英文摘要 |
This paper examines the lead-lag relationships and dynamic linkages among the cross-border house prices of four economies in the Greater China Economic Area(GCEA). We determine the extent and magnitude of their relationships by applying the Toda & Yamamoto(1995) causality test, variance decomposition analysis(GDVC), and impulse response analysis(GIRF). Our empirical results reveal compelling implications. First, the empirical results illustrate a long-run equilibrium among crossborder house prices in the GCEA. Second, the results of the Granger causality test provide evidence of a unidirectional relationship running from Taiwan to China. Third, the GIRF demonstrate that Hong Kong initially has a significantly positive impact on Singapore. Finally, the GDVC results indicate that house prices in China are the most exogenous in the long term, implying that China's market cannot be influenced easily by other markets, whereas Taiwan's market more crucially influences the markets of other regions’ in the GCEA. |