摘 要 控制城市房价波动在合理的区间，是坚决守住不发生区域性、系 统性金融风险底线的关键，同时也是我国政府在经济领域长期面临的 重大挑战。在我国房地产业已处于价格既不能涨更不能跌，既要去库 存又要拉投资的困境下，关键问题不再是证明泡沫是否存在或多大， 而是如何防止房价异常波动，因此，准确识别并有效控制房价的异常 波动显得尤为关键。然而，现有文献结构中，驱动城市房价出现异常 波动的研究视角鲜有涉及，类似研究也大多采用影响因素合成指标体 系，存在一定的主观性与片面性。 基于以上现实需求与理论背景，本文首先对房价异常波动进行了 概念界定，阐明房价异常波动与价格波动、房价泡沫之间的区别。随 后，在广泛阅读文献的基础上，将识别房价异常波动的方法归纳为峰 谷检测三角法、动态均线偏移法与递归 HP 滤波法。同时基于我国 35 个大中城市 2005 年至 2017 年共计 53 个季度的新建住宅价格与二手 住宅价格的定基比指数，识别并分析房价异常波动的整体特征、个体 特征与空间特征，最后利用非参数检验与多元 Logit 模型探究了影响 房价异常波动的关键因素。 研究发现：（1）我国房价异常上涨时期主要集中于 2009 年、2013 年与 2016 年，异常下跌时期主要集中于 2008 年、2011 年与 2014 年， 且两者之间存在紧密联系；（2）谱聚类结果显示房价波动会从第一类 城市向第三类城市传递且具有逐级削弱效应；（3）信贷增长率、居民 收入与商品住宅销售面积的增加会提高房价高峰发生的概率，房地产 投资额与宅地供应面积的增加是导致房价低谷概率提高的关键因素。 关键词：房地产价格，异常波动，影响因素，KW 检验，MNL 模型 论文类型：应用/专题研究II IDENTIFICATION OF ABNORMAL FLUCTUATION IN URBAN HOUSING PRICES AND THE INFLUENCING FACTORS ABSTRACT Controlling house price fluctuations in a reasonable range is necessary to defend the bottom line of regional and systemic financial risks, and it is also a major challenge for the Chinese government in the economic field. China's real estate industry has reached a critical period for maintaining price stability. The key concern is no longer proving whether a bubble exists or how large the bubble is, but rather how to prevent abnormal fluctuations in house prices. Therefore, it is particularly important to accurately identify abnormal fluctuations in house prices and to effectively control them. However, little research has examined what drives abnormal fluctuations in urban housing prices. Studies that have done so have primarily employed synthetic index systems of influencing factors, which are subjective and one-sided. Based on the above realistic needs and theoretical background, this paper defines the abnormal fluctuations in housing prices, and clarifies the difference between abnormal price fluctuations, price fluctuations, and housing price bubbles. Subsequently, on the basis of extensive reading of the literature, the method of identifying abnormal fluctuations in house prices is summarized as peak-valley detection trigonometry, dynamic mean-line migration method and recursive HP filtering method. At the same time, based on the 35 large- and medium-sized cities' quarterly data from 2005 to 2017, this study analyzes the overall, individual, and spatial characteristics of abnormal housing price fluctuations in new residential buildings and second-hand residential. Finally, the nonparametric test and MNL model are employed to analyze the influencing factors. The findings are as follows: (1) The abnormal rise in urban housing prices was mainly concentrated in 2009, 2013, and 2016; the period of abnormal decline was concentrated in 2008, 2011, and 2014, and there was a close relationship between these periods. (2) The results of spectral clustering revealed that house price fluctuations between cities are transmitted from the first category to the third category and have a step-by-step weakening effect. (3) Increases in credit growth rate, household income,III and commercial residential sales area increase the probability of a peak in housing prices; by contrast, increases in real estate investment and supply of homesteads are the key factors leading to an increased probability of falling house prices. KEY WORDS: Real Estate Price; Abnormal Fluctuations; Influencing Factors; KW Test; MNL Model YPE OF DISSERTATION / THESIS: Application Research浙江工业大学硕士学位论文 城市房地产价格异常波动的识别及其影响因素研究 IV 目 录 1 绪论.......................................................................................................1 1.1 研究背景与意义 ............................................................................................1 1.1.1 研究背景..............................................................................................1 1.1.2 研究意义..............................................................................................3 1.2 研究内容与框架结构 ....................................................................................4 1.2.1 研究内容..............................................................................................4 1.2.2 框架结构..............................................................................................5 1.3 主要创新点 .....................................................................................................6 2 基本理论与文献综述 ..........................................................................8 2.1 价格异常波动的一般定义 ............................................................................8 2.2 房价异常波动的研究现状 ............................................................................8 2.2.1 国外研究现状..................................................................................................8 2.2.2 国内研究现状................................................................................................10 2.3 房价波动关键影响因素 .............................................................................. 11 3 基于峰谷检测三角法的我国主要城市房价异常波动识别............16 3.1 数据来源与预处理 ......................................................................................16 3.2 峰谷检测三角法简介 ..................................................................................17 3.2.1 相关理论基础....................................................................................17 3.2.2 识别具体步骤....................................................................................18 3.3 新建住宅价格异常波动识别 .......................................................................19 3.3.1 整体波动特征....................................................................................19 3.3.2 城市波动特征....................................................................................21 3.3.3 空间扩散特征....................................................................................23 3.4 二手住宅价格异常波动识别 ......................................................................24 3.4.1 整体波动特征....................................................................................24 3.4.2 城市波动特征....................................................................................27 3.4.3 空间扩散特征....................................................................................28 4 基于动态均线偏移法的我国主要城市房价异常波动识别............30 4.1 动态均线偏移法简介 ..................................................................................30 4.1.1 相关理论基础....................................................................................30 4.1.2 识别具体步骤....................................................................................31浙江工业大学硕士学位论文 城市房地产价格异常波动的识别及其影响因素研究 V 4.2 新建住宅价格异常波动识别 ......................................................................31 4.2.1 整体波动特征....................................................................................31 4.2.2 城市波动特征....................................................................................34 4.2.3 空间扩散特征....................................................................................34 4.3 二手住宅价格异常波动识别 ......................................................................35 4.3.1 整体波动特征....................................................................................35 4.3.2 城市波动特征....................................................................................38 4.3.3 空间扩散特征....................................................................................38 5 基于递归 HP 滤波法的我国主要城市房价异常波动识别 ............40 5.1 递归 HP 滤波法简介...................................................................................40 5.1.1 相关理论基础....................................................................................40 5.1.2 识别具体步骤....................................................................................41 5.2 新建住宅价格异常波动识别 ......................................................................42 5.2.1 整体波动特征....................................................................................42 5.2.2 城市波动特征....................................................................................44 5.2.3 空间扩散特征....................................................................................44 5.3 二手住宅价格异常波动识别 ......................................................................45 5.3.1 整体波动特征....................................................................................45 5.3.2 城市波动特征....................................................................................48 5.3.3 空间扩散特征....................................................................................48 6 城市房价异常波动识别结果分析与方法比较 ................................50 6.1 新建住宅价格异常波动识别结果小结 ......................................................50 6.2 二手住宅价格异常波动识别结果小结 ......................................................54 6.3 三种异常波动识别方法优劣势小结 ..........................................................57 6.3.1 有效率与准确率对比........................................................................57 6.3.2 优劣势对比........................................................................................58 7 影响城市房价异常波动的关键因素 ................................................60 7.1 理论分析与研究假设 ...................................................................................60 7.1.1 房地产价格传导机制........................................................................60 7.1.2 变量选择与研究假设........................................................................61 7.2 模型构建与数据来源 ..................................................................................62 7.2.1 MNL 模型构建..................................................................................62 7.2.2 数据来源说明....................................................................................64 7.3 基于非参数检验的影响因素探析 ..............................................................64浙江工业大学硕士学位论文 城市房地产价格异常波动的识别及其影响因素研究 VI 7.3.1 Kruskal-Wallis 检验原理 ..................................................................64 7.3.2 非参数检验结果................................................................................65 7.4 基于三元 logit 模型的影响因素探析.........................................................67 7.4.1 MNL 模型估计结果..........................................................................67 7.4.2 MNL 模型边际效用..........................................................................70 7.5 本章小结 ......................................................................................................72 8 研究结论与政策建议 ........................................................................74 8.1 研究结论 ......................................................................................................74 8.2 政策建议 ......................................................................................................75 8.3 研究不足与展望 ..........................................................................................76 参考文献 ..................................................................................................77 附录 1 新建住宅与二手住宅价格季度指数原数值(上年同比=100) .......82 附录 2 新建住宅价格高峰与低谷异常期波动特性(峰谷检测三角法)......84 附录 3 二手住宅价格高峰与低谷异常期波动特性(峰谷检测三角法).....86 附录 4 35 个城市新建住宅异常波动情况（峰谷检测三角法）.........88 附录 5 35 个城市二手住宅异常波动情况（峰谷检测三角法）.........90 附录 6 35 个城市新建住宅异常波动情况（动态均线偏移法）.........92 附录 7 35 个城市二手住宅异常波动情况（动态均线偏移法）.........94 附录 8 35 个城市新建住宅异常波动情况（递归 HP 滤波法）.........96 附录 9 35 个城市二手住宅异常波动情况（递归 HP 滤波法）.........98 附录 10 one-sided HPfilter ..................................................................100 附录 11 谱聚类分析算法 .....................................................................101 致 谢.......................................................................................................103 攻读学位期间参加的研究工作和获得的学术成果............................104浙江工业大学硕士学位论文 城市房地产价格异常波动的识别及其影响因素研究 VII 图、表目录 图 1. 1 2015-2017 年 15 个一线和热点二线城市新建商品住宅价格变动对比 3 图 1. 2 技术路线图................................................................................................6 图 3. 1 上升/下跌阶段示意图 ............................................................................18 图 3. 2 基于峰谷检测三角法的新建住宅价格异常波动情况..........................20 图 3. 3 典型城市新建住宅价格异常波动识别结果..........................................22 图 3. 4 34 个城市新建住宅价格异动谱聚类分析..............................................24 图 3. 5 二手房房价异常期柱形图（峰谷检测三角法）..................................25 图 3. 6 基于峰谷检测三角法的二手住宅价格异常波动情况..........................26 图 3. 7 典型城市二手住宅价格异常波动识别结果..........................................28 图 3. 8 34 个城市二手住宅价格异动谱聚类分析..............................................29 图 4. 1 基于动态均线偏移法的新建住宅价格异常波动情况..........................33 图 4. 2 典型城市新建住宅价格异常波动识别结果..........................................34 图 4. 3 34 个城市新建住宅价格异动谱聚类分析..............................................35 图 4. 4 基于动态均线偏移法的二手住宅价格异常波动情况..........................37 图 4. 5 典型城市二手住宅价格异常波动识别结果..........................................38 图 4. 6 34 个城市二手住宅价格异动谱聚类分析..............................................39 图 5. 1 递归 HP 滤波法置信区间示意图（以北京新建住宅为例） ..............42 图 5. 2 基于递归 HP 滤波法的新建住宅价格异常波动情况 ..........................43 图 5. 3 典型城市新建住宅价格异常波动识别结果..........................................44 图 5. 4 34 个城市新建住宅价格异动谱聚类分析..............................................45 图 5. 5 二手房房价异常期柱形图（对比图）..................................................46 图 5. 6 基于递归 HP 滤波法的二手住宅价格异常波动情况 ..........................47 图 5. 7 典型城市二手住宅价格异常波动识别结果..........................................48 图 5. 8 34 个城市二手住宅价格异动谱聚类分析..............................................49 图 6. 1 35 个城市新建住宅高峰异常期与低谷异常期......................................51 图 6. 2 35 个城市新建住宅价格异常波动情况汇总表......................................53 图 6. 3 35 个城市二手住宅高峰异常期与低谷异常期......................................54 图 6. 4 35 个城市二手住宅价格异常波动情况汇总表......................................56 图 7. 1 房价传导的三种机制..............................................................................61 表 2. 1 房价异常波动影响因素国外文献...........................................................12 表 2. 2 房价异常波动影响因素国内文献...........................................................14 表 3. 1 数据可获得性整理一览表......................................................................16浙江工业大学硕士学位论文 城市房地产价格异常波动的识别及其影响因素研究 VIII 表 3. 2 新建住宅价格异常阶段整体指标..........................................................21 表 3. 3 北上广深新建住宅价格异常阶段与强度..............................................22 表 3. 4 二手住宅价格异常阶段整体指标..........................................................27 表 3. 5 北上广深二手住宅价格异常阶段与强度..............................................28 表 6. 1 34 个城市新建住宅分类汇总表..............................................................52 表 6. 2 34 个城市二手住宅分类汇总表..............................................................55 表 6. 3 三种方法有效率与准确率对比（新建住宅）......................................58 表 6. 4 三种方法有效率与准确率对比（二手住宅）......................................58 表 6. 5 三种识别方法优劣势对比......................................................................59 表 7. 1 潜在影响因素的非参数检验结果..........................................................66 表 7. 2 MNL 模型回归结果（新建商品住宅）.................................................68 表 7. 3 MNL 模型回归结果（二手住宅）.........................................................69 表 7. 4 总体及不同类型城市下的边际效应（新建住宅）..............................71 表 7. 5 总体及不同类型城市下的边际效应（二手住宅）..............................72