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清华大学学报(自然科学版)  2015, Vol. 55 Issue (9): 984-990    
  建设管理 本期目录 | 过刊浏览 | 高级检索 |
基于小波分析的北京市住宅市场景气循环周期
樊颖, 张红, 杨赞
清华大学 建设管理系, 恒隆房地产研究中心, 北京 100084
Cyclical fluctuations of Beijing residential housing market based on a wavelet analysis
FAN Ying, ZHANG Hong, YANG Zan
Hang Lung Center for Real Estate, Department of Construction Management, Tsinghua University, Beijing 100084, China
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摘要 该文以北京市房地产市场为背景, 利用1999-2014年的宏观数据, 针对北京市住宅市场的景气循环周期进行识别和分析。在梳理现有研究的指标选取和模型拟合的基础上, 使用客观赋权的主成分分析对景气循环等指标进行提取, 将核心指标进行数据扩展合成为周期分析的指标; 通过多层次离散小波分解去除趋势和噪声, 利用重构的周期性信号表征平均周期与波动趋势, 进行长周期与短周期的定量分析。实证结果显示: 北京市房地产市场波动的短周期平均约3.75 a, 中长周期周期约为9 a。 预测结果表明: 总体上2014年房地产市场逐步进入萧条期, 需要引起投资者、金融机构和政府重视。
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关键词 小波分析住宅市场景气循环周期    
Abstract:This study analyzes the cyclical fluctuations of Beijing residential housing market using macro data in 1999-2014. This study uses a literature review to identify the limitations of current studies on real estate cycles and how to improve both the index selection and model simulations. The index selection uses objective weighting using a principal component analysis (PCA) to extract the core index and expand the sample data. The model simulation uses wavelet analyses to separate and rebuild the cyclical fluctuations. The empirical analysis shows a short 3.75 year short cycle and a medium 9 year cycle in Beijing residential housing market. The model indicates that the real estate market is entering a recession period in 2014, which will be noticed by market participants including investors, financial institutions and the government.
Key wordswavelet analyses    residential housing market    economic cycle
收稿日期: 2015-11-05      出版日期: 2015-11-09
ZTFLH:  F293.35  
通讯作者: 杨赞, 副教授。 Email: zanyang@mail.tsinghua.edu.cn     E-mail: zanyang@mail.tsinghua.edu.cn
引用本文:   
樊颖, 张红, 杨赞. 基于小波分析的北京市住宅市场景气循环周期[J]. 清华大学学报(自然科学版), 2015, 55(9): 984-990.
FAN Ying, ZHANG Hong, YANG Zan. Cyclical fluctuations of Beijing residential housing market based on a wavelet analysis. Journal of Tsinghua University(Science and Technology), 2015, 55(9): 984-990.
链接本文:  
http://jst.tsinghuajournals.com/CN/  或          http://jst.tsinghuajournals.com/CN/Y2015/V55/I9/984
  图1 三层小波分解结构示意图
  表1 主成分特征根和方差贡献率
  表2 初选指标的合成指标值
  表3 终选指标的合成系数
  图2 合成指标信号图
  图3 本文采用的db4作为小波基的小波母函数形态
  图4 母函数为db4的5层一维离散小波分解结果
  图5 基本信号及其组合重构
  图6 周期性波动(Cycle2)信号图
  图7 周期性波动(Cycle3)信号图
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