讲座题目：Memory and Dynamic Co-movements in Housing Prices and Macroeconomic Fundamentals: A Fractionally Cointegrated VAR Approach

　　报告人：段堃，英国南安普顿大学商学院,博士

　　报告时间：2018年12月18日上午10点00分

　　报告地点：经管院A208

　　主办单位：数理经济与数理金融系

　　主持人：魏立佳

　　摘要:Modelling possible slow-convergence of shocks within a complex interactive system is crucial as it provides a robust predictive power by quantifying the extent to which estimated macroeconomic effects are meaningful for a policy design. In this spirit, we introduce a long-memory cointegration approach to unravel distinct effect-transmission channels through which housing market and macroeconomic system co-moves. By employing a fractionally cointegrated VAR model for a quarterly dataset of the US from 1975Q1 to 2016Q1, we demonstrate that there is a gradual price adjustment towards the housing market clearing while the effects of shocks on equilibrium adjustments are inherently slow and non-linear. This identification strategy is able to not only gauge impacts of housing demand- or supply-exclusive variables, but also the ones that have dual roles through both the demand and supply sides, respectively, in equilibrium housing price determinations and dis-equilibrium error corrections. Eventually, an overall equilibrium housing price determination function is derived by solving the simultaneous housing demand and supply functions. Robustness checks that apply rational restrictions to unrestricted FCVAR estimations further confirm our results.

　　简介：段堃，英国南安普顿大学商学院在读博士。主要研究领域为房地产经济与金融，宏观经济政策传导机制，空间计量经济学，长记忆时间序列建模和面板计量经济学。目前已在 The Journal of Real Estate Finance and Economics 和 Economics Letters 国际期刊上各发表论文一篇。