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題名 總體經濟影響中國大陸房地產市場之動態研究
China`s Housing Market Dynamics and Their Reaction to Macroeconomic Changes
作者 游士儀
You, Shih Yi
貢獻者 林祖嘉
Lin, Chu Chia
游士儀
You, Shih Yi
關鍵詞 中國大陸房地產市場
景氣循環
馬可夫移轉模型
縱橫平滑移轉迴歸模型
Real Estate Market of China
Business Cycle
Markov Switching Model
Panel Smooth Transition Model
日期 2016
上傳時間 3-Aug-2016 10:27:49 (UTC+8)
摘要 房地產景氣波動是一動態的過程，如何在有效的樣本資料下，準確地認定中國大陸房地產景氣循環轉折點，並正確估計總體經濟變數對房地產景氣波動的影響，將有助於提供相關住宅政策建議。過去雖然已經有相當多文獻針對中國大陸的房地產市場進行深入的探討，然而多數文獻忽略了總體經濟變數對於房地產市場的非對稱性效果。因此本論文將利用馬可夫轉換模型，以及縱橫平滑移轉迴歸模型，探討總體經濟變數對中國大陸房地產市場存在的非對稱的效果，並同時對其房地產景氣循還進行估算。
The dynamic nature of real estate market in China has post specific challenges in exploring the relationship between macroeconomic variables and housing cycle as well as the determination of its turning point. There are large number of literature shed light on the relationship between housing price and economic fundamental factors. Most of the existing works however rarely invoked in possible that economy might have different impacts in different phase of housing cycle. Additionally, the structure and dynamics of the China’s housing market are less investigated.
The main purpose of this thesis is to study the non-linear relationship between housing price and some basic fundamentals by adopting the Markov switching model and the panel smooth transition model. Our analysis confirms the significance of the nonlinear relationship between the housing price and economic fundamental factors in China’s real estate market.
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Ahuja, A., L. Cheung, G. Han, P. Nathan, and W. Zhang (2010), “Are House Prices Rising Too Fast in China?” IMF Working Chapter, No. WP/10/274.
Bahmani-Oskooee, M., and S. H. Ghodsi (2016), “Do Changes in the Fundamentals Have Symmetric or Asymmetric Effects on House Prices? Evidence from 52 states of the United States of America,” Applied Economics, 48(31), 2912-2936.
Bernanke, B., and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14-31.
Bertaud, A. (2012), “Government Intervention and Urban Land Market: The Case of China,” Journal of Architectural and Planning Research, 29(4), 335-346.
Bracke, P. (2011), “How Long Do Housing Cycles Last? A Duration Analysis for 19 OECD Countries,” IMF Working Chapter WP/11/231, October.
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Chen S. W. (2008), “Reliability of Coincident and Leading Indicators in Monitoring Real Estate Cycles,” The Empirical Economics Letters, 7(3), 270-280.
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Dahl, C. M., and T. Kulaksιzoğlu (2006), "Modelling Changing Lag Structure in U.S. Housing Construction," in D. van Dijk, C. Milas, and P. Rothman eds, Nonlinear Time Series Analysis of Business Cycles, Elsevier, 407-429.
Darrat, A. F., and J. L. Glascock (1993), “On the Real Estate Market Efficiency,” Journal of Real Estate Finance and Economics, 7(1), 55-72.
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Filardo, A. J., and S. F. Gordon (1998), “Business Cycle Durations,” Journal of Econometrics, 85(1), 99-123.
Fortura, P., and J. Kushner (1986), “Canadian Inter-City Housing Price Differentials,” Journal of the American Real Estate and Urban Economics Association, 14(4), 525-536.
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描述 博士
國立政治大學
經濟學系
96258507
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0962585073
資料類型 thesis
dc.contributor.advisor 林祖嘉zh_TW
dc.contributor.advisor Lin, Chu Chiaen_US
dc.contributor.author (Authors) 游士儀zh_TW
dc.contributor.author (Authors) You, Shih Yien_US
dc.creator (作者) 游士儀zh_TW
dc.creator (作者) You, Shih Yien_US
dc.date (日期) 2016en_US
dc.date.accessioned 3-Aug-2016 10:27:49 (UTC+8)-
dc.date.available 3-Aug-2016 10:27:49 (UTC+8)-
dc.date.issued (上傳時間) 3-Aug-2016 10:27:49 (UTC+8)-
dc.identifier (Other Identifiers) G0962585073en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99639-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 96258507zh_TW
dc.description.abstract (摘要) 房地產景氣波動是一動態的過程，如何在有效的樣本資料下，準確地認定中國大陸房地產景氣循環轉折點，並正確估計總體經濟變數對房地產景氣波動的影響，將有助於提供相關住宅政策建議。過去雖然已經有相當多文獻針對中國大陸的房地產市場進行深入的探討，然而多數文獻忽略了總體經濟變數對於房地產市場的非對稱性效果。因此本論文將利用馬可夫轉換模型，以及縱橫平滑移轉迴歸模型，探討總體經濟變數對中國大陸房地產市場存在的非對稱的效果，並同時對其房地產景氣循還進行估算。zh_TW
dc.description.abstract (摘要) The dynamic nature of real estate market in China has post specific challenges in exploring the relationship between macroeconomic variables and housing cycle as well as the determination of its turning point. There are large number of literature shed light on the relationship between housing price and economic fundamental factors. Most of the existing works however rarely invoked in possible that economy might have different impacts in different phase of housing cycle. Additionally, the structure and dynamics of the China’s housing market are less investigated.
The main purpose of this thesis is to study the non-linear relationship between housing price and some basic fundamentals by adopting the Markov switching model and the panel smooth transition model. Our analysis confirms the significance of the nonlinear relationship between the housing price and economic fundamental factors in China’s real estate market.		en_US
dc.description.tableofcontents TABLE OF CONTENTS I
LIST OF TABLES AND FIGURES III
Chapter 1: Introduction 1
Chapter 2: Are the responses of real estate activities to macroeconomic changes symmetric in China? 5
2.1 Introduction 5
2.2 Methodology 9
2.3 Data and resources 14
2. 4 Empirical Result 15
2.4.1 Unit root tests 15
2.4.2 Model selection and its implications 18
2.5 Conclusion 25
Chapter 3: A three-state Markov approach to analyze housing prices cycle in China 27
3.1 Introduction 27
3.2 Methodology 30
3.2.1 Markov-Switching model 30
3.2.2 Markov-Switching model: The shift from two to three regimes 32
3.3 Data and unit root tests 34
3.3.1 Data description 34
3.3.2 Unit root tests 35
3.4. Estimation Result 36
3.4.1 Model selection 36
3.4.2 Estimates and interpretation 39
3.5 Conclusion 43
Chapter 4: Does local governments’ budget drive housing prices up in China? 45
4.1 Introduction 45
4.2 A model of housing activity and local government’s budget deficit 49
4.2.1 Households 49
4.2.2 Builders 50
4.2.3 Local government 51
4.2.4 Asymmetric effect and threshold model 52
4.3 Model specification tests and evaluation 53
4.3.1 Linearity test: Linear model versus PSTR model 54
4.3.2 No remaining non-linearity: Logistic or exponential transition function 55
4.3.3 Parameter estimation 56
4.4 Data description 57
4.5 Estimation results 59
4.5.1 Linearity tests 62
4.5.2 Comparison between linear and nonlinear estimation result 64
4.5.3 Asymmetric effect of land prices on housing prices 66
4.5.4 Does interest rate matter? 68
4.5.5 China`s specific characteristics 71
4.5.5.1 Budget deficit ratio 71
4.5.5.2 Sex ratio 72
4.6 Conclusion remarks 72
Chapter 5: Conclusion 75
Reference 77		zh_TW
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dc.format.extent 1484189 bytes-
dc.format.extent 1484189 bytes-
dc.format.mimetype application/pdf-
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dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0962585073en_US
dc.subject (關鍵詞) 中國大陸房地產市場zh_TW
dc.subject (關鍵詞) 景氣循環zh_TW
dc.subject (關鍵詞) 馬可夫移轉模型zh_TW
dc.subject (關鍵詞) 縱橫平滑移轉迴歸模型zh_TW
dc.subject (關鍵詞) Real Estate Market of Chinaen_US
dc.subject (關鍵詞) Business Cycleen_US
dc.subject (關鍵詞) Markov Switching Modelen_US
dc.subject (關鍵詞) Panel Smooth Transition Modelen_US
dc.title (題名) 總體經濟影響中國大陸房地產市場之動態研究zh_TW
dc.title (題名) China`s Housing Market Dynamics and Their Reaction to Macroeconomic Changesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abelson P., R. Joyeux, G. Milunovich, and D. Chung (2005), “Explaining House Prices in Australia: 1970-2003,” Economic Record, 81(8) 96-103.
Ahuja, A., L. Cheung, G. Han, P. Nathan, and W. Zhang (2010), “Are House Prices Rising Too Fast in China?” IMF Working Chapter, No. WP/10/274.
Bahmani-Oskooee, M., and S. H. Ghodsi (2016), “Do Changes in the Fundamentals Have Symmetric or Asymmetric Effects on House Prices? Evidence from 52 states of the United States of America,” Applied Economics, 48(31), 2912-2936.
Bernanke, B., and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14-31.
Bertaud, A. (2012), “Government Intervention and Urban Land Market: The Case of China,” Journal of Architectural and Planning Research, 29(4), 335-346.
Bracke, P. (2011), “How Long Do Housing Cycles Last? A Duration Analysis for 19 OECD Countries,” IMF Working Chapter WP/11/231, October.
Brown, G. T. (1984), “Real Estate Cycles Alter the Valuation Perspective,” Appraisal Journal, 52(4), 539–549.
Catte, P., N. Girouard, R. Price, and C. André (2004), “Housing Markets, Wealth and the Business Cycle,” OECD Economics Department Working Chapters, 394.
Chan, K. C., and C. H. Chang (2014), “Analysis of Bond, Real Estate, and Stock Market Returns in China,” The Chinese Economy, 47(2), 27–40.
Chen S. W. (2008), “Reliability of Coincident and Leading Indicators in Monitoring Real Estate Cycles,” The Empirical Economics Letters, 7(3), 270-280.
Chiou, J. S., and T. Wang (2009), “An Overview of China’s Real Estate Cycle During the Period of 1950-2008,” Review of Economic Research, 71, 23-28. (in Chinese)
Claessens, A., M. A. Kose, and M. E. Terrones (2011), “Financial Cycles: What? How? When? ” NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), 303 - 344.
Chou, C. Y. (2010), “The Empirical Study of China’s Real Estate Cycles,” Economic Vision, 5, 28-30. (in Chinese)
Dahl, C. M., and T. Kulaksιzoğlu (2006), "Modelling Changing Lag Structure in U.S. Housing Construction," in D. van Dijk, C. Milas, and P. Rothman eds, Nonlinear Time Series Analysis of Business Cycles, Elsevier, 407-429.
Darrat, A. F., and J. L. Glascock (1993), “On the Real Estate Market Efficiency,” Journal of Real Estate Finance and Economics, 7(1), 55-72.
Deng, Y., D. Zheng, and C. Ling (2005), “An Early Assessment of Residential Mortgage Performance in China,” The Journal of Real Estate Finance and Economics, 31(2), 117-136.
Diebold, F. X., J. H. Lee, and G. C. Weinbach (1994), “Regime Switching with Time-Varying Transition Probabilities,” In C. Hargreaves (Ed.), Nonstationary Time Series Analysis and Cointegration, Advanced Texts and Econometrics, Oxford and New York, pp. 283–302. Oxford University Press.
Diebold, F. X., and R. S. Mariano (1995), “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253–263.
Feng, Q., and G. Wu (2015), “Bubble or Riddle? An Asset-pricing Approach Evaluation on China’s Housing Market,” Economic Modelling, 46, 376-383.
Flardo, A. J. (1994), “Business Cycle Phases and Their Transitional Dynamics,” Journal of Business and Economic Statistics, 12 (3), 299–308.
Filardo, A. J., and S. F. Gordon (1998), “Business Cycle Durations,” Journal of Econometrics, 85(1), 99-123.
Fortura, P., and J. Kushner (1986), “Canadian Inter-City Housing Price Differentials,” Journal of the American Real Estate and Urban Economics Association, 14(4), 525-536.
Fouquau, J. (2008), “Regime Switching Models and Panel Data: From Linearity to Heterogeneity,” French: University of Orléans, Laboratoire d`Economie d`Orléans,
Garcia, R., and H. Schaller (2002), “Are the Effects of Monetary Policy Asymmetric?” Economic Inquiry, 40(1), 102-119.
Glaeser, E., and J. Gyourko (2003), “The Impact of Zoning on Housing Affordability,” Economic Policy Review, 9(2), 21–39.
González, A., T. Teräsvirta, and D. van Dijk (2005), “Panel Smooth Transition Regression Models,” Research Chapter 165, Quantitative Finance Research Centre, University of Technology, Sydney.
Granger, C. and P. Newbold. (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, 111-120.
Granger, C., and T. Teräsvirta (1993), Modeling Nonlinear Economic Relationships, USA: Oxford University Press.
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