本文選取中國大陸31個省（直轄市、自治區）2002年至2021年的房地產價格數據，並將其劃分為八個區域，通過構建Time-Varying Parameter Vector Autoregressive model (TVP-VAR)模型，得到各區域之間以及各區域內部城市間的時變房價外溢指數，來分析中國各區域之間和各區域內部城市間房地產價格的動態外溢效應，再進一步引入總體經濟因素(GDP、人均可支配收入、常住人口密度)去探討影響他們房價外溢效應差異的因素。
研究結果表明，中國房地產市場在各區域之間存在顯著漣漪效應(Ripple Effect)；GDP對區域之間的房價外溢效應影響較大，人均可支配收入和常住人口密度對區域之間的房價外溢效應影響不明顯；在各區域內部城市間，GDP也對時變房價總外溢效應影響顯著，說明不論各區域之間還是各區域內部城市間的房地產市場發展都更多地依賴於區域的經濟發展狀況；此外，經濟相對發達的北部沿海和東部沿海地區的房價外溢效應基本不受經濟基本面的影響。因此，政府應依據各區域房地產市場發展現狀和市場特徵來制定相應的調控政策，實行分區域差異化管理，以實現中國房地產市場整體平穩健康發展。

關鍵詞：中國房地產市場、區域外溢效應、漣漪效應、TVP-VAR模型

In this paper, we select the housing price data of 31 provinces in mainland China from 2002 to 2021, and divides them into eight regions. The TVP-VAR model is used to analyze the dynamic spillover effects of housing prices among regions and cities within regions in China, and then to explore the factors that affect the differences in spillover effects of housing prices among regions and cities within regions by introducing aggregate economic factors (GDP, per capita income, and population density).
The results show that there is a significant ripple effect between regions in China's housing market; GDP has a greater impact on the spillover effect between regions, while per capita disposable income and resident population density have an insignificant impact on the spillover effect between regions; among cities within regions, GDP also has a significant impact on the total spillover effect of time-varying housing prices, indicating that both In addition, the spillover effect of housing prices in the relatively developed northern and eastern coastal areas is basically not affected by economic fundamentals. Therefore, the government should formulate corresponding regulatory policies according to the current development status and market characteristics of the housing market in each region, and implement differentiated management by region to realize the overall stable and healthy development of China's housing market.
Key words: China's housing market, regional spillover effect, ripple effect, TVP-VAR model

摘要·················································································i
Abstract·············································································ii
目錄················································································iv
表目錄··············································································vi
圖目錄··············································································vii
第一章 緒論 ··········································································1
1.1 研究背景與動機···································································1
1.2 研究內容與方法···································································2
1.3 本文創新········································································3
1.4 研究框架········································································5
第二章 文獻回顧······································································6
2.1房價的影響因素研究································································6
2.2房地產市場價格的外溢效應··························································7
2.3本章小結··········································································8
第三章 實證研究······································································9
3.1樣本數據··········································································9
3.2 TVP-VAR模型····································································10
3.3 Granger因果關係檢定·····························································13
3.4向量自我迴歸模型·································································14
第四章 實證結果·····································································15
4.1 房地產市場數據的敘述性統計·······················································15
4.2中國各區域之間房價外溢效應·······················································18
4.2.1外溢效應分析····································································18
4.2.2 Granger因果關係檢定···························································22
4.3中國各區域內部城市房價外溢效應···················································23
4.3.1 Granger因果關係檢定····························································23
4.3.2 VAR模型分析···································································25
第五章 結論與建議···································································34
5.1研究結論與相關建議·······························································34
5.2研究限制與未來研究方向···························································35
第六章 參考文獻·····································································37

Alexander, C. & Barrow, M. (1994). Seasonality and Cointegration of Regional House Prices in the UK. Urban Studies 31(10): 1667-1689.
Antonakakis, N., Chatziantoniou, I., Gabauer D. (2020) Refined Measures of Dynamic. Connectedness based on Time-Varying Parameter Vector Autoregressions. Journal of Risk and Financial Management 13(4).
Chiang, Ming-Chu., Sing, Tien-Foo., Tsai, I-Chun. (2017). Spillover Risks in REITs and other Asset Markets. Journal of Housing Finance and Economics Vol. 54(4), 579-604.
Clapp, John M., Dolde, Walter., Tirtiroglu, Dogan. (1995). Imperfect Information and Investor Inferences from Housing Price Dynamics. Housing Economics 23(3): 239-269.
Clapp, John M., Tirtiroglu, Dogan. (1994). Positive feedback trading and diffusion of asset price changes: Evidence from housing transactions. Journal of Economic Behavior & Organization 24(3): 337-355.
Diebold, Francis X., Yılmaz, Kamil. (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. Journal of Econometrics 182: 119-34.
Holly, Sean., Pesaran, M. Hashem., Yamagata, Takashi. (2010). A spatio-temporal model of house prices in the USA. Journal of Econometrics 158(1): 60-173 .
Jeffrey, Cohen., Ioannides, Yannis M., Thanapisitikul, Win. (2016). Spatial Effects and House Price Dynamics in the USA. Journal of Housing Economics Vol. 31, 1-13.
Koop, Gary., Pesaran, M. Hashem., Potter, Simon M. (1996). Impulse Response Analysis In Nonlinear Multivariate Models. Journal of Econometrics 74: 119-47.
Lee, Chien-Chiang., Chien, Mei-Se. (2011). Empirical Modelling of Regional House Prices and the Ripple Effect. Urban Studies 48(10): 2029-2047.
Lu Xu, Bo Tang(2014). ON THE DETERMINANTS OF UK HOUSE PRICES. International Journal of Economics and Research (NO.2): 57-64
McDonald, R. & Taylor, M. (1993). Regional House Prices in Britain: Long-run Relationships and Short-run Dynamics. Scottish Journal of Political Economy 40(1).
Nichols, Joseph B., Oliner, Stephen D., Mulhall, Michael R. (2013). Swings in commercial and residential land prices in the United States. Journal of Urban Economics 73(1): 57 -76.
Pesaran, H. Hashem., Shin, Yongcheol. (1998). Generalized Impulse Response. Analysis In Linear Multivariate Models. Economics Letters 58: 17-29.
Sims, C. A. (1980). Macroeconomics and Reality. Econometrica 48(1), 1-48.
王周偉、崔百勝、張元慶(2017)。空間計量經濟學現代模型與方法。北京大學出版社。
陳浪南、王鶴(2012)。我國房地產價格區域互動的實證研究。統計研究，29(07) ，37-43。
陳斌開、徐帆、譚力(2012)。人口結構轉變與中國住房需求: 1999 ~ 2025——基於人口普查數據的微觀實證研究。金融研究，(01): 129-140。
周文興，林新郎(2012)。基於空間計量的我國住房價格研究。統計與決策，(03):140-143
梁雲芳、高鐵梅(2007)。中國房地產價格波動區域差異的實證分析。經濟研究，(08):133-142。
錢金保(2008)。中國房地產價格的泡沫檢驗和空間聯動分析。南方金融，(12): 17-20。