kako citirati ovaj članak
podeli ovaj članak


  • citati u SCIndeksu: 0
  • citati u CrossRef-u:0
  • citati u Google Scholaru:[]
  • posete u poslednjih 30 dana:2
  • preuzimanja u poslednjih 30 dana:1


članak: 1 od 10  
Back povratak na rezultate
2020, vol. 67, br. 1, str. 1-26
Are there irrational bubbles under the high residential housing prices in China's major cities?
(naslov ne postoji na srpskom)
University of Cambridge, Department of Land Economy, United Kingdom

e-adresapa267@cam.ac.uk, sz341@cam.ac.uk
Ključne reči: China; house prices; housing bubbles; political adjustment; real estate market; macroeconomics
(ne postoji na srpskom)
House prices in the main cities of China have been rising to historically high levels. Unsustainable growth of housing prices might cause financial crises and damage the whole economy. This research aims to detect whether bubbles dominate China's real estate market. It begins by systematically analysing the features of China's real estate sector, followed by proposing a theoretical framework to identify the fundamentals of house prices and decompose house prices into cyclical and bubble components. It then applies the vector error correction model and other econometric techniques to testify the theoretical framework with data of seven Chinese cities from 2008M01 to 2017M12. The main findings of this research include the following four parts. Firstly, the residential housing market of Shanghai was exposed to the irrational bubble issue, but the rest six cities examined were at safe positions. Secondly, both long-run and short-run relationships between economic fundamentals and house prices have been verified. Thirdly, economic regulations also have significant effects on house prices. Finally, this research suggests that the root cause of the high housing prices in major cities in China is due to the excessive capital injection into the residential property market.
Ahuja, A., Cheung, L., Han, G., Porter, N., Zhang, W. (2010) Are house prices rising too fast in China?. International Monetary Fund Working Paper, 10/274
Arestis, P., Karakitsos, E. (2010) The post 'great recession' US economy: Implications for financial markets and the economy. London: Palgrave Macmillan
Arestis, P., Gonzalez-Martinez, A.R., Jia, L. (2017) House price overvaluation in Hong Kong: Identifying the market fundamentals and understanding the 'bubble'. International Journal of Housing Markets and Analysis, 10(2): 282-304
Baum, A.E., Hartzell, D. (2012) Global property investment: Strategies, structures, decisions. New Jersey: John Wiley & Sons
Beck, J., Fralick, J., Toma, M. (2012) The housing price bubble in a suburban Georgia setting: Using the hedonic pricing model in the New South. Journal of Applied Business Research (JABR), 28(4): 651-660
Blanchard, O., Watson, M. (1982) Bubbles, rational expectations and financial markets. National Bureau of Economic Research Working Paper, 945
Bloomberg (2017) Hong Kong and Mumbai have some of the most unaffordable housing. January 17
Breusch, T.S. (1979) Testing for autocorrelation in dynamic linear models. Australian Economic Papers, 17(31): 334-355
Campbell, J.Y., Shiller, R.J. (1987) Co-integration and tests of present value models. Journal of Political Economy, 95(5): 1062-1088
Case, K.E., Shiller, R.J. (1989) The efficiency of the market for single-family homes. American Economic Review, 79(1): 125-137
Changsha Jingluo Zhichuang Information Technology Co (2019) Guangfa Bank & Southwest Finance: 2018 Chinese urban family wealth report. Chinese Urban Family Wealth Report, http://www.3mbang.com/p-2079767.html, (accessed July 30, 2019)
Cheng, Y., Dagsvik, J.K., Han, X. (2014) Real estate market policy and household demand for housing. Pacific Economic Review, 19(2): 237-253
Chivakul, M., Lam, W.R., Liu, X., Maliszewski, W., Schipke, A. (2015) Understanding residential real estate in China. u: International Monetary Fund Working Paper, 15-84
Deng, Y., Girardin, E., Joyeux, R. (2018) Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. China Economic Review, 48(C): 205-222
Diba, B.T., Grossman, H.I. (1988) Explosive rational bubbles in stock prices. American Economic Review, 78(3): 520-530
Gan, Q., Hill, R.J. (2009) Measuring housing affordability: Looking beyond the median. Journal of Housing Economics, 18(2): 115-125
Glaeser, E., Huang, W., Ma, Y., Shleifer, A. (2017) A real estate boom with Chinese characteristics. Journal of Economic Perspectives, 31(1): 93-116
Glindro, E.T., Delloro, V.K. (2010) Identifying and measuring asset price bubbles in the Philippines. Bangko Sentral NG Pilipinas Working Paper, 2010-02
Godfrey, L.G. (1978) Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6): 1293-1302, http://dx.doi.org/0012-9682(197811)46:6%3C1293:TAGAAM%3E2.0.CO;2-D
Hou, Y. (2010) Housing price bubbles in Beijing and Shanghai?: A Multi-Indicator analysis. International Journal of Housing Markets and Analysis, 3(1): 17-37
HSBC Holdings (2019) Beyond the bricks: The meaning of home. https://www.hsbc.com/ (accessed July 18, 2019)
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 59(6): 1551-1580, http://dx.doi.org/0012-9682(199111)59:6%3C1551:EAHTOC%3E2.0.CO;2-P
Johansen, S. (1995) Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 59(6): 1551-1551
Levin, E.J., Wright, R. (1997) Speculation in the housing market?. Urban Studies, 34(9): 1419-1437, http://dx.doi.org/10.1080%2F0042098975493
Maddala, G.S., Wu, S. (1999) A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61(S1): 631-652
Malpezzi, S. (1999) A simple error correction model of house prices. Journal of Housing Economics, 8(1): 27-62
People's Bank of China (2019) Monetary policy report. http://www.pbc.gov.cn/goutongjiaoliu/113456/113469/3752832/index.html (accessed July 18, 2019)
Phillips, P.C.B., Wu, Y., Yu, J. (2011) Explosive behaviour in the 1990s NASDAQ: When did exuberance escalate asset values?. International Economic Review, 52(1): 201-226
Phillips, P.C.B., Shi, S., Yu, J. (2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4): 1043-1134
Shiller, R.J. (1981) Alternative tests of rational expectations models: The case of the term structure. Journal of Econometrics, 16(1): 71-87
Sina Finance (2019) http://finance.sina.com.cn/money/lczx/2016-09-05/detailsifxvqctu6212161.shtml (accessed July 18, 2019)
West, K.D. (1987) A specification test for speculative bubbles. Quarterly Journal of Economics, 102(3): 553-580
Yu, H. (2010) China's house price: Affected by economic fundamentals or real estate policy?. Frontiers of Economics in China, 5(1): 25-51
Zhang, H., Hudson, R., Metcalf, H., Manahov, V. (2015) Identification of house price bubbles using user cost in a state space model. Applied Economics, 47(56): 6088-6101
Zhi, T., Li, Z., Jiang, Z., Wei, L., Sornette, D. (2018) Is there a housing bubble in China?. Emerging Markets Review, 39(C): 120-132

O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.2298/PAN2001001A
objavljen u SCIndeksu: 09.06.2020.
Creative Commons License 4.0