本研究以景氣指數作為門檻變數，探討中國一二綫城市新屋與二手屋房價指數對上證指數受景氣指數變化之非綫性探討。本研究採用Gonza′lez, Teräsvirta and van Dijk (2004, 2005) 所發展的縱橫平滑移轉迴歸模型（Panel smooth transition regression model, PSTR），觀察工業生産指數對中國一、二綫城市新屋與二手屋房價指數是否存在平滑移轉效果，幷進一步分析上證指數、消費者物價指數、央行基準利率與工業生産指數對房價之影響變化。 研究結果: 中國一、二綫城市新屋與二手屋房價指數皆顯示存在平滑移轉效果下，大部分上證指數、消費者物價指數、央行基準利率與工業生産指數在各種程度上的景氣門檻對房價指數了有著不同的影響。 This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in Industrial Production Index. The Nonlinear Study on the Influence of Stock Price on Real Estate Price -Evidence of New and Second-Hand Houses of Chinese First and Second Tier Cities. And we make the stock price, Consumer price index, Central bank interest rate and Industrial Production Index as independent variable. Empirical results show that new and second-hand houses of chinese first and second tier cities has significant smooth transition effects, and most of the companies whose the stock price, Consumer price index, Central bank interest rate and Industrial Production Index significantly affects in new and second-hand houses of chinese first and second tier cities between any threshold.
