(A)全球城市同步住房市场

Vipul Bhatt, N. Kundan Kishor
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引用次数: 0

摘要

在本文中,我们使用1995年第一季度至2020年第二季度的真实房价数据来研究全球15个城市的房价同步。我们发现,尽管存在双边正相位同步的证据,但在我们的城市样本中,没有证据表明存在一体化的全球住房市场。使用分层聚类方法,我们确定了三个具有相似房价周期的城市群,这些城市群不仅仅由地理邻近性决定。我们将这一发现解释为在我们的样本中,全球城市的住房市场相当细分。采用时变随机波动的动态因子模型,将城市实际房价增长分解为全局分量、集群分量和特质分量。对于我们样本中的大多数城市,全球因素起着次要作用,而基于集群的因素解释了实际房价增长中观察到的很大一部分变化,其贡献在2007-09年的大衰退期间达到顶峰。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

(A)Synchronous Housing Markets of Global Cities

(A)Synchronous Housing Markets of Global Cities

In this paper we examine house price synchronization in 15 global cities using real house price data from 1995:Q1-2020:Q2. We find that although there is evidence for bilateral positive phase synchronization, there is no evidence for an integrated global housing market for our sample of cities. Using a hierarchical clustering approach, we identify three clusters of cities with similar housing price cycles that are not solely determined by geographic proximity. We interpret this finding as suggestive of a rather segmented housing market for the global cities in our sample. Using a dynamic factor model with time-varying stochastic volatility, we decompose a city’s real housing price growth into a global component, a cluster-based component, and an idiosyncratic component. For most cities in our sample, the global component plays a minor role, whereas the cluster-based factor explains a large fraction of the observed variation in real house price growth, with its contribution peaking during the Great Recession of 2007-09.

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