基于小波分析的北京市住宅市场景气循环周期
发布时间：2018-10-31 09:31
【摘要】：该文以北京市房地产市场为背景,利用1999—2014年的宏观数据,针对北京市住宅市场的景气循环周期进行识别和分析。在梳理现有研究的指标选取和模型拟合的基础上,使用客观赋权的主成分分析对景气循环等指标进行提取,将核心指标进行数据扩展合成为周期分析的指标;通过多层次离散小波分解去除趋势和噪声,利用重构的周期性信号表征平均周期与波动趋势,进行长周期与短周期的定量分析。实证结果显示:北京市房地产市场波动的短周期平均约3.75a,中长周期周期约为9a。预测结果表明:总体上2014年房地产市场逐步进入萧条期,需要引起投资者、金融机构和政府重视。
[Abstract]:Taking the real estate market of Beijing as the background, this paper uses the macro data from 1999 to 2014 to identify and analyze the cycle of the housing market in Beijing. On the basis of combing the existing research index selection and model fitting, using objective weighted principal component analysis to extract the boom cycle and other indicators, the core indicators are extended to the index of cycle analysis. The trend and noise are removed by multilevel discrete wavelet decomposition, and the average period and fluctuation trend are characterized by the reconstructed periodic signal, and the quantitative analysis of long period and short period is carried out. The empirical results show that the short period of real estate market volatility in Beijing is about 3.75 a on average, and the medium and long period is about 9 years. The forecast shows that the housing market has gradually entered a recession in 2014, which needs to attract the attention of investors, financial institutions and the government.
【作者单位】： 清华大学建设管理系恒隆房地产研究中心;
【基金】：国家自然科学基金资助项目(71073090/G0306)
【分类号】：F299.23
[Abstract]:Taking the real estate market of Beijing as the background, this paper uses the macro data from 1999 to 2014 to identify and analyze the cycle of the housing market in Beijing. On the basis of combing the existing research index selection and model fitting, using objective weighted principal component analysis to extract the boom cycle and other indicators, the core indicators are extended to the index of cycle analysis. The trend and noise are removed by multilevel discrete wavelet decomposition, and the average period and fluctuation trend are characterized by the reconstructed periodic signal, and the quantitative analysis of long period and short period is carried out. The empirical results show that the short period of real estate market volatility in Beijing is about 3.75 a on average, and the medium and long period is about 9 years. The forecast shows that the housing market has gradually entered a recession in 2014, which needs to attract the attention of investors, financial institutions and the government.
【作者单位】： 清华大学建设管理系恒隆房地产研究中心;
【基金】：国家自然科学基金资助项目(71073090/G0306)
【分类号】：F299.23
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