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:319932008,,,,2003,,20032008,34.6%23.7%60.5%46.3%(),(1),,20082008,,,,,4101900233:59100872:010-82500236:pro.chenjian@263.net();chenyingnan@ruc.edu.cn();:510642:renheliu@163.com:(:70672024),,;,(1993Q3=100)12008Q21993Q2-2008Q21.170.250.582008Q20.251991Q2-2008Q21.000.240.542008Q20.241991Q2-2008Q21.720.380.832008Q20.381991Q2-2008Q21.680.410.802007Q30.45:1993Q3=100,:,(theusercostofowner-occupiedhousing)?,,,,?,,,(),,,:,,,,MayerSinai(2007),,,,,,,510190023(1996,):,,,,,Brunnermeier(2008a),McCarthyPeach(2004):;,,(CaseandShiller,2003;Himmelbergetal.,2005)Brunnermeier(2008a):,()(psychologicalbia2ses)(priorbeliefs),Duda(2007),,(2005)(2007)Tyran(2007):,,,,(2007),,,(2007),,(Brunnermeier,2008b):;;,;(),CPI,(fundamental),,,(Jorgenson,1963;HendershottandSlemrod,1983;Poterba,19841992)Himmelberg(2005)4619802004,McCarthyPeach(2004)Jorgenson(1963)19842003,McCarthyPeach(2005)Girouard(2006)Poterba(1992),(OECD),(2008)(2005)(2007),,(),CaseShiller(19882003)4,,,(2004)14()(2007),(2008),35,(2006),(2006),,610190023:(2004)(2006)21BrunnermeierJulliard(2008)PiazzesiSchneider(2008),,,,(2008)(2009),,,,MayerSinai(2007)Himmelberg(2005)():21,,2080,,19952006,()Himmelberg(2005)HendershottSlemrod(1983)Poterba(1984):=Rt=Ptrrft+Ptt-Ptt(rmt+t)+Ptt-Ptgt+1+Ptt(1),Rt;Pt;Ptrrft,;Ptt;Ptt(rmt+t),,rmtttPt;Ptt,t;Ptgt+1();PttPt,ut=rrft+t-t(rmt+t)+t-gt+1+t(),:Rt=Ptut(2)710190023ModiglianiCohn(1979),:,;,(2008)Campbell(2000),?(2),,:Rt/Pt=ut(3)(3),(Rit/Pit)(uit),:Rit/Pit=0+1uit+it(4)i,t,it,,MayerSinai(2007),(4)EittRit/Pit=0+1uit+2Eit+3t+it(5)()1.(Rit/Pit),(70),(DTZIndexChineseMainland),:,(1991);,,,:6(),1993,1996,1991,,:2004,19932004,2000(=100),1993:,Davis(2008),2006(Di2006Q1),:RitPit=rit/pitri2006Q1/pi2006Q1Di2006Q1(6)20083,,,(/),,2006(5.1%3.1%6.4%5.4%)810190023:,CPI1993199510%,,,(PiazzesiandSchneider,2008)2.(uit),,Himmelberg(2005)(ut):uit=rrft-git+1+t+t(7),(),(),,(rrft),,,,,,;36912(git+1)Poterba(1984),CaseShiller(19882003)Himmelberg(2005),Himmelberg(2005),,(t)Chen(1996)WorldBank(1992)50,2%(t),MayerSinai(2007),2%3.(Eit),,:Eit=Pit-1-Pit-5Pit-5(8)Pit,910190023,,3%,,,(,2008),,,,,0,,70,5019939,,,4.(t),,,1991120086CPI,2001120086CPI2001112CPI19911200012,19911200012,19939=(CPI-100)/10036912419932008Rit/Pituit,Eitt,()(2),;11%,35%,27%,;27%,,2(1993Q12008Q2)Rit/Pit0.1930.0230.0760.033uit0.1140.0030.0390.0351n(Rit/Pit)-1.643-3.754-2.6750.4341n(uit)-2.175-5.773-3.7691.099Eit0.351-0.266-0.0060.117t0.273-0.0210.0530.074(),(5)t,ADFPPKPSS,t10%1n(Rit/Pit)1n(uit)EitLLCIPSFisher-ADFFisher-PP,,,(4),EGKaoJohansen(Combinedindividual)1n(Rit/Pit)1n(uit),,10%,Kao1n(Rit/Pit)1n(uit)Eitt,,,(5)020190023:1993Q2,R/Pu1993Q2,E1994Q3,,(2008)(2008)1n(Rit/Pit)1n(uit)Eit,t,:(1)1n(Rit/Pit)1n(uit),(2)Eitt,,()(5),ln(uit)Eittln(Rit/Pit),F,(5)(9):ln(Rit/Pit)=0+1iln(uit)+2iEit+3it+ci+it(9)ci(),,,,1i0,1,1i,2i3i,2i,3i3ln(uit)0.1253(33.654)0.1923(31.671)0.0223(5.259)-0.01933(-2.617)Eit-2.4473(-38.103)-0.5263(-11.789)-1.2293(-38.416)-1.6583(-78.456)t1.4273(12.258)2.5753(29.943)0.8093(11.654)1.5143(24.486)-2.4843(-212.328)230YR20.845:(1)(),p1,p=2,;X(2)t,3331%5%(3)()Cross-sec2tionWeights(PCSE)(4)Y,1.(9),StockWatson(1993)(DGLS),(9)pj=-piji,t-j,(9),p(lead)(lag)3,1%,0.125%;1%,120190023,F32.711F0.05(12,232),,F9.127F0.05(9,232),(2006)(2008),80%(N=4)(Eviews6.0),Hausman,,(,2008)-2.45%;1.427,,,,,0.1%,(),,,,(1)(2),,(3),,,,(Asness,2003;CampbellandVuolteenaho,2004)2.,,(Himmelbergetal.,2005;McCarthyandPeach,2005),(uit)4ln(uit)0.4703(33.234)0.5803(37.647)0.2923(29.553)0.02733(2.484)Eit-2.4243(-39.218)-0.6413(-15.074)-1.5233(-68.024)-1.7033(-99.250)t0.7453(6.183)1.6563(16.793)-0.9743(-14.149)0.9843(16.776)-1.8313(-96.759)230YR20.857,,,,,;,,4,,1,220190023::%ln(R/P)=100[exp(-2.4470.01)-1]=-2.42%,,70,211,19931995,;,PiazzesiSchneider(2008),,,ln(uit),(4)(5)ln(uit),,19932008,:(1),,,(2)(3),3,,,:,,,;,,,,,,,:,,,,:(1),(2)(3),(4)BrunnermeierJulliard(2008),,(Fama,1981)(BrandtandWang,2003):(2008):,:(2006):,:(2006):,1(2007):2000-200535,8(1996):,(),:(2006):,8(2007):,8(2008)::,2(2008):,8(2009):,23201900231,(2007):,10(2007):,8(2008)::35,1(2004)::1995-200214,6(2008):Eviews,:(2008):,122(2005):4,5MarkDuda(2007):?,4(2008):35,1Asness,C.S.FighttheFedModel.JournalofPortfolioManagement,2003,30(1),pp.11-24.Brandt,MichaelW.andWang,KevinQ.Time-varyingRiskAversionandUnexpectedInflation.JournalofMonetaryEconomics,2003,50(10),pp.1457-1498.Brunnermeier,MarkusK.andJulliard,Christian.MoneyIllusionandHousingFrenzies.ReviewofFinancialStudies,2008,21(1),pp.135-180.Brunnermeier,MarkusK.Bubbles.TheNewPalgraveDictionaryofEconomics,SecondEdition.:AComment,inJohnY.Campbell,ed.,AssetPricesandMonetaryPolicy.Chicago,IL:ChicagoUniversityPress,2008b.Campbell,JohnY.AssetPricingattheMillennium.JournalofFinance,2000,55(4),pp.1515-1553.Campbell,JohnY.andVuolteenaho,T.InflationIllusionandStockPrices.AmericanEconomicReviewPapersandProceedings,2004,94(2),pp.19-23.Case,KarlE.andShiller,RobertJ.TheBehaviorofHomeBuyersinBoomandPost-BoomMarkets.NewEnglandEconomicReview,No2vem