| China has experienced a huge economic growth after the Economic Reform.Following the economical high speed growth,many urban-agglomerations appeared such as Yangtze River Delta(YRD)area,Pearl River Delta(PRD)area,and Beijing-Tianjin-Hebei Region(BTHR)area.Those representative areas fuel the economic growth of China and even the whole world.The strategy of urban-agglomerations was highlighted as a national strategy in ?The National Development Planning? and ?The State New Urbanization Plan 2014-2020?.Many new urban-agglomerations will be established as an important platform to solve the problems during the process of urbanization.Those city groups play a role of elements of the source concentration and leading radiation as well.With the housing market reform in 1998,the booming housing market has significantly pulled economic growth and improving housing conditions.There was a high correlation between urban economy and housing market.The volatilities of commodity housing price happened in these city groups are much higher than before.Especially,after the real estate being established as the pillar industries to promote the economy in 2003,the unexpected high price of commodity housing received attentions from public.Classical real estate economy theory believes that commodity housing has regional market characteristics because of its immovability.The commodity housing prices vary with city sources,location conditions,social cultures,and economic development level.Under the background of regional economic integration,those city-groups have even more close relationship comparing with other adjacent cities because of close economic relations,frequent migration,and developed traffic network.Therefore,it is very easy for the economic volatility to accumulate,vibrate,and overflow among these cities,including the high correlation of housing prices.This dissertation will discuss the relevance and interaction of housing prices across cities in details,though it is seldom studied and very important.Furthermore,Chinese government implemented several rounds of regulation on the real estate market,involving land,revenue,finance,and credit and loan aspects.Moreover,the “housing restriction policy” was also adopted as administrative control measure.Those policies give Chinese housing market a time-varying nature.As a consequence,the only way to analyze the housing price interaction between city-groups accurately is to consider the time-dependent nature.This dissertation will researches the interaction of commodity housing prices across cities based on a view of urban-agglomeration.This dissertation considers the formation of interaction of commodity housing prices within city-groups based on the data of the real estate in YRD area,PRDarea,and BTHR area.This dissertation applies the spatial econometric theory to investigate the interdependence and time-varying of housing prices across cities,and discusses the convergence characteristics,space forms of expression of conduction,volatility spillovers across cities,and impact factors of interactivity of commodity housing prices.This dissertation contributes hugely to both enrich the theory of urban-agglomeration and the policy proposal of the construction of promoting coordinated development of urban-agglomeration.This dissertation is divided into seven parts.Chapter one,introduction;Chapter two,the theoretical foundation of interaction in commodity housing prices between urban-agglomeration region;Chapter three,the convergence research of commodity housing prices within representative urban-agglomerations;Chapter four,the spillovers of commodity housing prices across representative urban-agglomerations;Chapter five,the spillovers of volatilities of commodity housing prices across representative urban-agglomerations;Chapter six,impact factors of interactivity of commodity housing prices among representative urban-agglomerations;Chapter seven,conclusions and prospects.The first chapter describes the backgrounds and implications of this research,raises the crucial question to be solved,shows the review of research literature,introduce of technology routes and structure of this dissertation.The second chapter shows the theoretical foundation of interaction in commodity housing prices across urban-agglomeration regions.This chapter presented and analyzed the commodity housing prices formation by considering the in interaction among cities from the perspective of urban-agglomeration based on the theory of urban-agglomeration,spatial economy,regional economy and behavioral finance,etc.contra pose the situation that academics research measure on interaction in commodity housing prices across urban-agglomeration region that “focuses on empirical research,despises theoretical research”.This dissertation employs the “kernel-node” theory of housing market between urban-agglomeration models to simulate the variation of housing prices on the situation of spatial general equilibrium by numerical simulation techniques.Two presumptions of housing market price fluctuation between urban-agglomeration are derived from the model.The first one is that there is a peak-point existed in commodity housing prices within urban-agglomeration system,the special connection among urban-agglomeration cities will mapping the interaction of housing price which has the outward manifestation as the price among the cities will diffusion,overflow and time convergence.The second one is that the housing prices across cities tend to converge by time with the development of regional integration.This dissertation further analyzes the interaction of housing prices based on three dynamic mechanism elements in urban-agglomeration region: trigger point,conductive medium and acting force.Trigger point often comes down to imbalances between supply and demand,concept speculation,social capital spatial arbitrage and special government policies.Conductive media generally includes economic gateway,traffic aisle,population movement among cities and social media sentiment track.Acting force comes down to the interaction of housing prices propulsive force,pulling force or both.Finally,three types of outward manifestation of housing price among cities are presented as center drive,peripheral drive and multiple points alternate,which lay a theoretical foundation for the following demonstration.The third chapter researches on the convergence of commodity housing prices in representative urban-agglomerations.This chapter deeply studies the convergence of housing price by analyzing the commodity housing price indices of total 16 cities from the three representative urban-agglomerations from August 2005 to June 2016.First,this chapter uses the Johansen multivariate counteraction test to verify the stochastic convergence from the long-term perspective and find out that commodity housing price in this three urban-agglomerations have the significant prominent long-term common trend in sample interval at the level of 5%.The reason may be that the sustainable growth of urban population,moderately easy monetary policy,continuously exchange depreciation and the demonstration effect of “land finance” among cities jointly promote China's urban housing price to rise.Establishing reference group by replace the core cities or non-core cities does not change the stochastic convergence except the replace of non-core cities in PRD area and BTHR area.The conclusions mentioned above provides powerful evidence for the presumption of close connection among urban-agglomeration cities will map to commodity housing price and gives the evidence for the theoretical model established in Chapter two.In addition,this conclusion indirectly confirms that there is a special connection among China's three representative urban-agglomerations via housing market.Secondly,in view of time-varying characteristics in China's operating housing market,this chapter takes the relatively time-varying convergence test method following Phillips and Sul(2007)to verify the relatively convergence of those three representative urban-agglomeration housing prices.The result shows that the relatively time-varying convergence does not hold in BTHR area,changes from refuse to hold together in YRD area and remains unchanged in PRD area.The conclusions above indicate that the heterogeneity of cities development reflects in the time-varying convergence of housing price and time-varying convergence escalates with urban-agglomerations synergetic development.The fourth chapter studies the conduction relationship of commodity housing prices among representative urban-agglomerations.The sample applied in this chapter is the same as it in chapter three.A SpVAR model is employed based on the spatial econometric theory to study the conduction relationship of commodity housing prices among the three representative urban-agglomerations and untangle the source of price transmission and the response pattern of exogenesis impact on the source.First,I find out the source of price fluctuant by spatial Granger causality test on the platform of SpVAR model.Beijing and Shijiazhuang are the primary source and secondary source of price fluctuant,respectively,in BTHR area and Beijing,the core city in this area,is difficult to influence by the price fluctuation in other cities because the housing price fluctuations appeared to be as “center drive”.Shanghai and Hangzhou are the simultaneous source of price fluctuant in YRD area and the price fluctuation appeared to be “multiple points alternate” with time lapse.Shenzhen is the unique source of price fluctuant in PRD area.Otherwise,each of the four first-tire-cities is the prominent Granger causality of others.The result mentioned above illustrates that the source of commodity housing price fluctuation primary exists in core cities of urban-agglomerations and act as a motivation to interactivity of zone price which proves the presumption that there is a peak-point existing in commodity housing prices within urban-agglomeration system.In addition,the non-core cities cannot be ignored which have driven the demonstration effect to second-and-third-tier cities,such as Shijiazhuang in BTHR area,Hangzhou in YRD area.Secondly,I use spatial impulse response function to analysis the response amplitude and delay-time of each city under the situation of exogenesis affected the price conductive source on the platform of SpVAR model.The impulse response from the non-core cities source is less intense in BTHR area via the gradual amplitude and short delay-time.It can be significantly grouped for the response from the simultaneously source in YRD area and the response in PRD area have huge differences.Four first-tier cities have very rapid,large response amplitude,long continuous response.This conclusions illustrates that urban-agglomeration is an open urban system which has information interchange and conductive function among the housing market;the approximate of geographic space and the similarity of economy will conduct the fluctuations from one to another statistical significantly,the interchange of price appears to be a mixed model composed of adjoin cities and citied tier conduction.The result mentioned above deeply explains the commodity housing market operating and the character of price conductive among those three representative urban-agglomerations and provided the thread to formulate the project reply to the regional housing price variation.The fifth chapter researches on the volatility spillovers of commodity housing prices across representative urban-agglomeration.In considerationthat the housing prices have time-varying fluctuations,a DCC-MGARCH model is established in this chapter to respectively calculate the time-varying dynamic correlation coefficients and dynamic conditional variances of commodity housing yields among the three representative urban-agglomerations during 2005M8-2016M6.Results show that both of the above-mentioned indexes present obvious time-varying characters.Based on the time-varying dynamic correlation coefficients,the differential degree reaches its maximum among 5 sampled cities in BTHR area,among 8 sampled cities in YRD area,and among 3 sampled cities in PRD area.In addition,time-varying dynamic correlation coefficients are larger among high-level cities than that among low-level cities.Based on the dynamic conditional variance,central cities take turns to lead.The implementation of house purchase restriction policy has different influences on volatility spillovers of commodity housing price among representative urban-agglomerations.The policy intervention has reached the target to slow down the process of volatility spillovers in the short term except for Wenzhou.However,in the long term,it exhibits certain effectiveness in mitigating volatility spillovers from Shanghai to Hangzhou,Wenzhou and Jinhua,while less effectiveness in YRD area and PRD area.Another 9 groups are built for comparison after adjusting center cities or non-center ones in the original urban-agglomeration and results show that both time-varying dynamic correlation coefficient and variance decline,especially the time-varying dynamic correlation coefficient which decreased significantly.The result mentioned above provides strong evidence that the interactive relationships of commodity housing price is more distance-closely and particular among representative urban-agglomeration than ordinary adjacent cities.The sixth chapter investigates the influencing factors of commodity housing price interaction among representative urban-agglomeration.Firstly,representative generalequilibriumtheory is used in this chapter to establish theoretical model of commodity housing price among representative urban-agglomeration and determining factors are deducted under the condition of market clearing.Secondly,media sentiment is added to optimal decision model based on the behavioralfinancialtheory,to analyze the relationship between media sentiment and commodity housing price.Data of three representative urban-agglomerations is chosen during 2005:Q3 to 2014:Q4 to study influencing factors of commodity housing price interaction upon the TVSWM-DSPD model.Compared with fixed spatial weight matrix model in 2005:Q3,2010:Q1 and 2014:Q4,the TVSWM-DSPD model in this chapter is superior in variable parameter estimation,overall effects and showing data change regularity in particular.Finally,the direct effect and indirect effect of independent variables are calculated.Results show that both of them are identical with expectation.In terms of direct effect,income percapita and citypopulationare significant.In terms of indirect effect,it is in evidence of media sentiment and publicservice in BTHR area,income percapita and financial institutions deposit balance in YRD area,income percapita and public service in YRD area.The prominent supporting evidence is obtained by further investigating the interactive element between the housing prices and the important events of these three representative urban-agglomeration construction and development from 2005 to 2014 on the platform of TVSWM-DSPD model by set dummy variable.The final chapter shows conclusions and prospects.In this chapter,main research conclusions of this dissertation are summarized and future research directions are discussed.There four innovation points in this dissertation: Firstly,a “kernel-node” model of commodity housing prices interaction across representative urban-agglomerations is established and used to simulate the interaction variation “kernel-node” housing prices.Influencing factors involving power mechanism,transmission medium were analyzed to enrich the theory of urban-agglomeration.Secondly,a DCC-MGARCH model is applied to calculate the time-varying dynamic correlation coefficients and dynamic conditional variance of commodity housing yields among three representative urban-agglomerations to analyze the volatility spillovers.After analysis in both short terms and long terms,the house purchase restriction policy is regarded not to be a long-term mechanism for restricting housing price to reasonable range.Thirdly,time-varying spatial weight matrix,based on the strength of interaction between cities and Gaussian nuclear decay function,is applied to build a TVSWM-DSPD model which shows superiorities in variable parameter estimation,overall effects and showing data change regularity in comparison with fixed spatial weight matrix model in 2005:Q3,2010:Q1 and 2014:Q4.Fourthly,the media sentiment index is established and testified upon the open data.It provides theoretical evidence for policy of reasonably guiding media sentiment and paying attention to public opinion. |
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