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What drives housing dynamics in China? A sign restrictions VAR approach

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dc.contributor.authorGete, Pedro
dc.contributor.authorYang Bian, Timothy
dc.contributor.rorhttps://ror.org/02jjdwm75
dc.date.accessioned2024-11-07T12:20:06Z
dc.date.available2024-11-07T12:20:06Z
dc.date.issued2015-12
dc.description.abstractWe study housing dynamics in China using vector autoregressions identified with theory-consistent sign restrictions. We study seven potential drivers: (1) population increases; (2) a relaxation of credit standards, for example, due to the shadow banking system; (3) increasing preferences towards housing, for example, due to a housing bubble, or to housing being a status asset in the marriage market; (4) an increase in the savings rate; (5) expected productivity progress; (6) changes in land supply; and (7) tax policy, a proxy for policy stimulus. Our results show that, even if all shocks play relevant roles, productivity, savings glut, and policy stimulus have been the dominant drivers. When the sample is closer to 2014, housing preferences and credit shocks increase their importance to explain house prices and volume, while population shocks explain a larger share of the dynamics of residential investment. The results show some differences if we use house price indices constructed by the government or by private sources. The official indices show smaller increases in house prices and assign a smaller role to credit and preference shocks.
dc.description.peerreviewedyes
dc.description.statusPublished
dc.formatapplication/pdf
dc.identifier.citationTimothy Yang Bian, Pedro Gete, What drives housing dynamics in China? A sign restrictions VAR approach, Journal of Macroeconomics, Volume 46, 2015, Pages 96-112, ISSN 0164-0704. https://doi.org/10.1016/j.jmacro.2015.08.004
dc.identifier.doihttps://doi.org/10.1016/j.jmacro.2015.08.004
dc.identifier.issn1873-152X
dc.identifier.officialurlhttps://www.sciencedirect.com/journal/journal-of-macroeconomics
dc.identifier.urihttps://hdl.handle.net/20.500.14417/3312
dc.journal.titleJournal of Macroeconomics
dc.language.isoen
dc.page.final112
dc.page.initial96
dc.page.total16
dc.publisherElsevier
dc.relation.departmentFinance
dc.relation.entityIE University
dc.relation.schoolIE Business School
dc.rightsAttribution-NoDerivatives 4.0 International
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nd/4.0/deed.en
dc.subject.keywordVector Autoregression
dc.subject.keywordSign Restrictions
dc.subject.keywordChina
dc.subject.keywordHouse Prices
dc.titleWhat drives housing dynamics in China? A sign restrictions VAR approach
dc.typeinfo:eu-repo/semantics/article
dc.version.typeinfo:eu-repo/semantics/acceptedVersion
dc.volume.number46
dspace.entity.typePublication
relation.isAuthorOfPublication627e06b8-d61f-4611-96fe-15cf32670e9f
relation.isAuthorOfPublication.latestForDiscovery627e06b8-d61f-4611-96fe-15cf32670e9f
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