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.
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.
[1] Royal Institution of Chartered Surveyors (RICS). Valuation and Appraisal Manual (Red Book) [M]. Norich, UK: Valuation and Appraisal Manual, 1994.
[2] 郝凤英. 成都市房地产景气循环研究 [D]. 成都: 四川大学, 2007.HAO Fengying. A Research on the Real Estate Cycle of Chengdu [D]. Chengdu: Sichuan University, 2007. (in Chinese)
[3] Moore G H. Statistical Indicators of Cyclical Revivals and Recessions [R]. Cambridge, USA: National Bureau of Economic Research (NBER), 1950.
[4] Shiskin J, Moore G H. Composite Indexes of Leading, Coinciding and Indicators [R]. Cambridge, USA: National Bureau of Economic Research (NBER), 1968.
[5] Born W, Pyhrr S. Real estate valuation: The effect of market and property cycles [J]. Journal of Real Estate Research, 1994, 9(4): 455-485.
[6] Stock J H, Watson M W. A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience [M]. Chicago, USA: University of Chicago Press, 1993.
[7] 梁桂. 中国不动产经济波动与周期的实证研究 [J]. 经济研究, 1996, 7: 21-24.LIANG Gui. An empirical study of China's real estate fluctuations and cycles [J]. Economic Research Journal, 1996, 7: 21-24. (in Chinese)
[8] 曲波, 谢经荣, 王玮. 中国房地产周期波动的评介与探析 [J]. 中国房地产金融, 2003(2): 10-13.QU Bo, XIE Jingrong, WANG Wei. Review and analysis of Chinese real estate cycle [J]. China Real Estate Finance, 2003(2): 10-13. (in Chinese)
[9] 吴璟, 刘洪玉. 基于灰色-马尔可夫模型的房地产周期研究 [J]. 统计与决策, 2009(6): 32-34. WU Jing, LIU Hongyu. Study of real estate cycle based on grey-Markov model [J]. Statistics and Decision, 2009(6): 32-34. (in Chinese)
[10] 翁少群, 张红. 基于模糊模式识别理论的中国房地产市场发展阶段判别研究[J]. 土木工程学报, 2004, 37(5): 96-100.WENG Shaoqun, ZHANG Hong. A study determination for the development stage of China real estate marked based on the fuzzy recognition theory [J]. China Civil Engineering Journal, 2004, 37(5): 96-100. (in Chinese)
[11] 吕鹏, 张洪. 运用H-P滤波法研究我国房地产周期波动与房地产政策相关性 [J]. 中国市场, 2014(12): 109-112.LV Peng, ZHANG Hong. The study of real estate cycle fluctuations and correlated policy with H-P filtering method [J]. China Market, 2014(12): 109-112. (in Chinese)
[12] 朱骏, 张红. 基于时间序列与人工神经网络的房地产周期识别 [J]. 清华大学学报: 自然科学版, 2006, 46(6): 781-784.ZHU Jun, ZHANG Hong. Real estate cycle identification based on time sequence analysis and ANN [J]. Tsinghua Science and Technology: Science and Technology, 2006, 46(6): 781-784. (in Chinese)
[13] 张红, 谢娜. 基于主成分分析与谱分析的房地产市场周期研究 [J]. 清华大学学报: 自然科学版, 2008, 48(9): 1404-1407.ZHANG Hong, XIE Na. Beijing real estate market cycle analysis based on principle componential and spectral analyses [J]. Tsinghua Science and Technology: Science and Technology, 2008, 48(9): 1404-1407. (in Chinese)
[14] 唐志军, 徐会军, 巴曙松. 中国房地产市场波动对宏观经济波动的影响研究 [J]. 统计研究, 2010, 2: 5-22.TANG Zhijun, XU Huijun, BA Shusong. Impact of the real estate flunctuations on the China's macroeconomics [J]. Statistical Research, 2010, 2: 5-22. (in Chinese)
[15] 杨阳. 北京市房地产市场景气循环研究 [J]. 中国市场, 2013 (48): 62-64.YANG Yang. Research on the Real Estate Business Cycle of Beijing [J]. China Market, 2013 (48): 62-64. (in Chinese)
[16] 张卉. 成都市房地产市场景气循环实证研究 [D]. 成都: 四川师范大学, 2009.ZHANG Hui. A Research on the Real Estate Business Cycle of Chengdu [D]. Chengdu: Sichuan Normal University, 2009. (in Chinese)
[17] Pyhrr S A, Roulac S E, Born W L. Real estate cycles and their strategic implications for investors and portfolio managers in the global economy [J]. Real Estate Research, 1999, 18(1): 11-21.
[18] 齐锡晶, 赵亮, 吴红爽, 等. 基于 BP 神经网络的沈阳房地产市场预警 [J]. 东北大学学报: 自然科学版, 2010, 31(9): 1353-1356. (in Chinese)QI Xijing, ZHAO Liang, WU Hongshuang, et al. Early warning based on BP neural networks for real estate market in Shenyang [J]. Journal of Northeastern University: Natural Science, 2010, 31(9): 1353-1356. (in Chinese)
[19] 丁烈云, 李斌. 房地产市场预警调控系统的构筑技术要点及流程设计 [J]. 系统工程理论与实践, 2002, 22(4): 58-62.DING Lieyun, LI Bin. Design on flow and construction technical outline of real estate market early warning control system [J]. System Engineering Theory and Practice, 2002, 22(4): 58-62. (in Chinese)
[20] 刘锐金, 魏宏杰, 莫业勇. 基于小波分析的价格周期识别--以天然橡胶和合成橡胶价格为例 [J]. 数学的实践与认识, 2012, 42(20): 38-46.LIU Ruijin, WEI Hongjie, MO Yeyong. Identifying price cycles via wavelet analysis: A case of natural and synthetic rubber prices [J]. Mathematics in Practice and Theory, 2012, 42(20): 38-46. (in Chinese)
[21] 杨天宇, 黄淑芳. 基于小波降噪方法和季度数据的中国产出缺口估计 [J]. 经济研究, 2010, 1: 115-126. YANG Tianyu, HUANG Shufang. Estimating China's output gap based on wavelet denoising and quarterly data [J]. Economic Research Journal, 2010, 1: 115-126. (in Chinese)
[22] 北京市统计局. 北京市统计年鉴 . (2014-07-10), http://www.bjstats.gov.cn Beijing Statistics Bureau. Beijing statistical yearbook . (2014-07-10), http://www.bjstats.gov.cn. (in Chinese)
[23] Kitchin J. Cycles and trends in economic factors [J]. The Review of Economic Statistics, 1923: 10-16.
[24] Schumpeter J A. Business Cycles [M]. New York, USA: McGraw-Hill, 1939.
2015, Vol. 55 
