探索房價與租金的漣漪效果：以中國大陸一線城市為例

Exploring ripple effects of housing prices and rents:Evidence from first-tier cities in China

陳智鉉(Chih-Hsuan Chen)

指導教授 ： 姜樹翰

中原大學/商學院/財務金融研究所/碩士(2019年)

https://doi.org/10.6840/cycu201900529

摘要

本論文主要是探討中國大陸北京、天津、上海、重慶、深圳與廣州這六個一線城市的房價及租金兩者間的關係，並採用中房指數系統的住宅指數與二手房價格指數，作為本研究的房價及租金指標。
研究結果發現，首先，單獨城市的房價與租金大皆不存在共整合關係，亦即長期下不具有均衡關係。其次，若將房價與租金分別探討六大城市之間是否具有長期均衡關係，則可發現，房價之間具有共整合關係，但租金市場則不存在共整合關係。
再者，本文採用Toda-Yamamoto因果檢定來進行因果關係探討。首先，單獨城市內，六個城市內的房價與房租皆不具有因果關係；若觀察六大城市間的關係，則可以發現上海是房價主要的來源城市，另一方面，廣州則是租金的主要來源城市。
最後，本文以追蹤資料的方式進行房價與租金的探討，在共整合結果中發現，長期下的一線城市房價與租金不具有共整合關係。而使用追蹤資料的因果檢定中，則發現中國大陸的六個一線城市之租金價格確實會領先房價，亦即租金會帶動房價上漲。
總之，本研究所探討的中國六個一線城市的房價及租金關係，結果多呈現不具共整合關係或是因果關係，亦即中國的房價仍有過熱的疑慮，甚至早已出現泡沫，藉由本研究的估計，可以更加清楚中國大陸現今的不動產市場發展情形。

關鍵字

房價 ； 房租 ； 共整合分析 ； 因果檢定 ； 追蹤資料

並列摘要

This study is to investigate the relationship between housing prices and rents in China’s first-tier cities, using CREIS real estate database to obtain housing price index and rent index.
Based on our empirical estimation, it is first found that indicate that there is no any cointegration relationship between housing prices and rents within six intra-city housing markets. In other words, both housing prices and rents will not lead to long-term equilibrium within a city. Moreover, this paper separately conducts the experiments in housing prices and rents among six cities to show that there are two cointegration relationships based on housing prices, rather than rents.
Furthermore, the empirical study using Toda-Yamamoto causality test indicates that the source of housing prices among six first-tier cities points to Shanghai, while there are stronger ripple effects among housing rent markets with the source city for Guangzhou.
Finally, we apply panel data econometrics to explore the relationships between housing prices and rents. Estimation results reveal that there is not any cointegration relationship between housing prices and rents in the housing panels. As far as panel data causality test is concerned, it is found that rents lead to housing prices. That is to say, rents are the cause to the housing prices.

並列關鍵字

Housing prices ； housing rents ； Cointegration ； Causality test ； Panel data

參考文獻

英文文獻

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Ayuso, J., & Restoy, F. (2006). House prices and rents: An equilibrium asset pricing approach. Journal of Empirical Finance, 13(3), 371-388.

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