Responsive image
博碩士論文 etd-0625114-000705 詳細資訊
Title page for etd-0625114-000705
論文名稱
Title
影響區域房價動態相關性之因素分析以美國東部、西部以及五大湖區為例
A Factor Analysis of Dynamic Correlation of Regional House Price in the United State
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
54
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2014-06-30
繳交日期
Date of Submission
2014-07-31
關鍵字
Keywords
Copula、經濟相近、房價傳遞、相關性、區域變數
correlation, regional factor, economic proximity, Copula, house price diffusion
統計
Statistics
本論文已被瀏覽 5721 次,被下載 835
The thesis/dissertation has been browsed 5721 times, has been downloaded 835 times.
中文摘要
當我們在觀察美國的房價時,我們可以發現相同地區的房價指數通常有著相同的走勢,不過會依照城市的不同稍為有些變化。本研究的目的在找出可以影響房價相關性的區域因素,本研究取了美國西部、東部和五大湖區等共十個大都市區,另外採用區域性的失業率、抵押利率、人口數以及個人所得做為區域變數,樣本期間為1990第一季到2012第4季共92個樣本,採用季頻率的資料。首先,我們先使用Gaussian copulas和Student’s t copulas兩個方法計算出動態的相關係數,利用AIC以及BIC的法則去選取適合的模型,接著將選出的動態相關係數當作反應變數,以失業率、抵押利率、個人所得以及人口數做為獨立變數,使用OLS模型來估計進而得到結果。
本研究發現:每個地區皆會存在影響區域房價相關性的因子,首先,失業率和利率兩個總體變數對於美國東部有顯著的影響;第二,區域的人口變數移及總體的消費物價指數和出口兩個變數會影響五大湖地區的房價相關性;最後,在所有的區域中區域的失業率以及總體的失業率對於區域房價相關性皆存在顯著的影響。
Abstract
When examining house prices across the United States, we find that although the same patterns are exhibited in each region there are slight differences in adjacent areas. The purpose of our research is to investigate the regional factors that influence the house price correlation among adjacent metropolitan areas. Our sample is collected from the Eastern, Western and Great Lakes regions and covers 10 MSAs. The regional data collected include unemployment rates, mortgage rates, populations and personal incomes, and the sample period, which is from 1990Q1 to 2012Q4, includes 92 samples with a quarterly frequency. First, we apply Gaussian copula and Student’s t copula to compute the dynamic correlation and use the standard AIC and BIC values to select the best model. We then take the subsequent correlation as our dependent variable and add four regional factors - unemployment rate, mortgage rate, personal income and population - as our independent variables. Finally, we apply the OLS model to obtain the results.
From our results, we derive some conclusions. First, there are some sensitive variables in each region. For example, we find that the interest rates and unemployment rates have a significant effect in the Eastern region. Second, we find two of the macroeconomic variables, CPI and exports, and a regional variable, population, affect the correlation in the Great Lakes region. Finally, regardless of the regional or national unemployment rates, they both play critical roles in all of the regions.
目次 Table of Contents
論文審定書 i
摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
1.1 Research Background and Purpose 1
1.2 Research Structure 6
II. LITERATURE REVIEW 8
2.1 Housing Dynamics 8
2.2 Regional Factor 12
III. METHODOLOGY 15
3.1 Methodology process 15
3.2 Find the dynamic relationship between MSAs: Copulas method 16
3.3 Find out the economic proximity influence the relationship: OLS Model 19
IV. DATA AND EMPIRICAL RESULTS 21
4.1 Data description 21
4.2 Unit Root Test 26
4.3 Dynamic copula to compute the correlation 29
4.4 Find out the sensitive factor in different division 33
V. CONCLUSION 40
REFERENCES 43
參考文獻 References
Abraham, Jesse M. and Patric H. Hendershott. (1992) Patterns and determinants of metropolitan house prices, 1977 to 1991, Federal Reserve Bank of Boston Conference. Conference Series, Vol. No. 36, 18–42.
Abraham, Jesse M and Patric H. Hendershott. (1996). Bubbles in Metropolitan Housing Markets. Journal of Housing Research, 7, 191-207.
Adair, A.S., Berry, J.N. and McGreal, W.S. (1996) Hedonic modelling, housing submarkets and residential valuation, Journal of Property Research, 13, 67–83.
Alexander, C. and Barrow, M. (1994) Seasonality and cointegration of regional house prices in the UK. Urban Studies, 31(10), 1667-1689.
Anderson, R.J. Jr. and Crocker, T.D. (1971) Air pollution and residential property values, Urban Studies, 8(3), 171–180.
Apergis, N., and J.E. Payne. (2011) Convergence in U.S. housing prices by state: Evidence from the club convergence and clustering procedure
Ashworth, J. and Paeker, S. C.(1997) Modelling regional house price in the UK Scottish, Journal of Political Economy,44(3), 225-246
Baffoe-Bonnie, J. (1998). The dynamic impact of macroeconomic aggregates on housing prices prices and stock of houses: A national and regional analysis. Journal of Economics 17(2), 179–197.
Barros, C.P., L. Gil-Alana, and J.E. Payne. (2011). Test of convergence and long memory behavior in U.S housing prices by state. Working Paper, University of South Florida Polytechnic
Barrow, M.M. and O’Sullivan, A.J. (1983) The empirical determination of house prices, error correction mechanisms and the correction of errors, Urban Studies, 21, 89–91.
Bradley, M. G., Gabriel, S. A.,& Wohar, M. E. (1995). The thrift crisis, mortgage-credit intermediation, and Housing Activity. Journal of Money, Credit, and Banking, 27(2), 476-497.
Capozza, D., Hendershott, P.H., Mack, C. and Mayer, C.J. (2002) Determinants of real house price dynamics, NBER Working Paper 9262, October.
Chea,S. (2010).Home Sales as an Economic Indicator, http://voices.yahoo.com/home-sales-as-economic-indicator-5362321.html?cat=3
Clapp, J. M., and Tirtirglou, D. (1994) .Positive Feedback Trading and Diffusion of Asset Price Changes: Evidence from Housing Transactions. Journal of Economic Behavior and Organization, 24, 337-355.
Clark, S.P., and D. Coggin. ( 2009) Trends, cycles, and convergence in U.S. regional house prices. Journal of Real Estate Finance and Economics 39(3), 264-283.
Cook , S. (2005) Detecting long-run relationships in regional house prices in the UK International, Review of Applied Economics, 19(1), 107-118.
Englund, P., Ioannides, Y. M. (1997). House price dynamics: an international empirical perspective. Journal of Housing Economics 6(2), 119–136.
Evans, A.W. (1973) The Economics of Residential Location, Macmillan, London
Ewing, B.T. & Wang, Y. (2005). Single Housing Starts and Macroeconomic Activity: An Application of Generalized Impulse Response Analysis,Applied Economics Letters, 12(3), 187-190.
Fratantoni, M., & Schuh, S. (2003). Monetary Policy, Housing, and Heterogeneous Regional Markets, Journal of Money, Credit and Banking, 35(4), 557-589.
Gallin, J., (2006) The long-run relationship between house prices and income: evidence from local housing markets. Real Estate Economics 34 (3), 417–438.
Giussani, B., and G. Hadjimatheou. (1991) Modeling regional house prices in the UK. Papers in Regional Science 70(2), 201-219.
Gupta R, Miller SM (2009) The time-series properties on housing prices: a case study of the Southern California market. J Real Estate Finance Econ (in press)
Gupta, R., and S.M. Miller. (2012a) ’Ripple Effects’ and forecasting home prices in Los Angeles, Las Vegas, and Phoenix. Annals of Regional Science 48(3), 763-782.
Gupta, R., and S.M. Miller. (2012b) The time-series properties of house prices: A case study of the Southern California market. Journal of Real Estate Finance and Economics 44(3), 339-361.
Hendry, D. (1984) Econometric modelling of house prices in the UK, in Econometrics and Quantitative Economics (edited by D. Hendry and K. Wallis), Blackwell, Oxford, 135–172.
Holmes, M., and A. Grimes. (2008) Is there long-run convergence among regional house prices in the UK? Urban Studies 45(8), 1531-1544.
Huang, D.S. (1973). Short-Run Instability in Single-Family Housing Starts, Journal of the American Statistical Association, 68(344), 788- 792.
Longbottom, J.A. and Nellis, J.G.(1981) An empirical analysis of the determination of house prices in the United Kingdom, Urban Studies, 18, 9–21.
Lyytikäinen, T. (2009). Three-rate property taxation and housing construction, Journal of Urban Economics, 65(3), 305-313.
MacDonald, R. and Tatlor, M. P. (1993) Regional house prices in Britain: Long-run relationships and short-run dynamics. Scottish Journal of Political Economy, 40(1), 43-55.
MacDonald, R., and M.P. Taylor. (1993) Regional house prices in Britain: Long-run relationships and short-run dynamics. Scottish Journal of Political Economy 40(1), 43-55.
Malpezzi, S., Chun, G.H. and Green, R.K. (1998) New place-to-place housing price indexes for US metropolitan areas and their determinants, Real Estate Economics, 26(2), 235–274.
McGibany, J. M., & Nourzad, F. (2004). Do lower mortgage rates mean higher housing prices? Applied Economics 36(4), 305–313.
Meen, G (1996) Spatial aggregation, spatial dependence and predictabilit in the UK housing market. Housing Studies, 11(3), 345-372.
Meen GP (1999) Regional house prices and the ripple effect: a new interpretation. Hous Stud 14, 733–753.
Mikhed, V., Zemcˇík, P., (2007) Testing for bubbles in housing markets: a panel data approach. CERGE-EI Working Paper, 338.
Ozanne, L. and Thibodeau, T. (1983) Explaining metropolitan housing price difference, Journal of Urban Economics, 13(1), 51–66.
Pollakowski, H. O. and Ray, T.s. (1997) Housing price diffusion patterns at different aggregation levels: An examination of housing market efficiency. Journal of Housing Research, 8(1), 107-124
Potepan, M.J. (1996) Explaining intermetropolitan variation in housing prices, rents and land prices, Real Estate Economics, 24(2), 219–245
Poterba, J.M. (1991) House price dynamics: the role of tax policy and demography, Brookings Papers on Economic Activity, 2, 143–203.
Quigley, J.M. and Kain, J.F. (1970) Measuring the value of housing quality, journal of the american statistical association, june.
Reichert AK (1990) The impact of interest rates, income, and employment upon regional housing prices. J Real Estate Finance Econ 3, 373–391
Rosenthal, L.(1986) Regional house price interactions in the U.K., 1975-1981: A cross spectral analysis. Applied Economics 18(9), 1011-1023.
Samuelson, P. (1948), “International Trade and Equalization of Factor Prices,” Economic Journal, LVIII (230), 163-184.
Sander, W., & Testa, W. A. (2009). Education and Household Location in Chicago,Growth and Change, 40(1), 116–139.
Shiller, R.J., (2005) Irrational Exuberance. Princeton University Press, Princeton
Sklar, A. (1973). /Random Variables, Joint Distributions, and Copulas." Kyber-netica, 9, 449{460. Coval, J., Jurek, J., and E. Staord. (2009). The Economics of Structured Fi-nance." Journal of Economic Perspectives, 23, 3-25.
Smith, B. A., and W. P. Tesarek. (1991) House Prices and Regional Real Estate Cycles: Market Adjustments in Houston, Journal of the American Real Estate and Urban Economics Association 19, 396-416.
Srevenson, S. (2004) House price diffusion and interregional and cross-border house price dynamics. Journal of Property Research, 21(4), 301-320.
Sternlieb, G., and J. W. Hughes. (1977) Regional Market Variations: The Northeast Versus the South, Journal of the American Real Estate and Urban Economics Association (Spring), 44-68.
Taylor, J. B. (2007). Housing and Monetary Policy), NBER Working Paper No. W13682. Available at SSRN: http://ssrn.com/abstract=1077808.
Tirtirglou, D. (1992). Efficiency in Housing Markets: Temporal and Spatial Dimensions. Journal of Housing Economics, vol. 2, 276-292.
Tu, Y. (2000) Segmentation of Australia housing market: 1989-98. Journal of Property Research, 17(4), 311-327.
Vargas-Silva, C. (2008). Monetary Policy and the U.S. Housing Market: A VAR Analysis Imposing Sign Restrictions,Journal of Macroeconomics, 30(3), 977-990.
Wabe, J.S. (1971) A study of house prices as a means of establishing the value of journey time, the rate of time preference and the valuation of some aspects of environment in the London metropolitan region, Applied Economics, 3(4), 247–256.
Wohar, M. E., Bradley, M. G., Gabriel, S. A.,& Wohar, M. E. (1995). The thrift crisis, mortgage-credit intermediation, and Housing Activity. Journal of Money, Credit, and Banking, 27(2), 476-497.
Zhu, B., Füss, R., Rottke, N.B. (2011) Spatial Linkages in Returns and Volatilities Among US Regional Housing Markets, Real Estate Economics, forthcoming.
Zohrabyan et al. (2008) Cointegration analysis of regional house prices in US. Proceedings: 2007 Agricultural and Rural Finance Markets in Transition, Regional Research Committee NC-1014, St. Louis, Missouri.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code