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Jian Fu (), Xiaofen Yu (), Chun Kwong Koo and Wai Choi Lee ()
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Jian Fu: Zhejiang University of Technology, Hangzhou, P. R. China
Xiaofen Yu: Zhejiang University of Technology, Hangzhou, P. R. China
Chun Kwong Koo: ��ESIC Business and Marketing School, Madrid, Spain
Wai Choi Lee: ��The Hang Seng University of Hong Kong, Hong Kong

The Singapore Economic Review (SER), 2021, vol. 66, issue 05, 1337-1353

Abstract: This paper empirically examines the impact of the economic policy uncertainty (EPU) index on market indicators of indemnificatory houses in China for the period from January 2012 to December 2018. We use three indicators of the indemnificatory housing market: (i) the price of commodity housing unit, (ii) the number of completion for indemnificatory housing unit and (iii) the amount of investment for indemnificatory housing unit. The findings from the Granger Causality in Distribution test show that the EPU causes the commodity housing price at the left-tail and the right-tail, but not at the centre of the distribution. Besides, the EPU causes the indemnificatory housing completion volume at the right tail, but not at the left and the centre of the distribution. Finally, we observe that the EPU causes the indemnificatory housing investment at the right tail but not at the left and the centre of the distribution. These findings indicate that the indemnificatory housing market in China is mainly affected by the extreme changes in the EPU.

Keywords: Chinese housing market; indemnificatory housing policies; economic policy uncertainty; EPU index; Granger Causality in Distribution (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0217590820460017

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