EconPapers    
Economics at your fingertips  
 

Estimation of bubble dynamics in the Chinese real estate market: a State space model

Tommaso Gabrieli (), Keith Pilbeam () and Tianyu Wang ()
Additional contact information
Keith Pilbeam: City, University of London
Tianyu Wang: University of Birmingham

International Economics and Economic Policy, 2018, vol. 15, issue 2, No 12, 483-499

Abstract: Abstract This paper analyses the existence of a bubble in the Chinese real estate market and examines its driving factors with a state-space model. The model considers macroeconomic and real estate time series variables as inputs and employs a Kalman filter to obtain an estimated fundamental price using demand and supply for Chinese real estate. We then measure the deviation between actual and estimated fundamental real estate prices to test for the existence of a bubble. We find evidence for the existence of a bubble especially post 2010, when the deviation ratio is found to be significantly higher with a peak of 80% in 2012. Our estimation of overvaluation is generally much higher than in other studies.

Keywords: Housing bubble; State-space model; Chinese real estate market (search for similar items in EconPapers)
JEL-codes: R31 R38 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10368-017-0398-y Abstract (text/html)
Access to full text is restricted to subscribers.

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:kap:iecepo:v:15:y:2018:i:2:d:10.1007_s10368-017-0398-y

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10368/PS2

DOI: 10.1007/s10368-017-0398-y

Access Statistics for this article

International Economics and Economic Policy is currently edited by Paul J.J. Welfens, Holger C. Wolf, Christian Pierdzioch and Christian Richter

More articles in International Economics and Economic Policy from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-04-08
Handle: RePEc:kap:iecepo:v:15:y:2018:i:2:d:10.1007_s10368-017-0398-y