大中華經濟圈跨境房價之擴散與動態傳遞分析House Price Diffusion and Cross-Border House Price Dynamics in the Greater China Economic Area

本文針對大中、台、港、新等四個經濟體之房價進行關連性檢驗，在研究方法上以Toda & Yamamoto(1995)因果檢定、變異數分解與衝擊反應函數來分析此四經濟體房價密切程度。本文得到下列結果：第一、此四經濟體之跨境房價間具有共整合之長期關係。第二、因果檢定顯示台灣房價會單向領先中國房價。第三、衝擊反應函數結果顯示香港房價對於新加坡房價有顯著正向衝擊。第四、變異數分解顯示中國房價在長期下為最外生，表示中國房價不易被其他市場影響；台灣房價對其他房價之影響程度則為最高。

關鍵詞：跨境房價擴散、大中華經濟圈、共整合、因果檢定、變異數分解

This paper examines the lead-lag relationships and dynamic linkages among the cross-border house prices of four economies in the Greater China Economic Area(GCEA). We determine the extent and magnitude of their relationships by applying the Toda & Yamamoto(1995) causality test, variance decomposition analysis(GDVC), and impulse response analysis(GIRF). Our empirical results reveal compelling implications. First, the empirical results illustrate a long-run equilibrium among cross-border house prices in the GCEA. Second, the results of the Granger causality test provide evidence of a unidirectional relationship running from Taiwan to China. Third, the GIRF demonstrate that Hong Kong initially has a significantly positive impact on Singapore. Finally, the GDVC results indicate that house prices in China are the most exogenous in the long term, implying that China’s market cannot be influenced easily by other markets, whereas Taiwan’s market more crucially influences the markets of other regions’ in the GCEA.

Key words: cross-border house price diffusion, Greater China Economic Area (GCEA), cointegration, granger causality, variance decomposition analysis