HP Hodrick and Prescott 980 BK Baxter and King 999 CF Christiano and Fitzgerald 2003 Harvey 989 Harvey and Shephard Chen et

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1 202 5 World Economic Papers October, 202 * * chenyingnan@ tsinghua. edu. cn pro. chenjian@ 263. net &ZD042 2CJY YJA YJC

2 HP Hodrick and Prescott 980 BK Baxter and King 999 CF Christiano and Fitzgerald 2003 Harvey 989 Harvey and Shephard Chen et al Clark and Coggin super-regional Girouard et al André 200 Bracke 20 OECD Hilbers et al gert and Mihaljek 2007 Hiebert and Roma 200 HP BK CF CF

3 HP ADF Dickey and Fuller 979 HP Hodrick and Prescott 980 y T t y C t y t HP y T t y C t min T y t - y T t 2 + λ T- y T T { t + - y t ) - ( y T t - y T t - ) ] 2 } t = [ ( t = 2 T HP λ λ gert and Mihaljek Agénor et al. 2000

4 σ c = 2 c N - N t - c 珋槡 N c珋 t = 2. 2 N c t - c 珋 c t -k - c 珋 t = k + r k = 3 N c t - c 珋 2 t = N c珋 3. y = y y 2 y n x = x x 2 x n r r l = l < 0 N x t -l - c 珋 y t - y 珋 t = 4 N l N l x t -l - x 珋 2 2 y t - y 珋槡 t = t = l = 0 l > 0 N l 4. Sichel 993 deepness steepness Sichel 993 S = [ /N N 3 c t - c 珋 ] t = σ c 3 5 Capozza et al. 2004

5 N c t c珋 σ c Z t = c t - c 珋 3 /σ c 3 S Newey-West S S Newey-West U c t Δc t 6 Δc t S 2 = [ /N N t = 3 Δc t - Δ c 珋 ] σ Δc 3 70 DTZ DTZ DTZ 2 DTZ DTZ DTZ 2009 DTZ DTZ Index Chinese Mainland 2009 DTZ DTZ DTZ CPI 4 CPI CPI CPI 200 CPI CPI CPI CPI DTZ http / /www. dtz. com / CPI CPI CPI

6 van den Noord 2006 OECD 6 6 5%

7 %. 9% % % % % * % ** % 993Q2 2004Q 996Q 2004Q Q 200Q 2004Q 200Q Q 999Q4 994Q2 999Q Q4 200Q 999Q4 200Q Q 2004Q 993Q2 2004Q Q 200Q 2004Q 200Q Q 2004Q2 993Q2 2004Q Q2 200Q 2004Q2 2007Q * 2 ** 200Q. ADF 2 2 % I 2009

8 bjp Δbjp shp Δshp gzp Δgzp szp Δszp C T K t % 5% 0% N N C T N N C T N N C T N N C T bjp Δbjp 2 C T K N N 0 3 K SIC 2. 2

9 HP HP HP

10 * * * 994Q3 998Q Q4 2005Q Q 2009Q Q3 999Q Q4 2008Q Q 996Q Q3 2004Q Q 2009Q Q 995Q Q 200Q Q 2004Q Q4 2009Q * Q 200Q * Q 998Q4 * Q 200Q * 993Q r r 4

11 r 5 r 8 5 r r 2 r 3 r 4 r 5 r 6 r 7 r * 99Q 200Q * Q 998Q4 999Q 200Q r k k 2 * 993Q2 3 Q p HP

12 bjp_cyclical * with shp_cyclical bjp_cyclical * bjp_cyclical * ** ** ** ** ** with gzp_cyclical with szp_cyclical shp_cyclical with gzp_cyclical shp_cyclical with szp_cyclical gzp_cyclical with szp_cyclical ** ** ** ** 0. 6 ** ** ** ** bjp_cyclical bjp_cyclical with gzp_cyclical 2 * 993Q2 ⑶ 5% ** 5% bjp_cyclical * bjp_cyclical * bjp_cyclical * with shp_cyclical ** ** ** ** ** ** ** with gzp_cyclical ** ** ** ** with szp_cyclical shp_cyclical with gzp_cyclical shp_cyclical with szp_cyclical gzp_cyclical with szp_cyclical ** ** ** ** ** ** ** ** **

13 bjp_cyclical with shp_cyclical bjp_cyclical with gzp_cyclical bjp_cyclical with szp_cyclical shp_cyclical with gzp_cyclical shp_cyclical with szp_cyclical gzp_cyclical with szp_cyclical ** ** ** ** ** ** ** ** ** ** ** ** ** ** ** ** ** S Newey- West U p S 2 Newey- West U p 99Q 200Q 99Q 998Q4 999Q 200Q p U 2 * 993Q2 Meen 999

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15 Agénor P. -R. J. C. McDermott and E. S. Prasad 2000 Macroeconomic Fluctuations in Developing Countries Some Stylized Facts World Bank Economic Review André C. 200 A Bird's Eye View of OECD Housing Markets OECD Economics Department Working Paper No Baxter M. and R. King 999 Measuring Business Cycles Approximate Band-pass Filters for Economic Time Series Review of Economics and Statistics Bracke P. 20 How Long Do Housing Cycles Last A Duration Analysis for 9 OECD Countries IMF Working Paper No. /23. Christiano L. J. and T. J. Fitzgerald 2003 The Band Pass Filter International Economic Review Capozza D. R. P. H. Hendershott and C. Mack 2004 An Anatomy of Price Dynamics in Illiquid Markets Analysis and Evidence from Local Housing Markets Real Estate Economics Chen M. C. Y. Kawaguchi and K. Patel 2004 An Analysis of the Trends and Cyclical Behaviors of House Prices in the Asian Markets Journal of Property Investment & Finance Clark S. P. and T. D. Coggin 2009 Trends Cycles and Convergence in U. S. Regional House Prices Journal of Real Estate Finance and Economics Dickey D. A. and W. A. Fuller 979 Distribution of the Estimators for Autoregressive Time Series with a Unit Root Journal of the American Statistical Association gert B. and D. Mihaljek 2007 Determinants of House Prices in Central and Eastern Europe BIS Working Papers No Girouard N. M. Kennedy P. van den Noord and C. André 2006 Recent House Price Developments the Role of Fundamentals OECD Economics Department Working Paper No Hodrick R. and E. Prescott 980 Post-war US Business Cycles an Empirical Investigation Carnegie-Mellon University Pittsburgh PA. Harvey A. 989 Forecasting Structural Time Series Models and the Kalman Filter Cambridge University Press Cambridge MA. Harvey A. and N. Shephard 993 Structural Time Series Models in Handbook of Statistics Eds. by Maddala G. S.

16 C. R. Rao and H. D. Vinod Elsevier Science Publishers Amsterdam. Hilbers P. W. H. Alexander B. Angana and S. Haiyan 2008 House Price Developments in Europe A Comparison IMF Working Paper No. 08 /2. Hiebert P. and M. Roma 200 Relative House Price Dynamics across Euro Area and US Cities Convergence or Divergence ECB Working Paper No Meen G. 999 Regional House Prices and the Ripple Effect A New Interpretation Housing Studies Sichel D. E. 993 Business Cycle Asymmetry A Deeper Look Economic Inquiry van den Noord P Are House Prices nearing a Peak A Probit Analysis for 7 OECD Countries OECD Economics Department Working Papers No

% 5 CPI CPI PPI Benjamin et al Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin

% 5 CPI CPI PPI Benjamin et al Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin 2016 9 435 No. 9 2016 General No. 435 130012 1996 1-2016 6 LT - TVP - VAR LT - TVP - VAR JEL E0 F40 A 1002-7246201609 - 0001-17 2016-03 - 20 Emailjinquan. edu. cn. Email1737918817@ qq. com. * 15ZDC008