1. NCCU Academic Hub
  2. 學術產出
  3. College of Social Science
  4. Theses
  5. Item

學術產出-Theses

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

  • No doi shows Citation Infomation
題名 中國的房價泡沫、沖銷與外匯累積
Housing price bubble, sterilization and foreign exchange accumulation in China
作者 王緁妶
Wang, Chieh Hsuan
貢獻者 黃仁德
Hwang, Jen Te
王緁妶
Wang, Chieh Hsuan
關鍵詞 外匯累積
沖銷
房價泡沫
日期 2012
上傳時間 2-Sep-2013 17:19:33 (UTC+8)
摘要 2001年以來，由於持續性的經常帳順差和資本流入，促成了中國外匯存底快速的累積。為了維持人民幣匯率的穩定與經濟平穩發展，中國人民銀行實施了一連串的沖銷政策，以緩解因外匯占款所可能引起的流動性過剩與物價膨脹問題。然而，日益推升的沖銷成本對中國外匯沖銷的有效性與持續性將造成衝擊。因此，本論文第一部分即建構在個體基礎理論的架構下，將房價納入中國貨幣當局的目標函數，並檢視中國人民銀行沖銷政策的有效性與可持續性。實證結果顯示，近年來中國人民銀行幾乎完全沖銷了國際資本流入與外匯準備上升對基礎貨幣的影響，亦即資本流動程度的上升並未破壞中國貨幣政策的獨立性。然而，沖銷政策的可持續性分析卻顯示，中國人民銀行沖銷政策的可持續性於2008年3月開始受到嚴峻的挑戰，顯示出中國人民銀行承受了極大的沖銷不可持續性的壓力。
隨著短期國際資本流入快速增加以及在中國人民銀行無法完全沖銷因外匯干預所釋放出的外匯占款背景下，資產價格的上漲也逐漸引起人們對於短期國際資本流入與資產價格之間相互作用導致資產價格泡沫的質疑。為了探討短期國際資本流入與中國資產市場之間的關係，本論文第二部分引入結構化向量自我迴歸模型來探究未沖銷完全的基礎貨幣與短期國際資本流入對中國股票市場與房地產市場的衝擊。實證結果顯示，中國的短期國際資金流入與資產價格上漲事實上為一種自我實現與相互促進的關係，未沖銷完全的基礎貨幣會進一步推升資產價格上漲，顯示出短期國際資本的流入與流動性過剩的現象，將促使中國資產價格出現泡沫。
當資金極度充裕的時候，在中國大陸缺乏其它可以選擇的投資管道之下，將會助長股市與房市的投資與投機熱潮，也因而造成股票市場的波動與中國的房地產價格的快速成長。隨著中國近年來的改革開放與經濟發展，房地產業迅速發展成為國民經濟的支柱產業，甚至已經成為一些城市的經濟命脈。因而瞭解中國房地產市場的發展情況並針對房價泡沫化作出判斷也因此成為了刻不容緩的課題。
因此，本論文第三部分則延續第一部分及第二部分的議題，探討中國房地產市場的房價泡沫問題，並進一步利用狀態空間模型，結合卡門濾波器的遞迴運算，以最大概似法來估計泡沫價格。實證結果顯示，中國、北京、及上海的房地產市場確實存在房價泡沫的現象，中國房地產的泡沫價格占房價的比例雖然隨著中國政府的房地產政策調控而略有下降趨勢，但在2012年第4季，此比例仍高達27.99%的水準。此外，利用北京與上海民眾的可支配所與房價進行實證分析發現，北京與上海泡沫價格占房價的比例甚至超過了48%，顯見中國房地產市場房價泡沫問題的嚴重性。
In the context of the constant buildup of China’s foreign exchange reserves, the PBC has undertaken a series of sterilization operations to alleviate excessive liquidity and inflationary pressure resulting from huge funds outstanding for foreign exchange. However, the growing costs of sterilization have also impacted the effectiveness and sustainability of the foreign exchange surplus sterilization policy. Therefore, the first part of this dissertation is to examine the sterilization policy in China. Within a microeconomic framework, we incorporate the housing price variable into the target loss function of the monetary authority to explore its financial capabilities and evaluate the effectiveness and sustainability of China’s sterilization policy. The empirical results show that Chinese monetary authorities sterilize almost all of the effects of international capital inflows and increasing foreign exchange reserves on the monetary base. That is, increased capital mobility does not sabotage the independence of the Chinese monetary policy. Nevertheless, analyses of the sustainability of sterilization policy indicate that the sustainability of the monetary sterilization policy has been seriously challenged since March 2008, which suggests that Chinese monetary authority has endured tremendous pressure for unsustainable sterilization.
In the context of rising foreign exchange reserves and monetary authorities being unable to sterilize all funds outstanding for foreign exchange due to foreign exchange market interventions, increases in asset prices have gradually made people question the interaction between short-term capital inflows and asset prices that contributes to asset price bubbles. In order to investigate the relationship between short-term international capital inflows and asset markets. A structural vector auto-regressive (SVAR) model is used to explore the effects of the incompletely sterilized monetary base and short-term international capital inflows on the Chinese stock markets and real estate markets in the second part of this dissertation. The empirical evidence demonstrates that the relationship between short-term international capital inflows and asset prices is self-fufilling and mutually reinforcing. The incompletely sterilized monetary base further exacerbates asset price bubbles, which suggests that short-term international capital inflows and excess liquidity will gradually escalate the severity of asset price bubbles.
With an over-abundance of funds and a shortage of other viable channels of investment in China, such circumstances tend to encourage investments and speculations in the stock market and real estate market. Consequently, this causes China’s stock market to fluctuate and prices of real estate are being driven up in China. Following China’s reform and economic development in recent years, the nation’s real estate industry has rapidly evolved into a pillar of China’s national economy and the economic bloodline in some cities. As such, acquiring sufficient understanding of China’s real estate market for an accurate assessment of the risk of a housing price bubble has become an issue that requires immediate attention.
In order to discuss the extent and severity of real estate bubbles in China. The third part of this dissertation uses the maximum likelihood method through the use of a state space model and recursive computation of the Kalman Filter to estimate the housing price bubbles in China. Results of empirical analyses reveal that price bubbles do exist in housing markets of Beijing, Shanghai and the whole of China in general. Although the proportion of price bubble to house price in China has shown a moderate decline due to the Chinese government’s adjustment of its real estate policies, price bubbles remained as high as 27.99% in the fourth quarter of 2012. Empirical analyses of Beijing and Shanghai residents’ disposable income and housing prices revealed that the proportion of price bubble to house price in the two cities has exceeded 48%, which suggests that housing price bubbles remain a significant issue to be addressed.
參考文獻 References

Allen, F. (2001), “Presidential Address: Do Financial Institutions Matter?” Journal of Finance, 56, pp. 1165-1176.
Allen, F. and D. Gale (2000), “Bubbles and Crises,” Economic Journal, 110(460), pp. 236-255.
Benson, D., L. Hansen, J. Schwartz, L. Arthur, and T. Smersh (1999), “Canadian/U.S. Exchange Rates and Nonresident Investors: Their Influence on Residential Property Values,” Journal of Real Estate Research, 18(3), pp. 433-462.
Benson, D., L. Hansen, J. Schwartz, L. Arthur, and T. Smersh (1997), “The Influence of Canadian Investment on U.S. Residential Property Values,” Journal of Real Estate Research, 13(3), pp. 231-250.
Björklund, K. and B. Söderberg (1999), “Property Cycles, Speculative Bubbles and the Gross Income Multiplier,” Journal of Real Estate Research, 18(1), pp. 151–174.
Black, A., P. Fraster, and M. Hoesli (2006), “House Prices, Fundamentals and Bubbles,” Journal of Business Finance & Accounting, 33(9/10), pp. 1535-1555.
Blanchard, O. and M. Watson (1982), “Bubbles, Rational Expectations, and Financial Markets,” in P. Wachtel, ed., Crisis in the Economic and Financial Structure: Bubbles, Bursts, and Shocks (Lexington, MA: Lexington Books), pp. 295-315.
Bourassa, S. C., P. H. Hendershott, and J. Murphy (2001), “Further Evidence on the Existence of Housing Market Bubbles,” Journal of Property Research, 18(1), pp. 1-20.
Brissimis, S., H. Gibson, and E. Tsakalotos (2002), “A Unifying Framework for Analyzing Offsetting Capital Flows and Sterilization: Germany and the ERM,” International Journal of Finance and Economics, 7(1), pp. 63-78.
Caballero, R. and A. Krishnamurthy (2001), “International Liquidity Illusion: On the Risks of Sterilization,” NBER Working Paper, No. 8141.
Calvo, G., L. Leiderman, and C. Reinhart (1996), “Inflows of Capital to Developing Countries in the 1990s,” Journal of Economic Perspectives, 10(2), pp. 123-139.
Calvo, G. (1991), “The Perils of Sterilization,” IMF Staff Papers, 38(4), pp. 921-926.
Case, K. and R. Shiller (2003), “Is There a Bubble in the Housing Market?” Brookings Papers on Economic Activity, 34(2), pp. 299-362.
Chen, R., C. Gan, B. Hu, and D. Cohen (2013), “An Empirical Analysis of House Price Bubble: A Case Study of Beijing Housing Market,” Research in Applied Economics, 5(1), pp. 77-97.
Chen, M. C. and K. Patel (1998), “House Price Dynamics and Granger Causality: An Analysis of Taipei New Dwelling Market,” Journal of Asian Real Estate Society, 1(1), pp. 101-126.
Christian D. and Y. Zhang (2010), “Is There a Bubble in the Chinese Housing Market? ” discussion papers 290, Department of Business Administration and Economics, European University Viadrina Frankfurt,
http://www.wiwi.euv-frankfurt-o.de/de/forschung/publikationen-projekte/discussionpaper/dp/290_Dreger_Zhang.pdf.
Christensen, J. (2004), “Capital Inflows, Sterilization, and Commercial Bank Speculation: The Case of Czech Republic in the Mid-1990s,” IMF Working Paper, No. 04/218.
Chu, Y. and T. F. Sing (2004), “Inflation Hedging Characteristics of Chinese Real Estate Market,” Journal of Real Estate Portfolio Management, 10(2), pp. 145-154.
Compbell, J. and R. Shiller (1987), “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 95(5), pp. 1062-1088.
Cova, P., M. Pisani, and A. Rebucci (2010), “Macroeconomic Effects of China’s Fiscal Stimulus,” RES Working Paper 4689, Research Department, Inter American Development Bank.
Deng, L., Q. Shen, and L. Wang (2009), “Housing Policy and Finance in China: A Literature Review,” Report for U.S. Department of Housing and Urban Development, http://www.chinaplanning.org/.
Dalton, J. and C. Dziobek (2005), “Central Bank Losses and Experiences in Selected Countries,” IMF Working Paper, No. 05/72.
Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Auto-regressive Times Series with a Unit Root,” Journal of the American Statistical Association, 74(366), pp. 427-431.
Domowitz, I., J. Glen, and A. Madhavan (1997), “Market Segmentation and Stock Prices: Evidence from an Emerging Market,” Journal of Finance, 52(3), pp. 1059-1085.
Frankel, J. A. (1994), “Sterilization of Money Inflows: Difficult or Easy?” IMF Working Paper, No. 94/159.
Frenkel, R. (2007), “The Sustainability of Sterilization Policy,” CEPR Papers.
Glick, R. and M. Hutchison (2009), “Navigating the Trilemma: Capital Flows and Monetary Policy in China,” Journal of Asian Economics, 20(3), pp. 205-224.
Granger, C. W. J. (1969), “Investigation Causal Relations by Economic Variables,” Econometrics, 37, pp. 424-438.
Guo F. and Y. D. Huang (2010), “Does Hot Money Drive China’s Real Estate and Stock Markets?” International Review of Economics and Finance, 19(3), pp. 452-466.
Flood, R. and R. Hodrick (1990), “On Testing for Speculative Bubbles,” Journal of Economic Perspectives, 4(2), pp. 85-101.
Flood, R. P. and P. M. Garber (1980), “Market Fundamentals versus Price-Level Bubbles: The First Tests,” Journal of Political Economy, 88(4), pp. 745-770.
Herring, R. and S. Wachter (2003), “Bubbles in Real Estate Markets,” in W. C. Hunter, G. Kaufman, and M. Pomerleano, eds, Asset Price Bubbles: The Implications for Monetary, Regulatory and International Policies (Cambridge, MA: MIT Press), pp. 217-229.
Hort, K. (1998), “The Determinants of Urban House Price Uctuations in Sweden 1968–1994,” Journal of Housing Economics, 7(2), pp. 93-120.
Hou, Y. (2009) “House Price Bubbles in Beijing and Shanghai? A Multi-Indicator Analysis,” International Journal of Housing Markets and Analysis, 3(1), pp. 17-37.
Hui, E. and S. Yue (2006), “Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study,” Journal of Real Estate Finance and Economics, 33(4), pp. 299-327.
IMF (2007), World Economic Outlook: Spillovers and Cycles in the Global Economy (Washington, D. C.: International Monetary Fund).
Jud, G. D. and D. T. Winkler (2002), “The Dynamics of Metropolitan Housing Prices,” Journal of Real Estate Research, 23(1/2), pp. 29-46.
Kim, E. H. and V. Singal (2000), “Stock Market Openings: Experience of Emerging Economies,” Journal of Business, 73(1), pp. 25-66.
Kim, K. H. and H. S. Lee (2000), “Real Estate Price Bubble and Price Forecasts in Korea,” Proceedings of 5th AsRES Conference, July 27, 2000, Beijing.
Kim, K. H. and S. H. Suh (1993), “Speculation and Price Bubbles in the Korean and Japanese Real Estate Markets,” Journal of Real Estate Finance and Economics, 6(1), pp. 73–87.
Kuo F. and Y. S. Huang (2010), “Does “Hot Money” Drive China’s Real Estate and Stock Markets?” International Review of Economics and Finance, 19(3), pp. 452-466.
Liu, H. and Y. Huang (2004), “Prospects of Real Estate Markets in China: Challenges and Opportunities,” available at http://hos.housingauthority.gov.hk/hdw/ihc/pdf/
phmc1112.pdf.
Liu, X. and L. R. Wray (2010), “Excessive Liquidity and Bank Lending in China: A Modern Money Perspective,” International Journal of Political Economy, 39(3), pp. 45-63.
Meese, R. A. (1986), “Testing for Bubbles in Exchange Markets: A Case of Sparking Rates?” Journal of Political Economy, 94(2), pp. 345-373.
Mohanty, M. S. and P. Turner (2005), “Intervention: What are the Domestic Consequences?” BIS Papers, No. 24.
Obstfeld, M., J. C. Shambaugh, and A. M. Taylor (2005), “The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility,” Review of Economics and Statistics, 87(3), pp.423-438.
Obstfeld, M. (1982), “Exchange Rate, Inflation, and the Sterilization Problem: Germany, 1975-1981,” NBER Working Paper, No.963.
Ouyang, A., R. Rajan, and T. Willett (2008), “Managing the Monetary Consequences of Reserve Accumulation in Emerging Asia,” Global Economic Review, 37(2), pp. 171-199.
Ouyang, A. and R. Ramkishen (2005), “Monetary Sterilization in China Since the 1990s: How Much and How Effective?” CIES Working Papers, No. 0507.
Phillips, P. C. B. and P. Perron (1988), “Testing for Unit Root in Time Series Regression,” Biometrika, 75(2), pp. 335-346.
Reinhart, C. M. and V. Reinhart (1999), “Some Lessons for Policy Markers Who Deal with the Mixed Blessing of Capital Inflows,” in M. Kahler ed., Capital Flows and Financial Crises (Cornell: Cornell University Press), pp. 93-127.
Ren, Y., C. Xiong, and Y. Yuan (2012), “House Price Bubbles in China,” China Economic Review, 23(4), pp. 786-800.
Sarno, L. and M. P. Taylor (1999), “Moral Hazard, Asset Price Bubbles, Capital flows, and the East Asian Crisis: The First Tests,” Journal of International Money and Finance, 18(4), pp. 637-657.
Shen, Y., C. Hui, and H. Liu (2005) “Housing Price bubble in Beijing and Shanghai,” Management Decision, 43(4), pp. 611-627.
Spiegel, M. M. (1995), “Sterilization of Capital Inflows through the Banking Sector: Evidence from Asia,” Economic Review (Supplement), 31(4), pp. 17-34.
Wang, Y. and F. Duncan (2013), “The International Financial Crisis and China’s Forex Reserve Management,” Brussels Institute of Contemporary China Studies, 7(2), pp.1-16.
Wang Y. Z. (2010), “Effectiveness of Capital Controls and Sterilizations in China,” China & World Economy, 18(3), pp.106-124.
West, K. D. (1987), “A Specification Test for Speculative Bubbles,” Quarterly Journal of Economics, 102(3), pp. 553-580.
Woo, W. T. (1987), “Some Evidence of Speculative Bubbles in the Foreign Markets,” Journal of Money, Credit and Banking, 19(4), pp. 499-514.
Wu, Y. (1995), “Are There Rational Bubbles in Foreign Exchange Market? Evidence from an Alternative Test,” Journal of International Money and Finance, 14(1), pp. 27-46.
Zhang, G. and H. G. Fung (2006), “On the Imbalance between the Real Estate Market and the Stock Markets in China,” Chinese Economy, 39(2), pp. 26-39.
Zhang, M. (2012), “Chinese Stylized Sterilization: The Cost‐sharing Mechanism and Financial Repression,” China & World Economy, 20(2), pp. 41-58.
描述 博士
國立政治大學
經濟學系
95258508
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0952585082
資料類型 thesis
dc.contributor.advisor 黃仁德zh_TW
dc.contributor.advisor Hwang, Jen Teen_US
dc.contributor.author (Authors) 王緁妶zh_TW
dc.contributor.author (Authors) Wang, Chieh Hsuanen_US
dc.creator (作者) 王緁妶zh_TW
dc.creator (作者) Wang, Chieh Hsuanen_US
dc.date (日期) 2012en_US
dc.date.accessioned 2-Sep-2013 17:19:33 (UTC+8)-
dc.date.available 2-Sep-2013 17:19:33 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2013 17:19:33 (UTC+8)-
dc.identifier (Other Identifiers) G0952585082en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59521-
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) 95258508zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 2001年以來，由於持續性的經常帳順差和資本流入，促成了中國外匯存底快速的累積。為了維持人民幣匯率的穩定與經濟平穩發展，中國人民銀行實施了一連串的沖銷政策，以緩解因外匯占款所可能引起的流動性過剩與物價膨脹問題。然而，日益推升的沖銷成本對中國外匯沖銷的有效性與持續性將造成衝擊。因此，本論文第一部分即建構在個體基礎理論的架構下，將房價納入中國貨幣當局的目標函數，並檢視中國人民銀行沖銷政策的有效性與可持續性。實證結果顯示，近年來中國人民銀行幾乎完全沖銷了國際資本流入與外匯準備上升對基礎貨幣的影響，亦即資本流動程度的上升並未破壞中國貨幣政策的獨立性。然而，沖銷政策的可持續性分析卻顯示，中國人民銀行沖銷政策的可持續性於2008年3月開始受到嚴峻的挑戰，顯示出中國人民銀行承受了極大的沖銷不可持續性的壓力。
隨著短期國際資本流入快速增加以及在中國人民銀行無法完全沖銷因外匯干預所釋放出的外匯占款背景下，資產價格的上漲也逐漸引起人們對於短期國際資本流入與資產價格之間相互作用導致資產價格泡沫的質疑。為了探討短期國際資本流入與中國資產市場之間的關係，本論文第二部分引入結構化向量自我迴歸模型來探究未沖銷完全的基礎貨幣與短期國際資本流入對中國股票市場與房地產市場的衝擊。實證結果顯示，中國的短期國際資金流入與資產價格上漲事實上為一種自我實現與相互促進的關係，未沖銷完全的基礎貨幣會進一步推升資產價格上漲，顯示出短期國際資本的流入與流動性過剩的現象，將促使中國資產價格出現泡沫。
當資金極度充裕的時候，在中國大陸缺乏其它可以選擇的投資管道之下，將會助長股市與房市的投資與投機熱潮，也因而造成股票市場的波動與中國的房地產價格的快速成長。隨著中國近年來的改革開放與經濟發展，房地產業迅速發展成為國民經濟的支柱產業，甚至已經成為一些城市的經濟命脈。因而瞭解中國房地產市場的發展情況並針對房價泡沫化作出判斷也因此成為了刻不容緩的課題。
因此，本論文第三部分則延續第一部分及第二部分的議題，探討中國房地產市場的房價泡沫問題，並進一步利用狀態空間模型，結合卡門濾波器的遞迴運算，以最大概似法來估計泡沫價格。實證結果顯示，中國、北京、及上海的房地產市場確實存在房價泡沫的現象，中國房地產的泡沫價格占房價的比例雖然隨著中國政府的房地產政策調控而略有下降趨勢，但在2012年第4季，此比例仍高達27.99%的水準。此外，利用北京與上海民眾的可支配所與房價進行實證分析發現，北京與上海泡沫價格占房價的比例甚至超過了48%，顯見中國房地產市場房價泡沫問題的嚴重性。		zh_TW
dc.description.abstract (摘要) In the context of the constant buildup of China’s foreign exchange reserves, the PBC has undertaken a series of sterilization operations to alleviate excessive liquidity and inflationary pressure resulting from huge funds outstanding for foreign exchange. However, the growing costs of sterilization have also impacted the effectiveness and sustainability of the foreign exchange surplus sterilization policy. Therefore, the first part of this dissertation is to examine the sterilization policy in China. Within a microeconomic framework, we incorporate the housing price variable into the target loss function of the monetary authority to explore its financial capabilities and evaluate the effectiveness and sustainability of China’s sterilization policy. The empirical results show that Chinese monetary authorities sterilize almost all of the effects of international capital inflows and increasing foreign exchange reserves on the monetary base. That is, increased capital mobility does not sabotage the independence of the Chinese monetary policy. Nevertheless, analyses of the sustainability of sterilization policy indicate that the sustainability of the monetary sterilization policy has been seriously challenged since March 2008, which suggests that Chinese monetary authority has endured tremendous pressure for unsustainable sterilization.
In the context of rising foreign exchange reserves and monetary authorities being unable to sterilize all funds outstanding for foreign exchange due to foreign exchange market interventions, increases in asset prices have gradually made people question the interaction between short-term capital inflows and asset prices that contributes to asset price bubbles. In order to investigate the relationship between short-term international capital inflows and asset markets. A structural vector auto-regressive (SVAR) model is used to explore the effects of the incompletely sterilized monetary base and short-term international capital inflows on the Chinese stock markets and real estate markets in the second part of this dissertation. The empirical evidence demonstrates that the relationship between short-term international capital inflows and asset prices is self-fufilling and mutually reinforcing. The incompletely sterilized monetary base further exacerbates asset price bubbles, which suggests that short-term international capital inflows and excess liquidity will gradually escalate the severity of asset price bubbles.
With an over-abundance of funds and a shortage of other viable channels of investment in China, such circumstances tend to encourage investments and speculations in the stock market and real estate market. Consequently, this causes China’s stock market to fluctuate and prices of real estate are being driven up in China. Following China’s reform and economic development in recent years, the nation’s real estate industry has rapidly evolved into a pillar of China’s national economy and the economic bloodline in some cities. As such, acquiring sufficient understanding of China’s real estate market for an accurate assessment of the risk of a housing price bubble has become an issue that requires immediate attention.
In order to discuss the extent and severity of real estate bubbles in China. The third part of this dissertation uses the maximum likelihood method through the use of a state space model and recursive computation of the Kalman Filter to estimate the housing price bubbles in China. Results of empirical analyses reveal that price bubbles do exist in housing markets of Beijing, Shanghai and the whole of China in general. Although the proportion of price bubble to house price in China has shown a moderate decline due to the Chinese government’s adjustment of its real estate policies, price bubbles remained as high as 27.99% in the fourth quarter of 2012. Empirical analyses of Beijing and Shanghai residents’ disposable income and housing prices revealed that the proportion of price bubble to house price in the two cities has exceeded 48%, which suggests that housing price bubbles remain a significant issue to be addressed.		en_US
dc.description.tableofcontents Contents
Chapter 1 Introduction 1
Chapter 2 The Effectiveness and Sustainability of the Sterilization Policy in China 5
2.1 Introduction 5
2.2 Literature Review 7
2.3 Accumulation of Foreign Exchange Reserve and Sterilization Instruments in China 10
2.4 Empirical Model 14
2.4.1 Effectiveness of the Sterilization Policy 15
2.4.2 Sustainability of Sterilization Policy 20
2.5 Data and Empirical Results 22
2.5.1 Data Description and Unit Root Tests 22
2.5.2 Empirical Results 24
2.6 Summary 29
Chapter 3 Short-term International Capital Inflows and Asset Markets in China 31
3.1 Introduction 31
3.2 Literature Review 33
3.3 An Overview of Short-term International Capital Inflows and Asset markets in China 35
3.4 Empirical Model 38
3.5 Data and Empirical Results 40
3.5.1 Data Description and Unit Root Tests 40
3.5.2 Empirical Results 42
3.6 Summary 45
Chapter 4 The Estimation of Housing Price Bubbles in China 46
4.1 Introduction 46
4.2 Literature Review 49
4.3 Status of China’s Housing Market 53
4.4 China’s Real Estate and Housing Policies 58
4.5 Empirical Model 61
4.6 Data and Empirical Results 63
4.6.1 Data Description and Unit Root Tests 63
4.6.2 Empirical Results 64
4.7 Summary 71
Chapter 5 Conclusions 73
Appendix A: Derivation of the Change in the Exchange Rate 76
Appendix B: Derivation of the Change in Net Foreign Assets and Net Domestic Assets 77
Appendix C: Derivation of the First Order of Taylor’s Series 80
References 82




































List of Tables
Table 2.1: Funds Outstanding for Foreign Exchange, Reserve Money and the Monthly Balance of Central Bank Bills 12
Table 2.2: Variables and Data Sources 23
Table 2.3: Unit Root Test for Effectiveness of the Sterilization Policy 24
Table 2.4: Granger Causality Test Result 25
Table 2.5: Parameter Estimates 26
Table 2.6: Residual Diagnostics 26
Table 3.1: Short-term International Capital Inflows in China ── 2000 to 2012 37
Table 3.2: Variables and Data Sources 41
Table 3.3: Unit Root Test for Short-term International Capital Inflows 42
Table 4.1: The Studies of Housing Price Bubbles in China 52
Table 4.2: Sources of Funding for Real Estate Developers 55
Table 4.3: Amount and Ratio of Loans Made to the Realty Business 56
Table 4.4: Investment of Fixed Assets and Real Estate Development in China 57
Table 4.5: Monthly Amortization Rate for Family Housing Loans in China── 2003 to 2012 58
Table 4.6: Unit Root Test for Housing Price Bubbles 64
Table 4.6: Parameter Estimates: The State Space Model 65


















List of Figures
Figure 2.1: Accumulation of Foreign Exchange Reserve in China──2000 to 2012 11
Figure 2.2: Change of Required Reserve Ratio in China 13
Figure 2.3: Growth Rate of Reserve Money and M2── 1998 to 2012 14
Figure 2.4: Determination of Sustainability of Monetary Sterilization 28
Figure 3.1: Housing price, Stock Price and Short-term International 38
Capital Inflows 38
Figure 3.2: Impulse Response to One Standard Deviation Shock in K 43
Figure 3.3: Impulse Response to One Standard Deviation Shock in M 43
Figure 3.4: Impulse Response of K to One Standard Deviation Shock in H and S 44
Figure 4.1: Trend of Housing Prices in China, Shanghai and Beijing── 2003 Q1 to 2013 Q1 53
Figure 4.2: Real Estate Bubble Pricing in China 66
Figure 4.3: Real Estate Bubble Pricing in Beijing 66
Figure 4.4: Real Estate Bubble Pricing in Shanghai 66
Figure 4.5: Proportion of Price Bubble to House Price── China 67
Figure 4.6: Proportion of Price Bubble to House Price── Beijing 68
Figure 4.7: Proportion of Price Bubble to House Price── Shanghai 68		zh_TW
dc.format.extent 975331 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0952585082en_US
dc.subject (關鍵詞) 外匯累積zh_TW
dc.subject (關鍵詞) 沖銷zh_TW
dc.subject (關鍵詞) 房價泡沫zh_TW
dc.title (題名) 中國的房價泡沫、沖銷與外匯累積zh_TW
dc.title (題名) Housing price bubble, sterilization and foreign exchange accumulation in Chinaen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) References

Allen, F. (2001), “Presidential Address: Do Financial Institutions Matter?” Journal of Finance, 56, pp. 1165-1176.
Allen, F. and D. Gale (2000), “Bubbles and Crises,” Economic Journal, 110(460), pp. 236-255.
Benson, D., L. Hansen, J. Schwartz, L. Arthur, and T. Smersh (1999), “Canadian/U.S. Exchange Rates and Nonresident Investors: Their Influence on Residential Property Values,” Journal of Real Estate Research, 18(3), pp. 433-462.
Benson, D., L. Hansen, J. Schwartz, L. Arthur, and T. Smersh (1997), “The Influence of Canadian Investment on U.S. Residential Property Values,” Journal of Real Estate Research, 13(3), pp. 231-250.
Björklund, K. and B. Söderberg (1999), “Property Cycles, Speculative Bubbles and the Gross Income Multiplier,” Journal of Real Estate Research, 18(1), pp. 151–174.
Black, A., P. Fraster, and M. Hoesli (2006), “House Prices, Fundamentals and Bubbles,” Journal of Business Finance & Accounting, 33(9/10), pp. 1535-1555.
Blanchard, O. and M. Watson (1982), “Bubbles, Rational Expectations, and Financial Markets,” in P. Wachtel, ed., Crisis in the Economic and Financial Structure: Bubbles, Bursts, and Shocks (Lexington, MA: Lexington Books), pp. 295-315.
Bourassa, S. C., P. H. Hendershott, and J. Murphy (2001), “Further Evidence on the Existence of Housing Market Bubbles,” Journal of Property Research, 18(1), pp. 1-20.
Brissimis, S., H. Gibson, and E. Tsakalotos (2002), “A Unifying Framework for Analyzing Offsetting Capital Flows and Sterilization: Germany and the ERM,” International Journal of Finance and Economics, 7(1), pp. 63-78.
Caballero, R. and A. Krishnamurthy (2001), “International Liquidity Illusion: On the Risks of Sterilization,” NBER Working Paper, No. 8141.
Calvo, G., L. Leiderman, and C. Reinhart (1996), “Inflows of Capital to Developing Countries in the 1990s,” Journal of Economic Perspectives, 10(2), pp. 123-139.
Calvo, G. (1991), “The Perils of Sterilization,” IMF Staff Papers, 38(4), pp. 921-926.
Case, K. and R. Shiller (2003), “Is There a Bubble in the Housing Market?” Brookings Papers on Economic Activity, 34(2), pp. 299-362.
Chen, R., C. Gan, B. Hu, and D. Cohen (2013), “An Empirical Analysis of House Price Bubble: A Case Study of Beijing Housing Market,” Research in Applied Economics, 5(1), pp. 77-97.
Chen, M. C. and K. Patel (1998), “House Price Dynamics and Granger Causality: An Analysis of Taipei New Dwelling Market,” Journal of Asian Real Estate Society, 1(1), pp. 101-126.
Christian D. and Y. Zhang (2010), “Is There a Bubble in the Chinese Housing Market? ” discussion papers 290, Department of Business Administration and Economics, European University Viadrina Frankfurt,
http://www.wiwi.euv-frankfurt-o.de/de/forschung/publikationen-projekte/discussionpaper/dp/290_Dreger_Zhang.pdf.
Christensen, J. (2004), “Capital Inflows, Sterilization, and Commercial Bank Speculation: The Case of Czech Republic in the Mid-1990s,” IMF Working Paper, No. 04/218.
Chu, Y. and T. F. Sing (2004), “Inflation Hedging Characteristics of Chinese Real Estate Market,” Journal of Real Estate Portfolio Management, 10(2), pp. 145-154.
Compbell, J. and R. Shiller (1987), “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 95(5), pp. 1062-1088.
Cova, P., M. Pisani, and A. Rebucci (2010), “Macroeconomic Effects of China’s Fiscal Stimulus,” RES Working Paper 4689, Research Department, Inter American Development Bank.
Deng, L., Q. Shen, and L. Wang (2009), “Housing Policy and Finance in China: A Literature Review,” Report for U.S. Department of Housing and Urban Development, http://www.chinaplanning.org/.
Dalton, J. and C. Dziobek (2005), “Central Bank Losses and Experiences in Selected Countries,” IMF Working Paper, No. 05/72.
Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Auto-regressive Times Series with a Unit Root,” Journal of the American Statistical Association, 74(366), pp. 427-431.
Domowitz, I., J. Glen, and A. Madhavan (1997), “Market Segmentation and Stock Prices: Evidence from an Emerging Market,” Journal of Finance, 52(3), pp. 1059-1085.
Frankel, J. A. (1994), “Sterilization of Money Inflows: Difficult or Easy?” IMF Working Paper, No. 94/159.
Frenkel, R. (2007), “The Sustainability of Sterilization Policy,” CEPR Papers.
Glick, R. and M. Hutchison (2009), “Navigating the Trilemma: Capital Flows and Monetary Policy in China,” Journal of Asian Economics, 20(3), pp. 205-224.
Granger, C. W. J. (1969), “Investigation Causal Relations by Economic Variables,” Econometrics, 37, pp. 424-438.
Guo F. and Y. D. Huang (2010), “Does Hot Money Drive China’s Real Estate and Stock Markets?” International Review of Economics and Finance, 19(3), pp. 452-466.
Flood, R. and R. Hodrick (1990), “On Testing for Speculative Bubbles,” Journal of Economic Perspectives, 4(2), pp. 85-101.
Flood, R. P. and P. M. Garber (1980), “Market Fundamentals versus Price-Level Bubbles: The First Tests,” Journal of Political Economy, 88(4), pp. 745-770.
Herring, R. and S. Wachter (2003), “Bubbles in Real Estate Markets,” in W. C. Hunter, G. Kaufman, and M. Pomerleano, eds, Asset Price Bubbles: The Implications for Monetary, Regulatory and International Policies (Cambridge, MA: MIT Press), pp. 217-229.
Hort, K. (1998), “The Determinants of Urban House Price Uctuations in Sweden 1968–1994,” Journal of Housing Economics, 7(2), pp. 93-120.
Hou, Y. (2009) “House Price Bubbles in Beijing and Shanghai? A Multi-Indicator Analysis,” International Journal of Housing Markets and Analysis, 3(1), pp. 17-37.
Hui, E. and S. Yue (2006), “Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study,” Journal of Real Estate Finance and Economics, 33(4), pp. 299-327.
IMF (2007), World Economic Outlook: Spillovers and Cycles in the Global Economy (Washington, D. C.: International Monetary Fund).
Jud, G. D. and D. T. Winkler (2002), “The Dynamics of Metropolitan Housing Prices,” Journal of Real Estate Research, 23(1/2), pp. 29-46.
Kim, E. H. and V. Singal (2000), “Stock Market Openings: Experience of Emerging Economies,” Journal of Business, 73(1), pp. 25-66.
Kim, K. H. and H. S. Lee (2000), “Real Estate Price Bubble and Price Forecasts in Korea,” Proceedings of 5th AsRES Conference, July 27, 2000, Beijing.
Kim, K. H. and S. H. Suh (1993), “Speculation and Price Bubbles in the Korean and Japanese Real Estate Markets,” Journal of Real Estate Finance and Economics, 6(1), pp. 73–87.
Kuo F. and Y. S. Huang (2010), “Does “Hot Money” Drive China’s Real Estate and Stock Markets?” International Review of Economics and Finance, 19(3), pp. 452-466.
Liu, H. and Y. Huang (2004), “Prospects of Real Estate Markets in China: Challenges and Opportunities,” available at http://hos.housingauthority.gov.hk/hdw/ihc/pdf/
phmc1112.pdf.
Liu, X. and L. R. Wray (2010), “Excessive Liquidity and Bank Lending in China: A Modern Money Perspective,” International Journal of Political Economy, 39(3), pp. 45-63.
Meese, R. A. (1986), “Testing for Bubbles in Exchange Markets: A Case of Sparking Rates?” Journal of Political Economy, 94(2), pp. 345-373.
Mohanty, M. S. and P. Turner (2005), “Intervention: What are the Domestic Consequences?” BIS Papers, No. 24.
Obstfeld, M., J. C. Shambaugh, and A. M. Taylor (2005), “The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility,” Review of Economics and Statistics, 87(3), pp.423-438.
Obstfeld, M. (1982), “Exchange Rate, Inflation, and the Sterilization Problem: Germany, 1975-1981,” NBER Working Paper, No.963.
Ouyang, A., R. Rajan, and T. Willett (2008), “Managing the Monetary Consequences of Reserve Accumulation in Emerging Asia,” Global Economic Review, 37(2), pp. 171-199.
Ouyang, A. and R. Ramkishen (2005), “Monetary Sterilization in China Since the 1990s: How Much and How Effective?” CIES Working Papers, No. 0507.
Phillips, P. C. B. and P. Perron (1988), “Testing for Unit Root in Time Series Regression,” Biometrika, 75(2), pp. 335-346.
Reinhart, C. M. and V. Reinhart (1999), “Some Lessons for Policy Markers Who Deal with the Mixed Blessing of Capital Inflows,” in M. Kahler ed., Capital Flows and Financial Crises (Cornell: Cornell University Press), pp. 93-127.
Ren, Y., C. Xiong, and Y. Yuan (2012), “House Price Bubbles in China,” China Economic Review, 23(4), pp. 786-800.
Sarno, L. and M. P. Taylor (1999), “Moral Hazard, Asset Price Bubbles, Capital flows, and the East Asian Crisis: The First Tests,” Journal of International Money and Finance, 18(4), pp. 637-657.
Shen, Y., C. Hui, and H. Liu (2005) “Housing Price bubble in Beijing and Shanghai,” Management Decision, 43(4), pp. 611-627.
Spiegel, M. M. (1995), “Sterilization of Capital Inflows through the Banking Sector: Evidence from Asia,” Economic Review (Supplement), 31(4), pp. 17-34.
Wang, Y. and F. Duncan (2013), “The International Financial Crisis and China’s Forex Reserve Management,” Brussels Institute of Contemporary China Studies, 7(2), pp.1-16.
Wang Y. Z. (2010), “Effectiveness of Capital Controls and Sterilizations in China,” China & World Economy, 18(3), pp.106-124.
West, K. D. (1987), “A Specification Test for Speculative Bubbles,” Quarterly Journal of Economics, 102(3), pp. 553-580.
Woo, W. T. (1987), “Some Evidence of Speculative Bubbles in the Foreign Markets,” Journal of Money, Credit and Banking, 19(4), pp. 499-514.
Wu, Y. (1995), “Are There Rational Bubbles in Foreign Exchange Market? Evidence from an Alternative Test,” Journal of International Money and Finance, 14(1), pp. 27-46.
Zhang, G. and H. G. Fung (2006), “On the Imbalance between the Real Estate Market and the Stock Markets in China,” Chinese Economy, 39(2), pp. 26-39.
Zhang, M. (2012), “Chinese Stylized Sterilization: The Cost‐sharing Mechanism and Financial Repression,” China & World Economy, 20(2), pp. 41-58.		zh_TW