粤港澳大湾区核心城市房价传染与联动的市场逻辑

The Market Logic of Linkage and Transmission of Housing Prices in Core Cities of the Guangdong-Hong Kong-Macao Greater Bay Area

以粤港澳大湾区内四大核心城市(香港、澳门、广州、深圳)为研究对象,首先采用动态条件相关系数模型(DCC)测度各城市房价在2011～2018年期间的时变联动性,然后采用R-Vine Copula模型和格兰杰因果关系法分析各城市之间的房价相依结构和波动传染机制。研究结果表明:广深港澳四地房价之间的时变联动性存在明显差异。广深两市房价联动性较高且深受调控政策影响而呈现W型走势,双方互为因果关系;港澳两地房价之间存在一定的互动关系,且澳门是香港房价波动的单向格兰杰原因;澳门与广深两市的房价联动性较为微弱。四个城市之间存在链式相依结构,其中广州和香港起到中介桥梁作用。这些结构性差异背后的市场逻辑源于房地产市场体制差异、地理区域分割和经贸关系差异,并最终显著降低了广深与港澳之间房价的波动传染效应。

With the four core cities in Guangdong-Hong Kong-Macao Greater Bay Area as the subjects,this paper first takes the dynamic conditional correlation coefficient (DCC)to measure the linkage of housing prices in these cities during 2011-2018,and then uses R-Vine Copula model and Granger causality approach to analyze the dependence structure and fluctuation transmission mechanism of the housing prices among the cities.The price linkage between Guangzhou and Shenzhen is high,which shows a W-shaped trend and is deeply affected by the regulatory policies and there is a causal relationship between the two.There is a certain interaction between housing prices in Hong Kong and Macao,and Macao is a one-way Granger reason for the price fluctuation in Hong Kong.The linkage between housing prices in Macao and Guangzhou and Shenzhen is relatively weak.There is a chain-dependent structure among the four cities,in which Guangzhou and Hong Kong act as intermediaries,but there is a clear regional segmentation between the real estate markets of Hong Kong and Macao and those of Guangzhou and Shenzhen,and there is no obvious fluctuation transmission effect between the two regions.