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Housing price spillovers in China: A high-dimensional generalized VAR approach

Jian Yang (), Ziliang Yu and Yongheng Deng ()

Regional Science and Urban Economics, 2018, vol. 68, issue C, 98-114

Abstract: Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly interactive with each other. Demonstrating the important role of government policy, data-determined systemically important cities in the price spillover network appear to be consistent with core cities supported by several regional development plans of the Chinese government and agglomerate in five relatively concentrated areas. A higher administrative status, population, city GDP and secondary education are significant determinants of the (net) positive spillover pattern. These findings shed new lights on understanding the housing market, regional development policies, and economic geography in China.

Keywords: Chinese housing markets; Price spillovers; Systemically important cities; Government policies (search for similar items in EconPapers)
JEL-codes: R21 R31 (search for similar items in EconPapers)
Date: 2018
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