ABSTRACT

Many housing markets across the globe have experienced upward trends in real estate prices during the past two decades. The dynamics between housing prices and speculation have been analysed by existing housing literature, but this study has a few features that may deepen the understanding of this topic. This research uses transaction-level data, focuses on only investor-purchase records, distinguishes leveraged transactions from unleveraged ones and adopts a new proxy for property speculation. Furthermore, the price elasticity of housing supply has been examined as the price responsiveness is important for understanding the topic in a supply-constrained market. We build a stock adjustment model to estimate the elasticity and a vector error-correction model to conduct Granger causality tests, impulse response analyses and a variance decomposition analysis. The findings uncover a feedback loop in a market with inelastic housing supply: investors’ speculative behaviour lifts Auckland housing prices which in turn spur further housing speculation.

摘要

在过去的二十年中，全球许多房地产市场都经历了房地产价格的上涨趋势。现有的住房文献已经分析了房价与投机之间的动态关系，但本研究有一些特征可能会加深对这一主题的理解。本研究使用交易层面的数据，仅关注投资者购买记录，区分杠杆交易与非杠杆交易，并采用新的房地产投机代理。此外，还研究了住房供应的价格弹性，因为价格响应对于理解供应受限市场中的主题很重要。我们建立了一个股票调整模型来估计弹性和一个向量误差校正模型来进行格兰杰因果检验，脉冲响应分析和方差分解分析。调查结果揭示了住房供应缺乏弹性的市场中的反馈循环：投资者的投机行为推高了奥克兰的房价，进而刺激了进一步的住房投机。