中國房地產市場研究

Three Essays on China’s Real Estate Market

文仲琴(ZHONGQIN WEN)

指導教授 ： 姜樹翰 ； 胡宜中

中原大學/商學院/商學博士學位學程/博士(2022年)

https://doi.org/10.6840/cycu202301046

摘要

本研究包括三篇关于中国房地产研究的论文。中国房价在过去的几十年间快速大幅上涨的同时，中国房地产行业也对中国经济的发展做出了重要贡献。在第一篇论文中，为了更好地了解中国房地产价格的动态发展状况，我们采用滚动ARIMA模型和灰色BR-AGM (1,1)模型对比分析了四个具有代表性的一线城市北京、上海、广州和深圳在2008年1月到2021年5月的房价，并预测了未来一年的房价发展趋势。第二篇论文中我们检测分析了中国房地产市场的泡沫问题。我们采用了菲利普斯等学者提出的SADF和GASDF方法检测了四个一线城市和十个二线城市在2008年月到2021年9月期间的房地产价格，实证结果表明这些城市不但出现了房地产泡沫，并且几乎在相同时期同时出现，和当时中国政府实施的房地产政策具有高度的一致性。第三篇论文我们提出土地用途的多样化策略可以成为解决中国房地产泡沫的一种可能方法。

並列摘要

This dissertation consists of three essays on China’s real estate market. Housing prices in China have grown rapidly and dramatically over the past two decades; at the same time, the housing sector has contributed greatly to China’s economy. In the first essay, to better understand the dynamics of housing prices in China, we try to forecast housing prices in China’s first-tier cities: Beijing, Shanghai, Guangzhou, and Shenzhen, by means of rolling ARIMA models and Grey BR-AGM (1,1) model to compare their forecasting performances. In the second essay, we discuss detecting and estimating bubbles in China’s real estate market. We apply supremum augmented Dicker–Fuller (SADF) and generalized supremum augmented Dicker–Fuller (GSADF) tests to estimate the house prices in 4 first-tier cities and 10 second-tier cities in China over May 2008-September 2021. The empirical results show the bubbles in these cities presented concentrating over the same time intervals. The exhibit of bubbles strongly consistent with the real estate policies. And in the third essay, We argue that spreading an investment across many land-use assets, namely, diversification, may be effective in resolving China’s overheated housing troubles. Thus we examine the ripple effects in three property markets (the residential, office, and retail property markets), rather than in only the housing market, among six mega-cities in China’s real estate market.

並列關鍵字

Land-use diversification ； Real estate policy ； Housing bubble ； Date-stamping ； Right-tailed unit root tests ； GSADF ； SADF ； Grey BR-AGM (1,1) ； ARIMA ； Rolling windows ； Housing price forecasting ； Property submarkets ； Portfolio ； Ripple effect ； Long-run equilibrium

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