What determines China's housing price dynamics? New evidence from a DSGE-VAR

Liu, C. ORCID: 0000-0003-3770-4821 and Ou, Z., 2020. What determines China's housing price dynamics? New evidence from a DSGE-VAR. International Journal of Finance & Economics. ISSN 1076-9307

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Abstract

We investigate what determines China's housing price dynamics using a DSGE-VAR estimated with priors allowing for the featured operating of normal and 'shadow' banks in China, with data observed between 2001 and 2014. We find that the housing demand shock, which is the essential factor for housing price 'bubbles' to happen, accounts for near 90% of the housing price fluctuation. We also find that a prosperous housing market could have led to future economic growth, though quantitatively its marginal impact is small. But this also means that, for policy-makers who wish to stabilise the housing market, the cost on output reduction would be rather limited.

Item Type: Journal article
Publication Title: International Journal of Finance & Economics
Creators: Liu, C. and Ou, Z.
Publisher: Wiley
Date: 28 July 2020
ISSN: 1076-9307
Identifiers:
NumberType
10.1002/ijfe.1962DOI
1336738Other
Rights: © 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
Divisions: Schools > Nottingham Business School
Record created by: Jonathan Gallacher
Date Added: 24 Jun 2020 09:25
Last Modified: 12 Aug 2020 08:35
URI: http://irep.ntu.ac.uk/id/eprint/40096

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