题目：Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy

时间：2016年6月7日  星期二     12:00 – 13:30

地点：明德主楼714

报告人：Eric Girardin

摘要：In a similar way to the stock market, the housing market in China has often been portrayed as highly speculative, giving rise to “bubble” concerns. Over the last decade, residential prices increased every year on average by double digits in Beijing or Shanghai (Deng, Gyourko and Wu, 2012). However many observers and researchers argue that the fundamentals of the housing sector, both sector-specific and macroeconomic, may have been the driving force behind housing price volatility. While existing empirical work exclusively relies on downward-biased official housing prices, this paper uses original high-frequency unit level residential price series for Beijing and Shanghai to test alternative hypotheses about the drivers of house price growth. We propose a sequential research strategy including the construction of hedonic prices, explosive unit root tests (Phillips, Shi and Yu, 2014), the filtering of microstructure noise (Bollerslev et al. 2015) and a Mixed Data Sampling (MIDAS) methodology (Ghysels et al, 2007; Engle et al., 2013) which enables us to document that fundamentals can indeed account for movements in housing price volatility, as well as transaction volume in first‐tier cities such as Beijing and Shanghai.

报告人简介：Eric Girardin is a professor of economics at Aix-Marseille University. His research interests include econometrics, finance, and macroeconomics. He has published over 30 economic papers in many decent journals including Journal of Development Economics, Journal of International Money and Finance, and Oxford Bulletin of Economics and Statistics.