A Vector Auto Regression Model Applied to Real Estate Development Investment: A Statistic Analysis

Fengyun Liu, Shuji Matsuno, Reza Malekian, Jin Yu and Zhixiong Li
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Fengyun Liu: School of Management, China University of Mining & Technology, Xuzhou 221116, China
Shuji Matsuno: Department of Economics, Ritsumeikan University, Kusatsu 525-8577, Japan
Reza Malekian: Department of Electrical, Electronic & Computer Engineering, University of Pretoria, Pretoria 0002, South Africa
Jin Yu: College of Economics and Management, Northwest A & F University, Yangling 712100, China
Zhixiong Li: UNSW Australia, Sydney 2052, Australia

Sustainability, 2016, vol. 8, issue 11, 1-19

Abstract: This study analyzes the economic system dynamics of investment in real estate from mainly four participants in China. Local governments limit the supply of commercial and residential land to raise fiscal revenue, and expand debts by land mortgage to develop industrial zones and parks. Led by local government, banks and real estate development enterprises forge a coalition on real estate investment and facilitate real estate price appreciation. The above theoretical model is empirically evidenced with VAR (Vector Auto Regression) methodology. A panel VAR model shows that land leasing and real estate price appreciation positively affect local government general fiscal revenue. Additional VAR models find that bank credit in addition to private and foreign funds respectively have strong positive dynamic effects on housing prices. Housing prices also have a strong positive impact on speculation from private funds and hot money.

Keywords: socioeconomic; economic system dynamics; real estate investment; statistical analysis (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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