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Housing Price Bubbles and Inter-Provincial Spillover: Evidence from China

2014.06.20

作者:施昱年 等

Habitat International 43(2014)142-151

The soaring housing prices in many provinces of China have recently attracted increasing attention. This study addresses the questions of whether there are housing price bubbles in the provinces and whether the bubbles are spatially contagious. We adopt a unit root, cointegration test that uses structural changes and loan-to-income ratios to test housing rationalbubbles and a vector error correction model (VECM), the Impulse Response Function, and Granger causality to investigate potential contagion and spillover effects from core to peripheral provinces. Housing price data from 28 provinces in China, ranging from the first quarter of 2000 to the fourth quarter of 2012, are analyzed. First, it is found that most of the provinces do have bubbles and affordability problems. Second, housing prices in provinces that were within the same potentially contagious region were cointegrated together. Third, spillover effects existed in contagious regions around Beijing and Shanghai, where each province has severe bubbles and affordability problems.(Yu-Nien Shih, Hao-Chuan Li , Bo Qin, SSCI)

住宅价格泡沫与溢出效应研究-以中国为例

中国住宅价格长期上涨趋势可能催生价格泡沫,投机与预期从高房价省市溢出并带动外围省市价格上涨是支撑房价长期上涨的动力之一。基于宏观调控干预可能已引起价格的结构性转变,本文采用可以捕捉结构性转变的单位根以及协整分析检验价格理性泡沫,并透过泡沫溢出效应的向量误差修正模型建构,分析省市价格泡沫化是否会外溢影响其外围省市住宅价格的长期均衡波动。本文的研究对象为中国的28个省市2000年第1季到2012年第4季的商品住宅市场。实证结果显示,多数省市存在泡沫以及支付能力不足的问题,北京以及上海则是主要的泡沫溢出城市,外生影响外围省市住宅市场的长期均衡。溢出效应的存在也表明,目前实施的限购手段是否会促使未限购城市的泡沫增生,值得进一步思考。