Contemporaneous causality among one hundred Chinese cities

Xiaojie Xu () and Yun Zhang ()
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Xiaojie Xu: North Carolina State University
Yun Zhang: North Carolina State University

Empirical Economics, 2022, vol. 63, issue 4, No 21, 2315-2329

Abstract: Abstract This study explores dynamic relationships among Chinese housing prices for the years 2010–2019. With monthly data from 99 major cities in China, we use the vector error correction model and directed acyclic graph to characterize contemporaneous causality among housing prices from different tiers of cities. The PC algorithm identifies the causal pattern and the LiNGAM algorithm further identifies the causal path, from which we perform innovation accounting analysis. Complex housing price dynamics are found in the price adjustment process following price shocks, which is not only dominated by the top tiers of cities. This suggests that policies on housing prices in the long run might need to be planned from a national perspective.

Keywords: Housing price; Vector error correction model; Directed acyclic graph; Linear non-Gaussian acyclic model; PC algorithm (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00181-021-02190-5

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