Does housing boom lead to credit boom or is it the other way around? The case of China

Chung-Hua Shen, Yen Hsien Lee, Meng-Wen Wu and Na Guo

International Review of Economics & Finance, 2016, vol. 42, issue C, 349-367

Abstract: This study examines the lead–lag relations between the observed correlations of credit and housing price growths during three different sample periods, namely, whole, twin boom, and non-twin boom. We used data from 27 provinces and four municipalities in China. We adopted the panel error correction model to estimate the lead-and-lag relation because the two variables are panel-cointegrated. While we find that bi-directional lead-and-lag relation exists in both markets, the leading effect of housing prices on credit appears to be stronger than the effect of credit on property prices.

Keywords: Credit booms; Housing booms; Panel Granger causality; Panel error correction model (search for similar items in EconPapers)
JEL-codes: E44 E51 E52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:42:y:2016:i:c:p:349-367

DOI: 10.1016/j.iref.2015.10.008

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