图4.2 LP的曲线图LX20图4.3 LX 的曲线图对三个变量选取相应的形式进行单位根检验表4.1各变量单位根检验结果变量水平值检验结果一阶差分检验结果检验形式ADFP检验形式ADFPLC(C, 0, 12)-2.4015630.1428(0, 0, 11)-6.0470440.0000LP(C, T, 12)-2.3274470.4166(0, 0, 11)-3.6182010.0004LX(C, 0, 1)-2.7725980.0645(C, 0, 0)-20.984160.0000综上，三个变
5、量在5%的显著水平上都不平稳， 但一阶差分平稳，因此三个序列都为一阶单整过程4.3 协整检验由于变量LP存在截距和趋势，因此选择第二类形式，且变量无明显的时间特征，因此选择第三种 形式作为协整检验形式。根据信息准则以及残差进行滞后阶数的确定，当滞后阶数为1时，AIC=-7.137759,SC=-6.790499;当滞后阶数为 2时，AIC=-7.538003, SC= -6.930299;当滞后阶数为 3时，AIC=-7.679420, SC= -6.811272。故此处选择滞后二阶为最优滞后阶数。选择滞后阶数为2,且第三种形式进行协整检验，检验结果如下：表4.2协整检验结果Date: 12/
6、10/14 Time: 22:06Sample (adjusted): 1999M04 2014M10Included observations: 154 after adjustmentsTrend assumption: Linear deterministic trend Series: LOP LX LCLags interval (in first differences): 1 to 2Unrestricted Cointegration Rank Test (Trace)HypothesizedTraceStatistic0.05Critical ValueProb.*No. o
7、f CE(s)EigenvalueNone *0.15105633.1684229.797070.0197At most 10.0501787.94898215.494710.4709At most 20.0001360.0210073.8414660.8847Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level *MacKinnon-Haug-Michelis (1999) p-valuesUnrestricte
8、d Cointegration Rank Test (Maximum Eigenvalue)HypothesizedMax-EigenStatistic0.05Critical ValueProb.*No. of CE(s)EigenvalueNone *0.15105625.2194321.131620.0125At most 10.0501787.92797514.264600.3861At most 20.0001360.0210073.8414660.8847Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05
9、 level * denotes rejection of the hypothesis at the 0.05 level *MacKinnon-Haug-Michelis (1999) p-valuesUnrestricted Cointegrating Coefficients (normalized by b*S11*b=I):LOPLXLCLOPLXLC3.411003-1.86888620.027881.723127-0.200519-46.265743.324745-0.2939120.064617Unrestricted Adjustment Coefficients (alp
10、ha):D(LOP)-0.0146380.0020270.000749D(LX)0.1916330.0132010.001944D(LC)3.22E-050.001393-3.99E-061 Cointegrating Equation(s):Log likelihood642.0482Normalized cointegrating coefficients (standard error in parentheses)1.000000-0.5478995.871551(0.06584)(2.89701)Adjustment coefficients (standard error in p
11、arentheses)D(LOP)-0.049930(0.02075)D(LX)0.653660(0.13759)D(LC)0.000110(0.00176)2 Cointegrating Equation(s):Log likelihood 646.0122Normalized cointegrating coefficients (standard error in parentheses)LOPLXLC1.0000000.000000-35.67378(11.2063)0.0000001.000000-75.82659(21.1778)Adjustment coefficients (s
12、tandard error in parentheses)D(LOP)-0.0464370.026950(0.02324)(0.01143)D(LX)0.676407-0.360787(0.15410)(0.07579)D(LC)0.002510-0.000339(0.00192)(0.00094)由上表可知，迹检验和极大特征值检验结果均显示存在一个协整关系。协整序列的图形和单位根 检验结果如下：图4.4协整序列变动图表4.3协整序列的单位根检验结果Null Hypothesis: COINTEQ01 has a unit rootExogenous: NoneLag Length: 1 (A
13、utomatic - based on SIC, maxlag=13)t-StatisticProb.*Augmented Dickey-Fuller test statistic-5.0208250.0000Test critical values:1% level-2.5818275% level-1.94315710% level-1.615178*MacKinnon (1996) one-sided p-values.由上表可知，该协整序列是平稳的，即各变量之间存在协整关系。该协整方程具体为：LC =0.17LP -0.09LX + tLP与LC呈现正向波动，LX与LP及LX与LC呈现
14、负向波动，即房地产价格与物价指数是正相关关系, 净出口与房价呈现负相关关系，净出口与国内物价水平呈现负相关关系，符合一般的经济学理论，故 该协整方程较为合理。4.3 VECM模型的估计估计结果如下：表4.4 VECM模型的估计结果Vector Error Correction EstimatesDate: 12/10/14 Time: 22:44Sample (adjusted): 1999M04 2014M10Included observations: 154 after adjustmentsStandard errors in ( ) & t-statistics in Cointeg
15、rating Eq:CointEq1LC(-1)1.000000LP(-1)0.170313(0.04957)3.43554LX(-1)-0.093314(0.01781)-5.23803C-4.731936Error Correction:D(LC)D(LP)D(LX)CointEq10.000645-0.2931653.837997(0.01032)(0.12185)(0.80788)0.06244-2.406044.75072D(LC(-1)0.1380640.168840-12.33234(0.08462)(0.99882)(6.62253)1.631610.16904-1.86218
16、D(LC(-2)0.0677240.101383-2.543282(0.08694)(1.02626)(6.80446)0.778950.09879-0.37377D(LP(-1)0.008339-0.579548-1.657204(0.00650)(0.07675)(0.50886)1.28251-7.55145-3.25673D(LP(-2)0.000560-0.450241-0.344358(0.00699)(0.08251)(0.54704)0.08012-5.45705-0.62949D(LX(-1)0.000146-0.027722-0.266886(0.00107)(0.0126
17、5)(0.08387)0.13653-2.19159-3.18223D(LX(-2)0.000433-0.0243870.011625(0.00077)(0.00906)(0.06010)0.56372-2.690650.19344C4.96E-050.0161370.036033(0.00053)(0.00621)(0.04116)0.094382.599570.87546R-squared0.0416690.3520280.352984Adj. R-squared-0.0042780.3209610.321963Sum sq. resids0.0059730.83219436.58429S
18、E. equation0.0063960.0754980.500577F-statistic0.90688611.3312111.37876Log likelihood563.6108183.4729-107.8418Akaike AIC-7.215725-2.2788691.504439Schwarz SC-7.057961-2.1211051.662203Mean dependent0.0001210.0092930.023850S.D. dependent0.0063820.0916200.607917Determinant resid covariance (dof adj.)5.6
19、3E-08Determinant resid covariance4.80E-08Log likelihood642.0482Akaike information criterion-7.987639Schwarz criterion-7.4551864.4 VECM模型的检验卜面进行残差的自相关性的检验，检验结果如下:Cor(LC,LC(-i)Autocorrelations with 2 Std.Err. BoundsCor(LC,LX(-i)Cor(LP,LC(-i)Cor(LP,LX(-i)图4.5 VECM模型各方程残差项的自相关图观察残差自身的自相关图，可以看出均不存在自相关性4.
20、5 VECM模型的预测- 9 -9.620002002200420062008201020122014Actual LP (Baseline)LCLC (Baseline)ActualActual LX (Baseline)Actual LP (Baseline)由上图可以看出VECM基LX可以拟合出原序列变动趋势20184.6 施加约束条件后的 VECMK型VECMf型的方程形式如下:Estimation Proc:14EC(C,1) 1 2 LC LP LX12 20002002200420062008201020122014Actual LX (Baseline)VAR Model:D(
21、LC) = A(1,1)*(B(1,1)*LC(-1) + B(1,2)*LP(-1) + B(1,3)*LX(-1) + B(1,4) + C(1,1)*D(LC(-1) + C(1,2)*D(LC(-2) +C(1,3)*D(LP(-1) + C(1,4)*D(LP(-2) + C(1,5)*D(LX(-1) + C(1,6)*D(LX(-2) + C(1,7)D(LP) = A(2,1)*(B(1,1)*LC(-1) + B(1,2)*LP(-1) + B(1,3)*LX(-1) + B(1,4) + C(2,1)*D(LC(-1) + C(2,2)*D(LC(-2) +C(2,3)*D
22、LP(-1) + C(2,4)*D(LP(-2) + C(2,5)*D(LX(-1) + C(2,6)*D(LX(-2) + C(2,7)D(LX) = A(3,1)*(B(1,1)*LC(-1) + B(1,2)*LP(-1) + B(1,3)*LX(-1) + B(1,4) + C(3,1)*D(LC(-1) + C(3,2)*D(LC(-2) +C(3,3)*D(LP(-1) + C(3,4)*D(LP(-2) + C(3,5)*D(LX(-1) + C(3,6)*D(LX(-2) + C(3,7)VAR Model - Substituted Coefficients:D(LC) =
23、 0.000644513086716*( LC(-1) + 0.170312756574*LP(-1) - 0.0933142348512*LX(-1) - 4.73193564637 ) + 0.138063823104*D(LC(-1) + 0.0677239122424*D(LC(-2) + 0.00833863533815*D(LP(-1) +0.000559987514795*D(LP(-2) + 0.000146302892643*D(LX(-1) + 0.000432856871581*D(LX(-2) + 4.96362755959e-05D(LP) =- 0.29316543
24、4596*( LC(-1) + 0.170312756574*LP(-1) - 0.0933142348512*LX(-1) - 4.73193564637 ) +0.168839712363*D(LC(-1) + 0.101383062825*D(LC(-2) - 0.579547910079*D(LP(-1) - 0.450240826627*D(LP(-2) - 0.027721572201*D(LX(-1) - 0.0243873548642*D(LX(-2) + 0.0161371977625D(LX) = 3.83799662293*( LC(-1) + 0.17031275657
25、4*LP(-1) - 0.0933142348512*LX(-1) - 4.73193564637 ) - 12.3323449379*D(LC(-1) - 2.54328177133*D(LC(-2) - 1.65720417582*D(LP(-1) - 0.344357605774*D(LP(-2) - 0.266886010794*D(LX(-1) + 0.0116247131163*D(LX(-2) + 0.0360329193473由于协整方程中各变量都较为显著，故此处不加以估计施加约束条件的VECM。第五部分 模型应用5.1 脉冲响应下图是基于三变量的VEC做型模拟出来的脉冲响应函
26、数，横轴表示滞后阶数，由于房地长行业的经营周期较长，故将滞后阶数设定为60；纵轴表示变量之间的响应程度，图中实线部分为计算值。- 11 -51015202530354045 505560-.02LCLP LXResponse of LC to CholeskyOne S.D. InnovationsResponse of LX to CholeskyOne S.D. Innovations.6 LCLPLX15202530354045 505560Response of LP to Cholesky One S.D. InnovationsWe5pinse cftX toChoeskyOne
27、S.D. Innovations5.2 方差分解.4.2.0-.251015202530354045505560LCLPLXVariance Decomposition of LC10080 .60 .40 -20 .0 -I!,5101520253035 40 45505560 LC LP LX LC LP LXVariance Decomposition of LX1008060第六部分结论40根据以上结果，我们可以得到以下结论：20 1.我国商品房的销售价格与前期的销售价格相关，我国的CPI、净出口都是属于一阶单整序列，0这符合现实，在经济的运行过程中，存在广泛的时间滞后效应。51015
28、20253035 40 455055602.房地产市场虽然在很大程度上影响了我国的宏观经济，但商品房作为一种投资品，对居民消费LC LP LX影响较小，近期房价的频繁波动并未对我国居民的生活水平产生较大的影响。由以上结论可以看出，我国应调整产业结构，减少对房地产市场的依赖程度，特别是减少地方政府的土地财政的现象。出台连续的稳定的政策以调整房地产市场，减少市场的波动，稳定消费者的预期，从而使经济得到稳定长远的发展附录原始数据指标房地产开发企业 商品房销售面积_ 累计房地产开发企业商品房销售额累计居民消费价格指数（上年同月=100）_当月出口额当月进口额一当月地区全国全国全国全国全国频度月月月月月
29、单位万平方米亿元-千美元千美元1999-0198.81139260799033271999-02415.0589.8498.71100005387222421999-031025.73207.898.214877936143780271999-041586.54319.597.814804183138374051999-052146.09440.8397.815531943136572171999-062979.41610.6497.915398063145229551999-073633.96745.0398.617338664139214011999-084287.35871.9298.7
30、18325337134464701999-095102.31042.1799.218576263152679991999-106061.591239.9999.418231917137927561999-117062.39144599.119476625169086281999-1213379.352745.549920238657174223922000-0199.816797277152583932000-02636.1144.39100.714775380134286092000-031391.55295.9799.820146482178135792000-042153.93450.3
31、199.720500392183607952000-052958.13623.65100.120105176169664292000-064073.18844.93100.522192970203014022000-075014.831032.55100.521478509194916282000-086006.881244.7100.323329185207877402000-097088.731460.7410022973290207150342000-108248.81691.7410022799974189164012000-119553.261997.91101.3221548812
32、16408812000-1216984.143572101.521986149214142502001-01101.216926471155450072001-02877.96222.4610019198624182256172001-031828.72440.65100.823139003207725262001-042800.78653.78101.622792181218592802001-053795.05898.84101.720813507188087662001-065126.571181.16101.422081032212515372001-076365.291453.881
33、01.522887692209555002001-087603.851721.1310123540123221615352001-098977.271998.2799.923989367218505982001-1010168.942259.39100.222790526189018092001-1111617.552578.1799.724000007208447712001-1220779.244625.7299.724502579223901052002-019921703291189704172002-02923.75222.8610019137164159184522002-0321
34、52.66514.0399.223817766224841452002-043379.57779.7498.726723688257517112002-054564.61045.4998.924644182224331122002-066279.851445.1799.226012762230941422002-077689.71779.9899.129209981269876552002-089300.172157.0399.329437423272049142002-0911129.092635.499.331910755297941392002-1012975.93058.8499.22
35、9946376251970372002-1115079.363535.8499.331209190287345982002-1224969.295721.2299.631889489287325822003-01100.429775788310159692003-021560.38392.42100.224455585237796572003-033125.42784.69100.932091277325491242003-044632.511147.4310135617074346012082003-056333.161549.95100.733842228316041482003-0686
36、72.352101.77100.334475859323361762003-0710657.132574.92100.538109608365136662003-0812628.73058.14100.937415036346213672003-0915189.243736.43101.141940698416523362003-1017447.894309.46101.840925906351925022003-1119950.24898.8610341761968368932862003-1232247.247670.9103.248061529423361762004-01103.235
37、712196357366022004-022221.51578.78102.134157738420297442004-034271.161143.3410345847915463878432004-046200.71641.54103.847124115493741852004-058310.092250.27104.444867889427650262004-0611009.882973.5410550496344486526632004-0713426.583657.49105.351003919489722952004-0815595.974287.05105.351400194469
38、105962004-0918201.775053.88105.255803041508109162004-1020681.635703.89104.352523879454335742004-1123725.516545.73102.860925461510297012004-1238231.6410375.71102.46378448352708030|2005-01101.950755189442611562005-022596.45807.37103.944273164399162222005-035172.671559.33102.760869119551361122005-04719
39、4.272141.72101.862151250575601742005-059484.832796.38101.858426919494385352005-0612536.353727.28101.665959601562819782005-0716526.924938.28101.865584266550385202005-0831202.4710027.37101.368399603578066882005-0934725.611313.3100.970185509626231242005-1039352.1912925.89101.268092010560760192005-11433
40、88.2314430.14101.372217762616872162005-1255769.1418080.3101.675412367643960232006-01101.964988815554968282006-025343.891881.93100.954108294516837182006-039458.713192.7100.878045837668571322006-0413560.874615.35101.276948177664913552006-0518136.966270.04101.473113881601097302006-0622976.627957.48101.
41、581311219668083002006-0727307.989440.0810180337153657135142006-0831384.5910870.72101.390766001719698972006-0935883.3712415.34101.591629488763424742006-1040780.6714053.17101.488127371642975172006-1146113.9316141.36101.995854497729264882006-1260628.1420509.68102.894094055730967502007-01102.286619731707391992007-025371.472247.9102.7820955935833936120
