중국의 주택가격과 거시경제변수간의 관계

Abstract

The standard of living in China has been largely raised due to the economic reform and opening up during the past three decades. The real estate investment and sales have been also rapidly increasing, and the real estate market has developed such that it has enormous influence on the Chinese economy. In this regard, the house prices in China have increased sharply during the past several decades. The problem such as stabilizing the house price has become one of the important issues surrounding the housing market in China. In this context, the purpose of this study is to analyze the long-run and short-run relationships between the house prices in six cities and economic variables in China during 2001 Q1 through 2012 Q2. For this, an equation in which the house price is influenced by the economic variables such as GDP, interest rate, CPI, Money, Stock and real estate investment is determined. To show the long-run relationship between house prices and economic variables, this paper employes a bounds testing approach to cointegration. In addition, an ARDL (autoregressive distributed lag) - ECM (error correction model) is used to estimate the short-run relations between house prices and macroeconomic variables. The empirical results show that the economic variables generally Granger-cause the house prices in six cities, but the opposite direction is valid only for the smaller portion. Moreover, there exist long-run cointegration relationships between house prices and economic variables, based on bounds test as well as on Johansen test. In the short run, however, the house prices of five cities are not influenced by the macroeconomic variables such as GDP, but the error correction terms are negative and statistically significant. This result confirms the existence of strong cointegration relations among the variables and implies the possibility of bubble in house prices in the short run. Our findings indicate that there exists a gap in the short run between house prices and economic fundamentals, and reflect sharper increases in house prices compared with the economic growth during our sample period. Therefore, our empirical results provide an important information for policy maker in that the current world economy has experiencing a sluggish growth. That is to say, since the housing market has an enormous effect on the whole economy in China, the Chinese government needs to employ the housing policy that stabilizes the house prices in the short run as well as in the short run in order to avoid the negative shock of world economy to the Chinese economy.