Research On The Dependence Of Housing Prices In The First-tier Cities Of China

The housing distribution system was ended in 1998.Since then,China's real estate has entered to a market-oriented stage.The rapid development of the real estate industry has led to the rapid growth of the overall economy.From January 2014 to September 2016,housing prices in Shenzhen rose by 80%,Shanghai by 40%.The 13th Five-Year Plan puts forward that the regulation policy should pay attention to the regional linkage of the real estate market and the spillover effect of core cities(first-tier cities).It is of great significance to study the dependence of housing prices and its influencing factors.Besides,the housing bubble may also lead to the overall financial crisis as real estate has role of financial accelerator.At present,the amount of MBS issuance amounts to 995.2 billion yuan in China.The dependence of housing price between cities will weaken the effect of MBS risk diversification.It is of great significance to study the dependence of housing prices to prevent industrial risks in the real estate industry.In Chapter 5,this paper studies the dependence of new house prices and the dependence of second-hand house prices in first-tier cities,and studies the influencing factors of the dependence.Firstly,this paper uses Guassin,Gumbel and SJC Copula to study the static dependence of the housing market.After that,this paper uses Single-index Copula to study the impact of macro variables on the dependence parameters.At last,this paper uses Vine-Copula to study the dependence structure of first-tier cities.In Chapter 6,this paper studies the dependence of the house price of Bejing and the second-tier cities.The results show that:(1)SJC Copula has the best fitting degree to the first-tier city's house price and the upper-tail dependence is greater than the lower-tail dependence.(2)Beijing's house prices has spillover effect on other first-tier cities,and the spillover effect of second-hand house prices is greater than that of new houses.(3)The spillover effect of Beijing on eastern cities is greater than that on Western cities.(4)M2,financial crisis and housing price regulation policy have significant impact on the dependence of housing prices.