Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010

Yanbing Zhang, Xiuping Hua and Liang Zhao

Economic Modelling, 2012, vol. 29, issue 6, 2349-2361

Abstract: How do macroeconomic variables affect housing prices? In this paper we apply a non-linear modeling approach, the Nonlinear Auto Regressive Moving Average with eXogenous inputs (NARMAX), to investigate determinants of housing prices in China over the period 1999:01 to 2010:06. The NARMAX approach, combined with the famous Vector Error Correction Model (VECM), has an advantage over prevailing methods in that it automatically selects linear and non-linear forms of variables and the numbers of corresponding lags according to statistical properties. Estimation results mainly identify some key monetary and price variables in interpreting housing price dynamics, including most notably mortgage rate, producer price, broad money supply and real effective exchange rate. Meanwhile, real economic variables such as income are not independently significant.

Keywords: Housing prices; Monetary policy; NARMAX; China (search for similar items in EconPapers)
JEL-codes: C32 C67 E47 E52 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999312001988
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:ecmode:v:29:y:2012:i:6:p:2349-2361

DOI: 10.1016/j.econmod.2012.06.025

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().