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近年来国际“热钱”对房地产市场价格影响趋于复杂。文章试图在考虑我国经济状态发生若干次转换的前提下,通过建立协整方程和含有Markov状态转移项的向量修正模型对国际“热钱”流入与我国房地产价格的关系进行长期均衡及短期调整的实证分析,以分析不同状态下“热钱”流动对我国房地产市场价格的影响,并在此基础上就如何有效监管“热钱”及应对“热钱”对房地产市场的影响提供理论借鉴。实证结果表明房价与“热钱”流入量、汇率及货币供应量存在着长期均衡关系,且这四个变量组成的经济系统存在“高波动”及“低波动”两种不同的状态,各变量在不同状态中有不同程度的短期均衡关系;相对于“低波动”状态,“高波动”状态下房地产价格更难从偏离水平回归到均衡水平。
In recent years, international “hot money ” on the real estate market price tends to be more complex. This paper tries to make a long-term equilibrium and short-term adjustment of the relationship between the inflow of international “hot money ” and the real estate price in our country through the establishment of the co-integration equation and the vector correction model with Markov state transitions, taking into account several transitions in our country’s economy. Empirical analysis to analyze the impact of “hot money ” flow on the real estate market prices in different states, and on this basis on how to effectively monitor “hot money ” and deal with “hot money ” on the real estate market impact Learn from theory. The empirical results show that there is a long-term equilibrium relationship between housing prices and inflows, exchange rates and money supply of “hot money”, and there are two different economic systems consisting of these four variables: “high volatility” and “low volatility” , And the variables have different degrees of short-term equilibrium in different states. Compared with the state of “low volatility”, the price of real estate in the state of “high volatility” is more difficult to return to the equilibrium level from the deviation level.