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房价泡沫就是房价偏离其基础价值,基础价值由其未来的现金流(即租金)和贴现率,异质信念与通货幻觉分别从投资者对房地产未来现金流分布的信念差异和对贴现率的估计偏差两方面解释了房价泡沫的形成机制。考虑我国房地产的区域特征,基于1999-2012年中国35个大中城市房地产市场年度数据,利用时变现值模型和面板向量自回归模型估计中国房地产市场的基本价值进而给出房价泡沫,并检验中国房价泡沫的形成机制。研究发现,异质信念和通胀幻觉对中国区域房价上涨具有一定的解释能力。
House price bubble is the deviation of house price from its basic value. Based on its belief in future cash flow (ie rent) and discount rate, the heterogeneous belief and the illusion of currency, respectively, from the investor’s belief in the future cash flow distribution of real estate and the discount rate Deviations explain the formation of housing bubble in two aspects. Considering the regional characteristics of real estate in our country, based on the annual data of real estate market in 35 cities in China from 1999 to 2012, the real value of real estate market in China is estimated by using time varying value and panel vector autoregressive model, Price bubble formation mechanism. The study found that heterogeneous beliefs and inflation hallucinations have some ability to explain the rise in housing prices in China.