第一百七十八期财务与会计学术论坛

信息来源: 发布时间:2014年10月11日

题目:What Drives the Housing Markets in China: Rent, Cost of Capital, or Risk Premium of Owning relative to Renting?

时间:2013年6月7日(周五)15:00-16:30

地点:嘉庚二号楼513教室

报告人:中南财经政法大学金融学院副教授陈思翀

报告简介:

We combine the standard Campbell and Shiller (1988) present-value model with the classical user cost of housing model to decompose the rental yield into three components: expected future rent growth, cost of capital and risk premium of owning relative to renting. We then apply a quarterly dataset of four major cities (Beijing, Shanghai, Guangzhou and Shenzhen) to explore the question of what forces have driven the movement of China’s housing market. Specifically, using the variance decomposition approach to examine quantitatively how much the variation in rental yield comes from the above-mentioned three components. Our results show that cost of capital is playing a vital role in all the four major cities, while the future rent growth is not a driving force as significant as the cost of capital in the fluctuation of the rental yield. Moreover, we find that another factor -- the risk of owning relative to renting a house -- is accounting for a large part of housing market movement in China. It is also worth noting that the risk of renting relative to owning a house seems to be rising rapidly in China over the recent years.

报告人简介:
陈思翀, 现为中南财经政法大学金融学院副教授, 2010-2011年任日本国立一桥大学商学研究科讲师, 2007-2010年为日本国立一桥大学商学研究科博士后,分别于一桥大学取得硕士和博士学位,于复旦大学取得经济学硕士学位。研究领域为资产定价、金融机构与市场和日本金融体系, 在国际学术期刊和日语期刊上发表了多篇论文。