Time-varying inter-urban housing price spillovers in China: Causes and consequences

Yunzhi Lu, Jie Li and Haisheng Yang

Journal of Asian Economics, 2021, vol. 77, issue C

Abstract: The spatial spillovers of housing prices across regions are well documented by a large body of previous studies. This paper tries to investigate the dynamic (time-varying) evolution of spatial interactions and their underlying driving factors intensively. Using a recently developed Generalized Autoregressive Score (GAS) model, this paper examines the time-varying spatial spillovers of housing prices in 70 major and median cities of China from 2006 to 2019. We find that the GAS model can well capture the impact of time-varying critical events of Chinese real estate market on the whole. However, different regions display heterogeneous variation patterns over time. Further investigation shows that inter-regional labor mobility and trades are two major channels, accounting for 1.25% and 2.58% of the monthly standard deviations of spatial spillover effects from one city to another, respectively. We also characterize and distinguish between three time-varying patterns of spatial spillovers within different regions of China. Our results shed lights on the understanding of spatial spillovers across regional real estate markets across different city network structures within China.

Keywords: Housing prices diffusion; Dynamic spatial spillovers; Channels of spillover effects; Generalized autoregressive score; Leave-one-out method (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007821001251
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251

DOI: 10.1016/j.asieco.2021.101396

Access Statistics for this article

Journal of Asian Economics is currently edited by C. Wiemer

More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().