英文标题：
《Is there a housing bubble in China》
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作者：
Tianhao Zhi (SYU), Zhongfei Li (SYU), Zhiqiang Jiang (ECUST), Lijian
Wei (SYU), Didier Sornette (ETH Zurich)
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最新提交年份：
2018
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英文摘要：
There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two aspects. First, we investigate whether the prices had been significantly deviating from economic fundamentals by applying a standard Engle-Granger cointegration test. Second, we apply the Log-Periodic-Power-Law-Singularity (LPPLS) model to detect whether there is any evidence of unsustainable, self-reinforcing speculative behaviours amongst the price series. We propose that, given the heterogeneity that exists amongst cities with different types of bubble signatures, it is vital to conduct bubble diagnostic tests and implement relevant policies toward specific bubble characteristics, rather than enforcing one-that-fits-for-all type policy that does not take into account such heterogeneity.
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中文摘要：
近年来，人们越来越担心中国房地产市场可能形成泡沫。本文旨在从两个方面对中国九个具有代表性的城市进行一系列泡沫诊断分析。首先，我们运用标准的恩格尔-格兰杰协整检验来研究价格是否显著偏离了经济基本面。其次，我们应用对数周期幂律奇异性（LPPLS）模型来检测价格序列中是否存在任何不可持续、自我强化的投机行为的证据。我们建议，考虑到具有不同类型泡沫特征的城市之间存在的异质性，进行泡沫诊断测试并针对特定泡沫特征实施相关政策至关重要，而不是强制执行不考虑这种异质性的适用于所有类型的政策。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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