本文建構非線性的自我迴歸模型(Vector Autoregressive Model, VAR)，利用2002Q1-2018Q1的全國平均房價和人均消費季資料，探討房價衝擊對居民消費產生的不對稱影響，同時探討不同城市等級的房價與消費的關係。
本文在兩種假設下分別對房價和消費做檢定。（1）房價對消費有立即影響；（2）房價對消費有滯後影響。 本文發現在兩種假設下房價波動都對消費無顯著不對稱影響。若將資料依城市等級分類，則一二線城市的房價波動在假設二之下對消費有顯著不對稱影響。

The main purpose of this paper is to investigate the asymmetric effects of house-price shock on urban residents’ consumption of mainland China. To the ends, we build a bivariate non-linear vector autoregression model developed by Kilian and Vigfusson (2011), using the average house price and per capita consumption of urban residents across mainland China during 2002Q1 to 2018Q1. Also, the results in various cities of different classes will be discussed.
We examine the robustness of our results by proposing two assumptions. (1) House-price shock has an immediate impact on consumption; (2) House-prices shock has a lagging effect on consumption. Our findings suggest that there is no significant evidence on the asymmetry of the effects of house-price shock on urban residents’ consumption under two assumptions. In the discussion of the classification of cities, the results suggest that the asymmetric effects of house-price shock on consumption is more likely to be significant in first- and second-tier cities under assumption two.

1.緒論 1
2.實證方法 5
2.1資料敘述 5
2.2模型建構 12
2.3非線性衝擊反應之計算 13
2.4不對稱衝擊之檢定 14
3.實證結果 15
3.1房價正成長之非線性效果 15
3.2房價正成長之非線性效果-控制收入變數 17
3.3淨房價正成長的非線性效果 19
3.4凈房價正成長之非線性效果-控制收入變數 21
3.5小結 22
4.其他討論 23
4.1一線城市房價正成長之非線性效果 24
4.2一線城市凈房價正成長之非線性效果 25
4.3二線城市房價正成長之非線性效果 27
4.4二線城市凈房價正成長之非線性效果 28
4.5小結 30
5.結論 31
6.參考文獻 32

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