Understanding Chinese provincial real estate investment: A Global VAR perspective
M. He and
Economic Modelling, 2017, vol. 67, issue C, 248-260
This article investigates the spatial interdependence within China's real estate industry, a sector assuming increasing importance in the national economy. The Global Vector Autoregressive (GVAR) model allows us to explicitly address the presence of spatial linkages, including spillover and backwash effects, without a stringent requirement on data. Applying the model to monthly Chinese provincial data for the first time we highlight clear advantages in forecasting and steady-state value prediction. We also demonstrate through the contemporaneous correlation coefficients a growing divide between the previously highly industrialized north and the rest of China. The insights provided by our empirical study have clear value to a wide range of audiences, including researchers, policy makers, and business investors.
Keywords: Chinese provincial linkages; Real estate investment; Global VAR; Forecasting (search for similar items in EconPapers)
JEL-codes: R11 R15 R31 (search for similar items in EconPapers)
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