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The Quantitative Analysis Of The Relationship Among Selling Price Of House, Land Price And Rental Price In China

Posted on:2010-11-29Degree:MasterType:Thesis
Country:ChinaCandidate:Y ZhaoFull Text:PDF
GTID:2189360272998838Subject:Quantitative Economics
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The relationship among the selling price of house, land price and rental price is the hot question for study and discussion in the field of real estate market and focused on by many scholars at home and abroad. The conclusions of this research can be not only applied in the fields of real estate and financial market, but also a theoretical foundation stone to analyze the pricing mechanism of housing price and the trend of macroeconomic economic development. The selling price, land price and rental price, which as the three important indicators in real estate market, have significant meaning in measuring and judging the operational quality of the real estate market. It is quite important to understand the relationship among them objectively and correctly for policy making and promoting the real estate market to develop healthily and concertedly. Also, it is very meaningful for the government to carry out macro-control on the market and to regulate the real estate market.The reform of market economy has been in carried out since 1978, and the real estate market began to transform from government insurance completely of planned economy to the market economy. Since 1998 in which China carried out housing reform, the real estate industry has become one of the major engines for pulling the rapid growth of China's GDP, and the real estate investment and price have been significantly higher than the speed of economic output, resident income and consumption growth rate . The public policy of housing price has been adjusted all along by the Central Government, but the housing price has been high all the time, from the land remise fund and tax derated by our government in the end of last century to the supply and demand relation adjusted this century. As the shadow of recession is hidden behind any prosperity, the overheated investment of real estate will help to bring about bubbles of housing price, and the oversized bubbles will no doubt sow the seeds of the economic crisis. The House Loan Crises, which originated from the U.S., are setting off a global economic earthquake. Early in 2008, China's housing market has also emerged the phenomenon of house price decline, and so does our country's economy. "Reflected on the U.S., what kind of policies should we lay down to adjust and control the real estate market and to evade the financial risk due to the decline of housing price?" This problem is becoming increasingly apparent and has already been the major problem in relation to the livelihood of the residents and the coordinated development of national economy. In order to answer this question well, we need to make a deep analysis of price formation mechanism in China and the relationship of selling prices of house, land price and rental price in China.This paper analyzes the current situation of our country's real estate market from the long-term and short-term point of view. The concept of"Implicit Housing Price"is come up for the first time in the study of the long-term relationship of those three indices. The author maintains that there exists a generalized"Implicit Housing Price"behind the selling price of house, land price and rental price, and implements Gonzalo-Granger permanent-instantaneous model and Hasbrouck information share model, which was originally used to study the use of the price discovery function of futures-spot market, to test the existence and decompose the components of that"Implicit Housing Price". This research method is raised for the first time when studying the real estate price index, which is just the innovation of this paper. And the principles and mechanisms of the two models will get the clearer relationship among the selling price of house, land price and rental price in a new point of view.In order to explain the relationships among the selling price of house, land price and rental price systematically, this paper is divided into five main parts:In Chapter 1, we introduce the research background of our paper and the significance of the selected topics, summarize the current situation of the study in this field at home and abroad, and conclude the quantitative methods implemented in all those papers.We bring forward a most important concept in Chapter 2, which is"Implicit Housing Price". The author argues that"Implicit Housing Price"exists behind the selling market, land market and rental market in China. It plays part in all those markets simultaneously and is the internal driving force to embody the co-movements of the three markets. Selling price, land price and rental price, which combine closely, are the presentations of"Implicit Housing Price". They not only are the necessary components of the"Implicit Housing Price", but also will fluctuate with this"Implicit Housing Price". Then we elaborate the theories of Gonzalo-Granger permanent-instantaneous model (1995) and Hasbrouck information share model (1995), which are the basic models of decomposition of long-term memory components. The two models is used to measure the price discovery function when on asset is traded in different markets, and explore the"common factor"role of price discovery function that different indicators played in the micro-market. Because of the similar theory of those two models and our research, the author carries out a bold attempt that we implement the two models here to detect the relationship among selling price, land price and rental price.In Chapter 3,the long-term relationship among selling market, land market and rental market is being observed and studied. We try to implement the two models above to decompose the three components of long memory. Based on the Vector Error Correction Model, we make use of the Gonzalo-Granger permanent-instantaneous model and Hasbrouck information share model to measure every market's contribution to the"Implicit Housing Price"and detect the price discovery function of the three markets. The results show that selling price and land price play a leading role in the process of price discovery function of the"Implicit Housing Price", in which the selling price is the most significant. On the contrary, the rental price has little impact in the process of price discovery function of the"Implicit Housing Price", it means that the rental market has not played its due role.In the fourth chapter, we test the granger causality of the three markets from the short-term perspective, and measure the impulses among the change of three price indexes with the impulse response function. In the short term, there is two-way influence between selling price and land price, that is, the increase of selling price will cause the increase of land price, and vice versa. Especially, the impact of house selling market is more significant. There is not any granger causality between selling price and rental price, so are the land price and rental price, that is to say, the rental price has minimal impact on the selling price and land price. And also, it means that the impact of rental market is very small in the price formation mechanism and the position of the rental market is relatively independent.The fifth part is the conclusions of this paper.In this paper, we make a more comprehensive study of the relationship among the three most important indicators in real estate industry—selling price of house, land price and rental price, and measure price discovery function of every market through calculating the contribution of the"Implicit Housing Price". The data used here are all the latest compared with other similar researches, and the sample size is the biggest as far as possible to contain more information. Furthermore, the Gonzalo-Granger permanent-instantaneous model and Hasbrouck information share model are implemented for the first time. On the one hand, this paper is a summary of previous studies; on the other hand, this is an innovation and development, which will be no doubt portrayed preferably the relationship among housing market, land market and rental market, and will be conducive to the deeper research of the price formation mechanism of housing price.
Keywords/Search Tags:Selling price of house, Land price, Rental price, Implicit Housing Price, Decomposition of long-term memory
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