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題名 以總體經濟指標探討中國大陸房價之泡沫化現象
Using macroeconomic indices to explore housing price bubble作者 張棋茹 貢獻者 林左裕
張棋茹關鍵詞 中國大陸房價
總體經濟指標
狀態空間模型
China’s Housing Price Bubble
Macroeconomic Indices
State Space model日期 2017 上傳時間 31-Jul-2017 11:35:54 (UTC+8) 摘要 According to the previous literatures and news, the housing price in China has been increasing dramatically and resulted in some problems. This study estimate six regions’ housing price bubbles including Shanghai, Beijing, Guangzhou, Shenzhen, Chongqing and Wuhan. First, this study uses some basic analysis to explore the data such as, descriptive statistical analysis, correlation analysis, unit root test and Granger Causality test. Second, this research measures the impact of macroeconomic indicators on these six regions using State Space model, that is, whether these six regions have a housing price bubble or not.This study uses macroeconomic indicators to investigate Shanghai, Beijing, Guangzhou, Shenzhen, Chongqing and Wuhan housing price bubbles. Choosing six regions of China’s housing price index and nine independent variables from 2005 Q3 to 2016 Q4 in this research. First, this study separates each region with different macroeconomics indices to estimate the significant of the housing price. Second, through many tests and found out the best models with the housing price bubbles in six regions. This study concludes that there are various significant relationship evidences for each region and it has different variables affect the housing price. The results of State Space model show, Beijing and Guangzhou suggest higher hosing price bubbles and need to strengthen control to avoid more housing bubbles. 參考文獻 許易民 (2012)。中國大陸房價泡沫可能破滅問題之探討。經濟研究，12，387-412。 趙永祥、吳依正 (2014)。後全球金融危機中國大陸房市是否有泡沫化危機?。華人經濟研究。12(1)，169-187。 林祖嘉 (2011)。中國大陸房價泡沫與總體經濟的因果關係。國家政策研究基金會。林左裕 (2012)。貨幣政策與房價的關係。行政院國家科學委員會專題研究計畫 成果報告。 林左裕 (2013)。中國錢荒潛藏金融風暴。先探投資周刊。1738，84-85。汪新、謝昌浩(2010) 。我國房價的宏觀經濟影響因素分析-基於PLS方法的實證研究，《華東經濟管理》，第24卷第3期，頁53-57。 台玉紅、苗苗、張潔 (2010) 。我國房地產泡沫測度——基于京、津、滬、渝四直轄市的實證研究。《華東經濟管理》，2010年第3期，頁58-62。 Website ReferenceInternational Monetary Fund (2016), January 2016, Challenges of the " IMF Global Housing Watch Quarterly Update". Retrieved from http://www.imf.org/external/research/housing/report/pdf/0116.pdf English referenceAdams, Z., & Füss, R. (2010). Macroeconomic determinants of International housing markets. Journal of Housing Economics, 19(1), 38-50.Belke, A., & Wiedmann, M. (2005). Boom or bubble in the US real estate market?. Intereconomics, 40(5), 273-284.Black, A., Fraser, P., & Hoesli, M. (2006). House prices, fundamentals and bubbles. Journal of Business Finance & Accounting, 33(9‐10), 1535-1555.Bourassa, S. C., Hendershott, P. H., & Murphy, J. (2001). Further evidence on the existence of housing market bubbles. Journal of Property Research, 18(1), 1-19.Case, K. E., & Shiller, R. J. (2003). Is there a bubble in the housing market?. Brookings Papers on Economic Activity, 2003(2), 299-342.Chivakul, M., Lam, W. R., Liu, X., Maliszewski, W. S., & Schipke, A. (2015). Understanding residential real estate in China, IMF Working Paper.Courchane, M. J., & Holmes, C. (2014). Bubble, Bubble–Is there House Price Trouble--in Canada?. International Real Estate Review, 17(1), 109-135.Fernández-Kranz, D., & Hon, M. T. (2006). A cross-section analysis of the income elasticity of housing demand in Spain: Is there a real estate bubble?. The Journal of Real Estate Finance and Economics, 32(4), 449-470.Fraser, P., Hoesli, M., & McAlevey, L. (2008). House prices and bubbles in New Zealand. The Journal of Real Estate Finance and Economics, 37(1), 71-91.Glaeser, E. L., Gyourko, J., & Saiz, A. (2008). Housing supply and housing bubbles. Journal of urban Economics, 64(2), 198-217.Goodman, A. C., & Thibodeau, T. G. (2008). Where are the speculative bubbles in US housing markets?. Journal of Housing Economics, 17(2), 117-137.Hott, C., & Monnin, P. (2008). Fundamental real estate prices: An empirical estimation with international data. The Journal of Real Estate Finance and Economics, 36(4), 427-450.Hui, E. C., & Yue, S. (2006). Housing price bubbles in Hong Kong, Beijing and Shanghai: a comparative study. The Journal of Real Estate Finance and Economics, 33(4), 299-327.Jin, Y., & Zeng, Z. (2004). Residential investment and house prices in a multi-sector monetary business cycle model. Journal of Housing Economics, 13(4), 268-286.Mikhed, V., & Zemčík, P. (2009). Do house prices reflect fundamentals? Aggregate and panel data evidence. Journal of Housing Economics, 18(2), 140-149.Zhang, C. (2015). Income inequality and access to housing: Evidence from China. China Economic Review, 36, 261-271. 描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
104266009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104266009 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.author (Authors) 張棋茹 zh_TW dc.creator (作者) 張棋茹 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 31-Jul-2017 11:35:54 (UTC+8) - dc.date.available 31-Jul-2017 11:35:54 (UTC+8) - dc.date.issued (上傳時間) 31-Jul-2017 11:35:54 (UTC+8) - dc.identifier (Other Identifiers) G0104266009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111593 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES) zh_TW dc.description (描述) 104266009 zh_TW dc.description.abstract (摘要) According to the previous literatures and news, the housing price in China has been increasing dramatically and resulted in some problems. This study estimate six regions’ housing price bubbles including Shanghai, Beijing, Guangzhou, Shenzhen, Chongqing and Wuhan. First, this study uses some basic analysis to explore the data such as, descriptive statistical analysis, correlation analysis, unit root test and Granger Causality test. Second, this research measures the impact of macroeconomic indicators on these six regions using State Space model, that is, whether these six regions have a housing price bubble or not.This study uses macroeconomic indicators to investigate Shanghai, Beijing, Guangzhou, Shenzhen, Chongqing and Wuhan housing price bubbles. Choosing six regions of China’s housing price index and nine independent variables from 2005 Q3 to 2016 Q4 in this research. First, this study separates each region with different macroeconomics indices to estimate the significant of the housing price. Second, through many tests and found out the best models with the housing price bubbles in six regions. This study concludes that there are various significant relationship evidences for each region and it has different variables affect the housing price. The results of State Space model show, Beijing and Guangzhou suggest higher hosing price bubbles and need to strengthen control to avoid more housing bubbles. zh_TW dc.description.tableofcontents Chapter 1 Introduction 11.1 General Background and Research Motivation 11.2 Research Purpose 61.3 Research Process 6Chapter 2 Literature Review 82.1 House Price 82.2 China’s House Price 92.3 House Bubble 122.4 Variables Selection 13Chapter 3 Research Method and Data Information 163.1 Research Method 163.2 Variable and Data Information 183.3 Descriptive Statistics Analysis 243.4 Correlation Analysis 253.5 Unit Root Test 273.6 Granger Causality Test 28Chapter 4 Empirical Results 324.1 Results of Shanghai 324.2 Results of Beijing 344.3 Results of Guangzhou 364.4 Results of Shenzhen 384.5 Results of Chongqing 404.6 Results of Wuhan 42Chapter 5 Conclusions and Suggestions 455.1 Conclusions 455.2 Suggestions 47Reference 48 zh_TW dc.format.extent 1088492 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104266009 en_US dc.subject (關鍵詞) 中國大陸房價 zh_TW dc.subject (關鍵詞) 總體經濟指標 zh_TW dc.subject (關鍵詞) 狀態空間模型 zh_TW dc.subject (關鍵詞) China’s Housing Price Bubble en_US dc.subject (關鍵詞) Macroeconomic Indices en_US dc.subject (關鍵詞) State Space model en_US dc.title (題名) 以總體經濟指標探討中國大陸房價之泡沫化現象 zh_TW dc.title (題名) Using macroeconomic indices to explore housing price bubble en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 許易民 (2012)。中國大陸房價泡沫可能破滅問題之探討。經濟研究，12，387-412。 趙永祥、吳依正 (2014)。後全球金融危機中國大陸房市是否有泡沫化危機?。華人經濟研究。12(1)，169-187。 林祖嘉 (2011)。中國大陸房價泡沫與總體經濟的因果關係。國家政策研究基金會。林左裕 (2012)。貨幣政策與房價的關係。行政院國家科學委員會專題研究計畫 成果報告。 林左裕 (2013)。中國錢荒潛藏金融風暴。先探投資周刊。1738，84-85。汪新、謝昌浩(2010) 。我國房價的宏觀經濟影響因素分析-基於PLS方法的實證研究，《華東經濟管理》，第24卷第3期，頁53-57。 台玉紅、苗苗、張潔 (2010) 。我國房地產泡沫測度——基于京、津、滬、渝四直轄市的實證研究。《華東經濟管理》，2010年第3期，頁58-62。 Website ReferenceInternational Monetary Fund (2016), January 2016, Challenges of the " IMF Global Housing Watch Quarterly Update". Retrieved from http://www.imf.org/external/research/housing/report/pdf/0116.pdf English referenceAdams, Z., & Füss, R. (2010). Macroeconomic determinants of International housing markets. Journal of Housing Economics, 19(1), 38-50.Belke, A., & Wiedmann, M. (2005). Boom or bubble in the US real estate market?. Intereconomics, 40(5), 273-284.Black, A., Fraser, P., & Hoesli, M. (2006). House prices, fundamentals and bubbles. Journal of Business Finance & Accounting, 33(9‐10), 1535-1555.Bourassa, S. C., Hendershott, P. H., & Murphy, J. (2001). Further evidence on the existence of housing market bubbles. Journal of Property Research, 18(1), 1-19.Case, K. E., & Shiller, R. J. (2003). Is there a bubble in the housing market?. Brookings Papers on Economic Activity, 2003(2), 299-342.Chivakul, M., Lam, W. R., Liu, X., Maliszewski, W. S., & Schipke, A. (2015). Understanding residential real estate in China, IMF Working Paper.Courchane, M. J., & Holmes, C. (2014). Bubble, Bubble–Is there House Price Trouble--in Canada?. International Real Estate Review, 17(1), 109-135.Fernández-Kranz, D., & Hon, M. T. (2006). A cross-section analysis of the income elasticity of housing demand in Spain: Is there a real estate bubble?. The Journal of Real Estate Finance and Economics, 32(4), 449-470.Fraser, P., Hoesli, M., & McAlevey, L. (2008). House prices and bubbles in New Zealand. The Journal of Real Estate Finance and Economics, 37(1), 71-91.Glaeser, E. L., Gyourko, J., & Saiz, A. (2008). Housing supply and housing bubbles. Journal of urban Economics, 64(2), 198-217.Goodman, A. C., & Thibodeau, T. G. (2008). Where are the speculative bubbles in US housing markets?. Journal of Housing Economics, 17(2), 117-137.Hott, C., & Monnin, P. (2008). Fundamental real estate prices: An empirical estimation with international data. The Journal of Real Estate Finance and Economics, 36(4), 427-450.Hui, E. C., & Yue, S. (2006). Housing price bubbles in Hong Kong, Beijing and Shanghai: a comparative study. The Journal of Real Estate Finance and Economics, 33(4), 299-327.Jin, Y., & Zeng, Z. (2004). Residential investment and house prices in a multi-sector monetary business cycle model. Journal of Housing Economics, 13(4), 268-286.Mikhed, V., & Zemčík, P. (2009). Do house prices reflect fundamentals? Aggregate and panel data evidence. Journal of Housing Economics, 18(2), 140-149.Zhang, C. (2015). Income inequality and access to housing: Evidence from China. China Economic Review, 36, 261-271. zh_TW
