Reaction of Chinese housing prices to oil prices and monetary policy shocks

Bin Chen and Xingyi Zhu

Energy Policy, 2025, vol. 198, issue C

Abstract: This study investigated the dynamic effects of oil prices and monetary policy shocks on China’s housing prices. First, the dynamic effects of oil prices and monetary policy shocks are examined using a linear structural vector autoregression (SVAR) model. Taking into account the timing of the shocks, we used a rolling-windows structural vector autoregression (Rolling-SVAR) model to reveal the time-varying effects of oil shocks on housing price. Firstly, housing prices negatively respond to aggregate demand, oil-specific demand and policy rate shocks for most of the sample period, positively respond to oil supply shocks and domestic demand shocks. Secondly, their time-varying responses differ only in terms of magnitude, rather than a signal change. The magnitude reflects the time-varying dynamic characteristics, especially during the COVID-19 period. Thirdly, from the perspective of policy intensity, the adoption of quantity-based monetary policy is better than price-based monetary policy. Lastly, housing prices responded relatively weaker to oil prices and monetary policy shocks in the COVID-19 period than in most of the pre-COVID-19 periods. However, the magnitude of the response gradually recovered with COVID-19 reopening.

Keywords: Oil shock; Housing market; China’s housing price; Rolling-SVAR model (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:198:y:2025:i:c:s0301421524004968

DOI: 10.1016/j.enpol.2024.114476

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