漣漪效應與區域房價動態相關之影響因素

Abstract

本計畫研究區域間房價的動態互動關係以及漣漪效應的可能成因，選擇英國為分析之樣本國家。運用Copula模型所計算的動態相關係數分析英國倫敦地區與其他地區在過去四十年間的關係。發現地區間的關係多發生在經濟情況較差的階段，譬如1980年代初期、1990年代初期與2008金融海嘯時期，在樣本期間內，倫敦與各地區房價動態相關係數並沒有結構性轉變，但卻有慢慢降低的趨勢。本研究也運用因果關係測試(Granger causality test)，分析各區房價動態關係是否受到人口、所得、失業率供給等因素之地區差異所影響，發現這些經濟變數的相關性與房價相關係是有關聯的，特別是失業率方面。

This project focuses on the dynamic changes of the housing price correlation in the United Kingdom. We use the copula method to estimate dynamic correlation coefficients (DCC) between ten regions and London in the last four decades, showing that the DCC generally increases during the economic downturns such as the early 1980s, early 1990s, and the 2008 global crisis. Between 1976 and 2015, we do not find structural breaks of the DCC. The effect of economic interdependence on housing price correlation is found in OLS models. Using Granger causality test, we also indicate that the interaction of housing prices will conversely affect the interaction of unemployment rate. Finally, the spillover effects of London`s housing prices has been weakening to date.