202 5 World Economic Papers October, 202 * 99 993 200 2 20 90 2 200 998 20 80 992 993 2 998 2003 20 90 * E-mail chenyingnan@ tsinghua. edu. cn 0 305 00084 E-mail pro. chenjian@ 263. net 200 09&ZD042 2CJY029 70973065 09YJA790074 2YJC79005 987 2005 2 993 6
202 5 67 2 200 2004 HP Hodrick and Prescott 980 BK Baxter and King 999 CF Christiano and Fitzgerald 2003 Harvey 989 Harvey and Shephard 993 3 Chen et al. 2004 Clark and Coggin 2009 9 2 super-regional 4 996 8 98 987 987 989 989 994 2002 6 98 200 98 983 984 990 99 996 997 2006 978 2004 978 99 992 997 998 2 3 4 20 90 2009 2008 Girouard et al. 2006 André 200 Bracke 20 OECD Hilbers et al. 2008 gert and Mihaljek 2007 Hiebert and Roma 200 HP BK CF 2007 20 CF 992 200
68 202 5 99 997 998 99 200 HP 998 999 2 20 90 200 3 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 600 2 3 993 gert and Mihaljek 2007 8 Agénor et al. 2000
202 5 69. 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
70 202 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 99 2009 DTZ 200 993 99 20 90 200 3 993 CPI 4 CPI 99 2000 2 CPI 200 200 3 CPI 200 CPI 200 2 CPI 99 2000 2 99 2000 2 CPI 993 9 3 6 9 2 CPI 6 2 3 4 2002 DTZ 225 99 http / /www. dtz. com / CPI CPI CPI
202 5 7 20 90 994 2003 2007 2008 2009 200 99 200 999 2004 van den Noord 2006 OECD 6 6 5%
72 202 5 2004 2007 2007 2009 2008 2009 20. 9%. 9% 2007 200 2 44 69. % 22 5. 5 26. 8% 200 42 0. 5 0. 9% 4 3. 5 4 2. 5 80% * % ** % 993Q2 2004Q 996Q 2004Q 32 26. 8 2004Q 200Q 2004Q 200Q 25 78. 99Q 999Q4 994Q2 999Q4 22 48. 5 999Q4 200Q 999Q4 200Q 42 0. 9 99Q 2004Q 993Q2 2004Q 43 60. 3 2004Q 200Q 2004Q 200Q 25 09. 2 99Q 2004Q2 993Q2 2004Q2 44 69. 2004Q2 200Q 2004Q2 2007Q3 4 80. * 2 ** 200Q. ADF 2 2 % I 2009
202 5 73 2 bjp Δbjp shp Δshp gzp Δgzp szp Δszp C T K t % 5% 0% N N 0. 098-2. 600 -. 946 -. 64 C T 0-8. 996-4. 03-3. 479-3. 67 N N 0 0. 505-2. 596 -. 945 -. 64 C T 0-9. 046-4. 085-3. 47-3. 62 N N 0 0. 374-2. 596 -. 945 -. 64 C T 0-7. 920-4. 085-3. 47-3. 62 N N 0-0. 534-2. 596 -. 945 -. 64 C T 0-6. 79-4. 085-3. 47-3. 62 bjp Δbjp 2 C T K N N 0 3 K SIC 2. 2
74 202 5 3 HP 600 2 3 2 20 90 2 200 3 3 2 4 23. 5 8. 9 4. 6 3. HP 998 999 99 HP 600 2009
202 5 75 3 * * * 994Q3 998Q4 7 6 2 998Q4 2005Q 25 6 9 3 2005Q 2009Q 6 0 6 9. 3 0. 7 8. 7 992Q3 999Q4 29 3 26 2 999Q4 2008Q4 36 0 26 32. 5 6. 5 26 99Q 996Q3 22 9 3 2 996Q3 2004Q 30 3 27 3 2004Q 2009Q 20 4 6 24. 0 8. 7 5. 3 99Q 995Q 6 9 7 2 995Q 200Q 24 2 2 3 200Q 2004Q4 5 6 9 4 2004Q4 2009Q 7 6 8. 0 9. 5 8. 5 23. 5 8. 9 4. 6 * 993 998 999 200 4 4 999 200 99 998 4 99Q 200Q * 0. 047 0. 073 0. 080 0. 084 99Q 998Q4 * 0. 063 0. 064 0. 05 0. 092 999Q 200Q 0. 036 0. 077 0. 056 0. 079 * 993Q2 2 5 5 r r 4
76 202 5 r 5 r 8 5 r r 2 r 3 r 4 r 5 r 6 r 7 r 8 0. 628 0. 426 0. 287 0. 80-0. 024-0. 39-0. 253-0. 307 * 99Q 200Q 0. 633 0. 377 0. 32 0. 247 0. 59-0. 042-0. 57-0. 57 0. 734 0. 52 0. 332 0. 52-0. 026-0. 98-0. 34-0. 393 0. 797 0. 609 0. 346 0. - 0. 07-0. 204-0. 333-0. 374 0. 68 0. 503 0. 284 0. 36-0. 073-0. 88-0. 275-0. 353 * 0. 000 0. 000 0. 000 0. 000 0. 000 0. 00 0. 000 0. 000 99Q 998Q4 999Q 200Q 0. 666 0. 436 0. 284 0. 263 0. 053-0. 258-0. 345-0. 278 0. 778 0. 57 0. 320 0. 048-0. 3-0. 272-0. 402-0. 440 0. 743 0. 565 0. 290 0. 049-0. 66-0. 366-0. 55-0. 523 0. 39 0. 50 0. 9 0. 092-0. 048-0. 078-0. 39-0. 20 0. 007 0. 05 0. 027 0. 048 0. 084 0. 23 0. 33 0. 53 0. 584 0. 294 0. 274 0. 86 0. 9 0. 054-0. 063-0. 09 0. 64 0. 363 0. 296 0. 292 0. 200 0. 064-0. 04-0. 034 0. 839 0. 635 0. 38 0. 50-0. 003-0. 085-0. 94-0. 267 r k k 2 * 993Q2 3 Q p 3 6 7 8 6 2 2 3 HP
202 5 77 3 6 99 200-4 - 3-2 - 0 2 3 4 bjp_cyclical * with shp_cyclical - 0. 06-0. 076-0. 078-0. 049-0. 059-0. 06-0. 06 0. 099 0. 36 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 23 0. 24 0. 25 bjp_cyclical * bjp_cyclical * - 0. 286** - 0. 322 ** - 0. 329 ** - 0. 257 ** - 0. 09-0. 035 0. 027 0. 02 0. 260 ** with gzp_cyclical 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 230 0. 24 0. 25-0. 2-0. 222-0. 25 0. 003 0. 066 0. 000 0. 078 0. 085 0. 03 with szp_cyclical 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 23 0. 24 0. 25 shp_cyclical with gzp_cyclical shp_cyclical with szp_cyclical gzp_cyclical with szp_cyclical - 0. 063-0. 002 0. 02-0. 089-0. 067-0. 26-0. 224-0. 257 ** - 0. 254 ** 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 23 0. 24 0. 25-0. 250-0. 27-0. 222-0. 6-0. 076-0. 04-0. 042-0. 072-0. 027 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 23 0. 24 0. 25 0. 222 0. 293 ** 0. 434 ** 0. 6 ** 0. 670 ** 0. 445 ** 0. 283 ** 0. 50 0. 06 0. 25 0. 24 0. 23 0. 22 0. 2 0. 22 0. 23 0. 24 0. 25 bjp_cyclical bjp_cyclical with gzp_cyclical 2 * 993Q2 ⑶ 5% ** 5% 7 99 998 bjp_cyclical * bjp_cyclical * bjp_cyclical * - 4-3 - 2-0 2 3 4 with shp_cyclical - 0. 028-0. 27-0. 45 ** - 0. 598 ** - 0. 428 ** - 0. 42-0. 434-0. 374-0. 60 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229-0. 695** - 0. 785 ** - 0. 7 ** - 0. 558 ** - 0. 39-0. 49 0. 096 0. 205 0. 375 with gzp_cyclical 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229-0. 72** - 0. 794 ** - 0. 680 ** - 0. 448 ** - 0. 227-0. 49 0. 8 0. 68 0. 28 with szp_cyclical 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229 shp_cyclical with gzp_cyclical shp_cyclical with szp_cyclical gzp_cyclical with szp_cyclical 6 0. 450 0. 53 ** 0. 509 ** 0. 239 0. 252 0. 093-0. 060-0. 8-0. 250 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229 0. 49 ** 0. 565 ** 0. 525 ** 0. 255 0. 288 0. 2 0. 05-0. 27-0. 240 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229 0. 045 0. 92 0. 392 0. 635 ** 0. 869 ** 0. 625 ** 0. 444 ** 0. 286 0. 08 0. 229 0. 224 0. 28 0. 23 0. 209 0. 23 0. 28 0. 224 0. 229 7 3 3 3 3 8 3
78 202 5 3 2 8 999 200-4 - 3-2 - 0 2 3 4 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 6 3-0. 86-0. 065 0. 008 0. 24 0. 025-0. 04 0. 076 0. 9 0. 2 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56 0. 405 ** 0. 407 ** 0. 247 0. 73 0. 406 ** 0. 24-0. 038-0. 006 0. 3 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56 0. 96 0. 26 0. 277 0. 334 ** 0. 276 0. 088 0. 055 0. 032-0. 02 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56-0. 287-0. 260-0. 249-0. 306 ** - 0. 278-0. 272-0. 340 ** - 0. 366 ** - 0. 304 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56-0. 48 ** - 0. 477 ** - 0. 498 ** - 0. 342 ** - 0. 236-0. 26-0. 080-0. 058 0. 00 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56 0. 388 ** 4 0. 46 ** 0. 59 ** 0. 655 ** 0. 573 ** 0. 346 ** 0. 86 0. 055-0. 063 0. 56 0. 54 0. 52 0. 5 0. 49 0. 5 0. 52 0. 54 0. 56 9 S Newey- West U p S 2 Newey- West U p 99Q 200Q 99Q 998Q4 999Q 200Q - 0. 23 0. 673-0. 37 0. 378-0. 53 0. 394-0. 388 0. 349-0. 265 0. 478-0. 555 0. 290 0. 489 0. 77 0. 682 0. 248 0. 407 0. 72 0. 565 0. 286 0. 387 0. 58 0. 667 0. 252 0. 538 0. 732 0. 736 0. 23-0. 368 0. 547-0. 673 0. 25-0. 475 0. 777-0. 62 0. 270 0. 639 0. 850 0. 752 0. 226-0. 250 0. 727-0. 343 0. 40 0. 445 0. 50 0. 872 0. 92 0. 59 0. 702 0. 227 0. 226 0. 329 0. 772 0. 426 0. 335 0. 090 0. 994 0. 09 0. 335-0. 342 0. 727-0. 470 0. 39-0. 78 0. 549-0. 323 0. 373-0. 84 0. 967-0. 84 0. 200-0. 52 0. 565-0. 269 0. 394 0. 457 0. 959 0. 477 0. 37 0. 897. 92 0. 752 0. 226 0. 344 0. 828 0. 45 0. 339 0. 958. 085 0. 882 0. 89-0. 439 0. 76-0. 576 0. 282 p U 2 * 993Q2 Meen 999
202 5 79 9 9 20 90 200 99 200 200 80% 0% 2 20 90 2 200 2 4 23. 5 8. 9 4. 6 998 200 200 2007
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202 5 8 C. R. Rao and H. D. Vinod 26-302 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. 206. Meen G. 999 Regional House Prices and the Ripple Effect A New Interpretation Housing Studies 4 6 733-753. Sichel D. E. 993 Business Cycle Asymmetry A Deeper Look Economic Inquiry 3 4 224-236. van den Noord P. 2006 Are House Prices nearing a Peak A Probit Analysis for 7 OECD Countries OECD Economics Department Working Papers No. 488. 2004 0 47 56 2009 0 72 79 2009 0 4 24 2002 7 26 33 2002 4 25 27 20 4 99 07 996 2 5 56 77 2009 7 27 40 200 5 28 37 2007 9 44 56 2005 2004 2006 23 33