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| Title: | 上海市各圈層房地產市場溢出效應探究
Research on the Spillover Effect of Housing Market in Various Layers in Shanghai |
| Authors: | 徐霖
Xu, Lin |
| Contributors: | 陳明吉
Chen, Ming-Chi
徐霖
Xu, Lin |
| Keywords: | 上海房地產市場
城市圈層
溢出效應
Shanghai real estate market
Urban circle
Spillover effect |
| Date: | 2022 |
| Issue Date: | 2022-05-02 14:56:51 (UTC+8) |
| Abstract: | 本研究假設上海市核心與外圍圈層的新建房與二手房市場存在著類似溢出效應的價格互動機制，經由對2011年1月到2021年4月上海市核心與外圍圈層各行政區平均月度房價通過交易量進行加權，獲得上海市核心圈層與外圍圈層的新建房與二手房價格，進而建立房價變化率VAR模型，並通過Granger因果檢定，確認各圈層各層級市場之間房價溢出效應的存在性，通過衝擊反應函數進一步分析房價溢出效應的表現形式。
實證結果顯示，區別於過往國外類似研究所報告的房價變動由經濟發達的核心圈層向外圍擴散的溢出形式，上海市的房價溢出現象除了表現為核心圈層內新房與二手房市場之間的雙向溢出關係，還具有外圍圈層二手房市場向核心圈層新房與二手房市場單向溢出的現象，可見上海市外圍圈層二手房市場對整體上海房地產市場具有重大影響力。溢出效應動態表現形式方面，溢出的承受市場反應持續時間長度類似，均為五到六個月左右，且在受到衝擊後均先出現正向反應，後在第四個月左右轉為負向反應，區別主要集中在正向反應轉變為負向反應的幅度與持續時間，核心圈層內新房對二手房的的溢出有長達兩個月的負向反應時間，而不同於其他市場負向反應短暫，回歸平穩狀態迅速，可能受針對二手房的行政干預更少所致；同時，核心與外圍圈層的二手房市場對核心區新房的溢出動態特點極為相似，可能均受到政府行政干預等因素的影響。
This study assumes that there is a price interaction mechanism, which is similar to Spillover Effect between the first-hand, and second-hand housing markets in the core and outer circles of Shanghai. By weighting the average monthly house prices of the core and outer circles in Shanghai from January 2011 to April 2021 through the transaction volume, the prices of first-hand and second-hand houses in the core and outer circles of Shanghai are obtained, and then the VAR model of house price change rate is established. By using the Granger Causality test, then we can confirm the Spillover Effect between markets at all levels, and further analyze the manifestation of spillover effect through impact response function.
The empirical results show that the Spillover form in Shanghai is different from the results reported by foreign research institutes. And the two-way spillover relationship between the new and the second-hand market in the core, the house price Spillover phenomenon also has the phenomenon of one-way Spillover from the secondhand market in the peripheral circle to the new house and the second-hand house market in the core circle, It can be seen that the second-hand housing market in the outer circle of Shanghai has a significant influence on the overall Shanghai real estate market. And the duration of the market response to spillover is similar, which is about five to six months, and the positive response first appears after being impacted, and then turns to negative response in about the fourth month. The difference is mainly in the range and duration of the positive response turning into negative response. The Spillover of new to second-hand houses in the core circle has a negative response time of up to two months, Unlike other markets, the negative reaction is short and the return to a stable state is rapid, which may be caused by less administrative intervention for second-hand housing; At the same time, the spillover dynamic characteristics of the second-hand housing market in the core and peripheral to the new houses in the core area are very similar, which may be affected by factors such as administrative intervention. |
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| Description: | 碩士
國立政治大學
財務管理學系
108357035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357035 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200392 |
| Appears in Collections: | [財務管理學系] 學位論文
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