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題名 中國城市不動產價格泡沫之探討
China’s housing bubbles and the driving factors作者 黃斐
Huang, Fei貢獻者 林左裕
Lin, Tsoyu Calvin
黃斐
Huang, Fei關鍵詞 不動產價格泡沫
基本價值
資本還原率
Housing Bubble
Fundamental Value
Capitalization Rate日期 2013 上傳時間 29-Jul-2014 16:13:20 (UTC+8) 摘要 隨著中國大陸經濟的高度成長，不動產市場也隨之發展。在貸款利率及不動產相關稅負長期偏低之下，住宅產品的投資需求不斷上升，使得房價一路高漲。房屋價格的增幅過大、增速過高，已經超出了合理的範圍。截至2010年，中國大陸推出一系列以抑制房價為主要目的的宏觀調控政策，許多重點城市也陸續推出以“限購令”為主要內容的地方性政策來調控不動產市場。由於中國大陸地幅遼闊，各地的不動產市場因受各種因素影響而發展各異，因此挑選了北京、上海、廣州三個頗具代表性的重點城市作為研究對象。本文應用年租金與加權平均資本成本（WACC）還原基本價值，以其與市場價格間的差距作為泡沫程度的估計，計算出這三個城市2007年至2012年間不動產價格泡沫程度。藉由這三個城市的不動產市場泡沫狀況，運用共整合分析檢視中國城市不動產價格泡沫的影響因素，并以Granger因果關係檢定探討三地不動產價格泡沫與各因素之領先落後關係。 實證結果顯示，人均可支配收入和金融機構各項信貸總額對不動產價格泡沫具有正向影響，不動產價格泡沫則對其本身具有負向影響，而抵押貸款利率與不動產價格泡沫先是正相關而後轉為負相關的關係。而根據Granger因果關係檢定結果，北京不動產價格泡沫落後於金融機構各項貸款總額，而上海不動產價格泡沫領先於人均可支配收入，廣州不動產價格泡沫則落後於人均可支配收入、抵押貸款利率與金融機構各項貸款總額。
With the rapid economic development in China, the real estate market has been undergoing a great boom. The low interest and tax rates are very favorable for the continuously increasing house demands, and thus resulting in higher housing prices. And the extremely rapidly increasing housing prices are not reasonable. Until 2010, Chinese government had published a series of national housing regulatory decisions to address the over-heating real estate market. And the restrictions on house purchase have been put into practice in some major cities. Given that China has a vast territory with large variety, the impact of these regulations on the local real estate markets of the cities can hardly be determined. Therefore, we study here the real estate market in Beijing, Shanghai and Guangzhou, three of the most representative major cities in China. This study evaluates the housing bubbles situations in these cities from 2007 to 2012 by comparing fundamental values with market prices. The fundamental value of real estate can be calculated by annual rents and WACC. Based on the evaluated housing bubbles situations, this study then applies Cointegration analysis to further explore the factors that may contribute to China’s housing bubbles. In addition, Granger causality test is employed to examine the lead/lag relationship between housing bubbles and the variables. The empirical result shows that per-capita disposable incomes and total loans of financial institutions are positively related to China’s housing bubbles. And the housing bubbles in these three cities are negatively related to themselves. In addition, the impact of interest rates on housing bubbles is positive and later turns negative with respect to the magnitude of increasing rates. According to the results of Granger causality tests, Beijing’s housing bubbles are Granger caused by total loans while property bubbles in Shanghai lead personal incomes. Furthermore, housing bubbles in Guangzhou are Granger caused by personal disposable incomes, interest rates and total loans.參考文獻 Chinese ReferencesChang, C., Chen, M., Teng, H. and Yang, C., 2009 , “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income”, Journal of Housing Studies, 18(2): 1-22.Li, C. and He, J., 2011 , “Chinese Monetary Policy and Housing Price - Based on the STR Model Empirical Analysis”, Industrial Economics Research, 3: 79-87.Liang, Y. and Gao, T., 2007 , “Empirical Analysis on Real Estate Price Fluctuation in Different Provinces of China”, Economic Research Journal, 8: 133-142.Lin, T., 2012 , “From the Capitalization Rate to Observe Real Estate Bubble”, The 7th Cross-Strait Real Estate Appraisal Conference Proceedings, 55 - 64.Wang, M. and Huang, Y., 2013 , “The Influence of House Purchase Restrictions and Property Tax on Housing Price: Analysis Based on the Long-run Dynamic Equilibrium”, Journal of World Economy, 1: 141-159.Yu, H., 2013 , A Study of China’s Urban Housing Price Bubbles: Measurement Issues, Influence Factors and Spatial Effects, Beijing: Economic Science Press.English ReferencesAbraham, J. M. and Hendershott, H. P., 1996, “Bubble in Metropolitan Housing Markets”, Journal of Housing Research, 7(2): 191-207.Agnello, L. and Schuknecht L., 2011, “Booms and busts in housing markets: determinants and implications”, Journal of Housing Economics, 20(3): 171-190.Black, A., Fraser, P., and Hoesli, M., 2006, “House prices, fundamentals and bubbles”, Journal of Business Finance & Accounting, 33(9-10): 1535-1555.Bourassa, S. C., Hendershott, P. H., and Murphy, J., 2001, “Further evidence on the existence of housing market bubbles”, Journal of Property Research, 18(1): 1-19.Brueggeman, W. B. and Fisher, J. D., 2011, Real Estate Finance and Investment (14th Edition), New York: McGraw-Hill/Irwin.Case, K. E. and Shiller, R. J., 2003, “Is There a Bubble in the Housing Market?”, Brookings Papers on Economic Activity, 2: 299-362.Chan, H., Lee S., and Woo K., 2001, “Detecting rational bubbles in the residential housing markets of Hong Kong”, Economic Modelling, 18 (1): 61-73.Chen, M. and Patel, K., 2002, “An Empirical Analysis of Determination of Housing Prices in the Taipei Area”, Taiwan Economic Review, 30(4): 563-595.Diba, B. T. and Grossman, H. I., 1988, “Explosive Rational Bubbles in Stock Prices?”, The American Economic Review, 78(3): 520-530.Enders, W., 1995, Applied Econometric Time Series, New York : Wiley.Garino, G. and Sarno L., 2004, “Speculative bubbles in UK house prices: Some new evidence”, Southern Economic Journal, 70(4): 777-795.Hott, C. and Monnin, P., 2008, “Fundamental Real Estate Prices: an Empirical Estimation with International Data”, The Journal of Real Estate Finance and Economics, 36(4): 7-450.Hui, E. C. M. and 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.Krainer, J., 2003, “House Price Bubbles”, FRBSF Economic Letter, 6: 25-28.Krainer, J. and Wei, C., 2004, “House Prices and Fundamental Value”, FRBSF Economic Letter, Oct 1: 1-2.Levin, E. J. and Wright, R. E., 1997a, “The impact of speculation on house prices in the United Kingdom”, Economic Modelling, 14(4): 567-585.Levin, E. J. and Wright, R. E., 1997b, “Speculation in the Housing Market?”, Urban Studies, 34(9): 1419-1437.Malpezzi, S., 1999, “A simple error correction model of house prices”, Journal of Housing Economics, 8(1): 27-62.Mikhed, V. and Zemcik P., 2009a, “Do house prices reflect fundamentals? Aggregate and panel data evidence”, Journal of Housing Economics, 18(2): 140-149.Mikhed, V. and Zemcik P., 2009b, “Testing for bubbles in housing markets: A panel data approach”, The Journal of Real Estate Finance and Economics, 38(4): 366-386.Muellbauer, J. and Murphy, A., 1997, “Booms and Busts in the UK Housing Market”, The Economic Journal, 107(445): 1701-1727.Quigley, J. M., 1999, “Real Estate Prices and Economic Cycles”, International Real Estate Review, 2(1): 1-20.Roche, M. J., 2001, “The Rise in House Prices in Dublin: Bubble, Fad or just Fundamentals”, Economic Modelling, 18(2): 281-295.Ross, S. A., Westerfield, R. W. and Jaffe, J., 2009, Corporate Finance (Ninth Edition), New York: McGraw-Hill/Irwin.Smith, M. H., Smith, G., Mayer, C. and Shiller, R. J., 2006, “Bubble, Bubble, Where’s the Housing Bubble?”, Brookings Papers on Economic Activity, 2006(1): 1-50.Stiglitz, J. E., 1990, “Symposium on Bubbles”, The Journal of Economic Perspectives, 4(2): 13-18.Tirole, J., 1985, “Asset Bubbles and Overlapping Generations”, Econometrica, 53(6): 1499-1528.Tsai, I. and Peng, C., 2011, “Bubbles in the Taiwan housing market: The determinants and effects”, Habitat International, 35(2): 379-390.Online ReferencesQuartz, 2013, “China has the priciest housing on the planet”, http://qz.com/99280. 描述 碩士
國立政治大學
地政研究所
101257035
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1012570351 資料類型 thesis dc.contributor.advisor 林左裕 zh_TW dc.contributor.advisor Lin, Tsoyu Calvin en_US dc.contributor.author (Authors) 黃斐 zh_TW dc.contributor.author (Authors) Huang, Fei en_US dc.creator (作者) 黃斐 zh_TW dc.creator (作者) Huang, Fei en_US dc.date (日期) 2013 en_US dc.date.accessioned 29-Jul-2014 16:13:20 (UTC+8) - dc.date.available 29-Jul-2014 16:13:20 (UTC+8) - dc.date.issued (上傳時間) 29-Jul-2014 16:13:20 (UTC+8) - dc.identifier (Other Identifiers) G1012570351 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67911 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 地政研究所 zh_TW dc.description (描述) 101257035 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 隨著中國大陸經濟的高度成長，不動產市場也隨之發展。在貸款利率及不動產相關稅負長期偏低之下，住宅產品的投資需求不斷上升，使得房價一路高漲。房屋價格的增幅過大、增速過高，已經超出了合理的範圍。截至2010年，中國大陸推出一系列以抑制房價為主要目的的宏觀調控政策，許多重點城市也陸續推出以“限購令”為主要內容的地方性政策來調控不動產市場。由於中國大陸地幅遼闊，各地的不動產市場因受各種因素影響而發展各異，因此挑選了北京、上海、廣州三個頗具代表性的重點城市作為研究對象。本文應用年租金與加權平均資本成本（WACC）還原基本價值，以其與市場價格間的差距作為泡沫程度的估計，計算出這三個城市2007年至2012年間不動產價格泡沫程度。藉由這三個城市的不動產市場泡沫狀況，運用共整合分析檢視中國城市不動產價格泡沫的影響因素，并以Granger因果關係檢定探討三地不動產價格泡沫與各因素之領先落後關係。 實證結果顯示，人均可支配收入和金融機構各項信貸總額對不動產價格泡沫具有正向影響，不動產價格泡沫則對其本身具有負向影響，而抵押貸款利率與不動產價格泡沫先是正相關而後轉為負相關的關係。而根據Granger因果關係檢定結果，北京不動產價格泡沫落後於金融機構各項貸款總額，而上海不動產價格泡沫領先於人均可支配收入，廣州不動產價格泡沫則落後於人均可支配收入、抵押貸款利率與金融機構各項貸款總額。 zh_TW dc.description.abstract (摘要) With the rapid economic development in China, the real estate market has been undergoing a great boom. The low interest and tax rates are very favorable for the continuously increasing house demands, and thus resulting in higher housing prices. And the extremely rapidly increasing housing prices are not reasonable. Until 2010, Chinese government had published a series of national housing regulatory decisions to address the over-heating real estate market. And the restrictions on house purchase have been put into practice in some major cities. Given that China has a vast territory with large variety, the impact of these regulations on the local real estate markets of the cities can hardly be determined. Therefore, we study here the real estate market in Beijing, Shanghai and Guangzhou, three of the most representative major cities in China. This study evaluates the housing bubbles situations in these cities from 2007 to 2012 by comparing fundamental values with market prices. The fundamental value of real estate can be calculated by annual rents and WACC. Based on the evaluated housing bubbles situations, this study then applies Cointegration analysis to further explore the factors that may contribute to China’s housing bubbles. In addition, Granger causality test is employed to examine the lead/lag relationship between housing bubbles and the variables. The empirical result shows that per-capita disposable incomes and total loans of financial institutions are positively related to China’s housing bubbles. And the housing bubbles in these three cities are negatively related to themselves. In addition, the impact of interest rates on housing bubbles is positive and later turns negative with respect to the magnitude of increasing rates. According to the results of Granger causality tests, Beijing’s housing bubbles are Granger caused by total loans while property bubbles in Shanghai lead personal incomes. Furthermore, housing bubbles in Guangzhou are Granger caused by personal disposable incomes, interest rates and total loans. en_US dc.description.tableofcontents Chapter 1 Introduction 11.1 General Background and Research Motivation 11.2 Research Method and Scope 51.3 Research Overview 7Chapter 2 Literature Review 92.1 The Definition of the “Bubble” 92.2 The Measure of Housing Bubbles 112.3 Review of Housing Bubble Factors 14Chapter 3 Research Method and Data Information 173.1 Research Method 173.2 Data Information 23Chapter 4 Measure of Housing Bubbles 264.1 Trends of Housing Prices and Rents 264.2 Fundamental Value 294.3 Status of Housing Bubbles 32Chapter 5 Empirical Results 355.1 Structural Change 355.2 Unit Root Test 385.3 Cointegration Test 395.4 Vector Error Correction Model 415.5 Granger Causality Test 46Chapter 6 Conclusions and Discussion 486.1 Conclusions 486.2 Suggestions 516.3 Limitations 53References 54 zh_TW dc.format.extent 1222368 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/#G1012570351 en_US dc.subject (關鍵詞) 不動產價格泡沫 zh_TW dc.subject (關鍵詞) 基本價值 zh_TW dc.subject (關鍵詞) 資本還原率 zh_TW dc.subject (關鍵詞) Housing Bubble en_US dc.subject (關鍵詞) Fundamental Value en_US dc.subject (關鍵詞) Capitalization Rate en_US dc.title (題名) 中國城市不動產價格泡沫之探討 zh_TW dc.title (題名) China’s housing bubbles and the driving factors en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Chinese ReferencesChang, C., Chen, M., Teng, H. and Yang, C., 2009 , “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income”, Journal of Housing Studies, 18(2): 1-22.Li, C. and He, J., 2011 , “Chinese Monetary Policy and Housing Price - Based on the STR Model Empirical Analysis”, Industrial Economics Research, 3: 79-87.Liang, Y. and Gao, T., 2007 , “Empirical Analysis on Real Estate Price Fluctuation in Different Provinces of China”, Economic Research Journal, 8: 133-142.Lin, T., 2012 , “From the Capitalization Rate to Observe Real Estate Bubble”, The 7th Cross-Strait Real Estate Appraisal Conference Proceedings, 55 - 64.Wang, M. and Huang, Y., 2013 , “The Influence of House Purchase Restrictions and Property Tax on Housing Price: Analysis Based on the Long-run Dynamic Equilibrium”, Journal of World Economy, 1: 141-159.Yu, H., 2013 , A Study of China’s Urban Housing Price Bubbles: Measurement Issues, Influence Factors and Spatial Effects, Beijing: Economic Science Press.English ReferencesAbraham, J. M. and Hendershott, H. P., 1996, “Bubble in Metropolitan Housing Markets”, Journal of Housing Research, 7(2): 191-207.Agnello, L. and Schuknecht L., 2011, “Booms and busts in housing markets: determinants and implications”, Journal of Housing Economics, 20(3): 171-190.Black, A., Fraser, P., and Hoesli, M., 2006, “House prices, fundamentals and bubbles”, Journal of Business Finance & Accounting, 33(9-10): 1535-1555.Bourassa, S. C., Hendershott, P. H., and Murphy, J., 2001, “Further evidence on the existence of housing market bubbles”, Journal of Property Research, 18(1): 1-19.Brueggeman, W. B. and Fisher, J. D., 2011, Real Estate Finance and Investment (14th Edition), New York: McGraw-Hill/Irwin.Case, K. E. and Shiller, R. J., 2003, “Is There a Bubble in the Housing Market?”, Brookings Papers on Economic Activity, 2: 299-362.Chan, H., Lee S., and Woo K., 2001, “Detecting rational bubbles in the residential housing markets of Hong Kong”, Economic Modelling, 18 (1): 61-73.Chen, M. and Patel, K., 2002, “An Empirical Analysis of Determination of Housing Prices in the Taipei Area”, Taiwan Economic Review, 30(4): 563-595.Diba, B. T. and Grossman, H. I., 1988, “Explosive Rational Bubbles in Stock Prices?”, The American Economic Review, 78(3): 520-530.Enders, W., 1995, Applied Econometric Time Series, New York : Wiley.Garino, G. and Sarno L., 2004, “Speculative bubbles in UK house prices: Some new evidence”, Southern Economic Journal, 70(4): 777-795.Hott, C. and Monnin, P., 2008, “Fundamental Real Estate Prices: an Empirical Estimation with International Data”, The Journal of Real Estate Finance and Economics, 36(4): 7-450.Hui, E. C. M. and 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.Krainer, J., 2003, “House Price Bubbles”, FRBSF Economic Letter, 6: 25-28.Krainer, J. and Wei, C., 2004, “House Prices and Fundamental Value”, FRBSF Economic Letter, Oct 1: 1-2.Levin, E. J. and Wright, R. E., 1997a, “The impact of speculation on house prices in the United Kingdom”, Economic Modelling, 14(4): 567-585.Levin, E. J. and Wright, R. E., 1997b, “Speculation in the Housing Market?”, Urban Studies, 34(9): 1419-1437.Malpezzi, S., 1999, “A simple error correction model of house prices”, Journal of Housing Economics, 8(1): 27-62.Mikhed, V. and Zemcik P., 2009a, “Do house prices reflect fundamentals? Aggregate and panel data evidence”, Journal of Housing Economics, 18(2): 140-149.Mikhed, V. and Zemcik P., 2009b, “Testing for bubbles in housing markets: A panel data approach”, The Journal of Real Estate Finance and Economics, 38(4): 366-386.Muellbauer, J. and Murphy, A., 1997, “Booms and Busts in the UK Housing Market”, The Economic Journal, 107(445): 1701-1727.Quigley, J. M., 1999, “Real Estate Prices and Economic Cycles”, International Real Estate Review, 2(1): 1-20.Roche, M. J., 2001, “The Rise in House Prices in Dublin: Bubble, Fad or just Fundamentals”, Economic Modelling, 18(2): 281-295.Ross, S. A., Westerfield, R. W. and Jaffe, J., 2009, Corporate Finance (Ninth Edition), New York: McGraw-Hill/Irwin.Smith, M. H., Smith, G., Mayer, C. and Shiller, R. J., 2006, “Bubble, Bubble, Where’s the Housing Bubble?”, Brookings Papers on Economic Activity, 2006(1): 1-50.Stiglitz, J. E., 1990, “Symposium on Bubbles”, The Journal of Economic Perspectives, 4(2): 13-18.Tirole, J., 1985, “Asset Bubbles and Overlapping Generations”, Econometrica, 53(6): 1499-1528.Tsai, I. and Peng, C., 2011, “Bubbles in the Taiwan housing market: The determinants and effects”, Habitat International, 35(2): 379-390.Online ReferencesQuartz, 2013, “China has the priciest housing on the planet”, http://qz.com/99280. zh_TW
