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运用中国四大一线城市:北京、上海、深圳、广州近十年的房价序列进行动态关系研究,结果表明四大一线城市间存在两组长期协整关系。借助有向无环图、脉冲响应与方差分解,分析具体的时间动态关系,发现深圳处于价格领导者地位,其房价波动主要受自身冲击的影响。因此,对一线城市的房价监测,应赋予深圳更高的权重。房价调控政策,加入城市间的动态影响因素,能有效避免调控过度或不足等问题。
Using the four major first-tier cities in China: Beijing, Shanghai, Shenzhen and Guangzhou for the past ten years, we study the dynamic relationship between the price series and the two major long-term co-integration cities. With the aid of directed acyclic graph, impulse response and variance decomposition, we analyze the specific time dynamic relationship and find that Shenzhen is the price leader and its price volatility is mainly affected by its own impact. Therefore, housing prices in first-tier cities should be given a higher weight in Shenzhen. House price control policies, adding dynamic factors among cities, can effectively avoid the regulation of excessive or inadequate and other issues.