Housing price fluctuations and financial risk transmission: a spatial economic model

2019 ◽  
Vol 51 (53) ◽  
pp. 5767-5780
Author(s):  
Fengyun Liu ◽  
Honghao Ren ◽  
Chuanzhe Liu
Keyword(s):  
Economic Model ◽  
Financial Risk ◽  
Housing Price ◽  
Price Fluctuations

scholarly journals Urban Housing Price Fluctuations and Regional Systemic Financial Risks: Panel Spatial Economic Models in Jiangsu, China

2018 ◽  
Vol 10 (10) ◽  
pp. 3452
Author(s):  
Fengyun Liu ◽  
Chuanzhe Liu ◽  
Honghao Ren
Keyword(s):  
Real Estate ◽  
Local Governments ◽  
Financial Risk ◽  
Housing Prices ◽  
Housing Price ◽  
Economic Models ◽  
Urban Housing ◽  
Financial Risks ◽  
Price Fluctuations ◽  
Contagion Effects

The regional systemic financial risks driven by escalating urban housing prices have been of great concern recently. Based on the theoretical analyses on the mechanism of formation of regional systemic financial risk driven by urban housing price fluctuations, this paper builds panel spatial economic models to empirically analyze the relationship between urban housing price fluctuations and regional systemic financial risks, in addition to their spatial linkages, in 13 cities in Jiangsu, a representative province of China. The empirical results show the following. (1) The excessive investment or speculation of local governments, banks, real estate developers, individuals, and families on the housing market stimulate the escalation in urban housing prices, leading to the systemic financial risks; (2) Urban housing prices and the land supply price of local governments have strong spatial contagion effects among cities, which will diffuse risks to adjacent cities, causing regional systemic financial risk; (3) Compared with North Jiangsu, South Jiangsu has more serious investment expansion from real estate developers and stronger spatial contagion effects, suggesting the existence of heavier regional systemic financial risks derived from housing price fluctuations; (4) North Jiangsu has slightly stronger “imitative behavior” among local governments, and fewer “substitution effects” of central cities’ demand to adjacent cities’ demand than does South Jiangsu.

scholarly journals Can RMB Exchange Rate Expectations Explain the Fluctuations of China’s Housing Prices?

2020 ◽  
pp. 211-233
Author(s):  
Chunni Wang
Keyword(s):  
Exchange Rate ◽  
Housing Prices ◽  
Housing Price ◽  
Chinese Government ◽  
Rmb Exchange Rate ◽  
Price Fluctuations ◽  
Exchange Rate Expectations ◽  
The Exchange Rate ◽  
The U.S ◽  
Rate Expectation

Unlike existing literature that has focused on the relationship between exchange rate and housing price, this paper studies the housing price fluctuations from the perspective of RMB exchange rate expectation to resolve the dilemma “guarantee housing price or exchange rate” after the sub-prime mortgage crisis. This paper shows that housing prices responded negatively to RMB appreciation expectation from 1999 to 2008, and positively from 2009 to 2019. After 2009, exchange rate expectation is the Granger causality of housing prices. After introducing the U.S. Economic Policy Uncertainty (EPU) released by Baker et al.(2016), the explanatory power of exchange rate expectations to housing price fluctuations declines but it's still significant. When EPU increased, housing prices responded negatively after a brief positive response. Besides exchange rate expectation, several unobservable factors with rich economic implications can explain the fluctuations of housing prices in China in the interval of 2006M01–2018M12. The empirical results show that the degree of Chinese government reversal intervention, interest rate spread between China and the U.S., and EPU can explain the exchange rate expectation. The government can control the degree of reversal intervention to affect the exchange rate expectation and realize the housing price control indirectly.

Study on Income Heterogeneous Expectations and Commercial Housing Price Fluctuations – Analysis Based on Regions of the East and the West in China

2014 ◽  
Vol 1079-1080 ◽  
pp. 1203-1207
Author(s):  
Feng Lan ◽  
Yu Chao Wang
Keyword(s):  
Rational Expectation ◽  
Housing Price ◽  
The West ◽  
Price Changes ◽  
Heterogeneous Expectations ◽  
Price Fluctuations ◽  
Explanatory Variables ◽  
Adaptive Expectation ◽  
Commercial Housing ◽  
Autonomous Regions

The purpose of this paper is to analysis the effects of residents income, income heterogeneous expectations, housing price changes expectations on housing price fluctuations. The paper firstly adopts adaptive expectation method to quantify income heterogeneous expectations, based on the 2003-2012 relevant data of 23 provinces and autonomous regions of the East and the West, constructs the spatital model, and compares with the rational expectation method. Income of residents, income heterogeneous expectations and housing price changes expectations are set as explanatory variables, commodity housing price as dependent variable. The conclusion is drawn that that the increasing of income, income heterogeneous expectations and housing price changes expectations promotes commodity housing price, and the significance of adaptive expectation method in the research of expectation and housing price fluctuations is indicated.

scholarly journals The role of news in the fluctuations of housing price

2018 ◽  
Vol 15 (3) ◽  
pp. 294-303
Author(s):  
Nazar Dahmardeh ◽  
Reza Khaki ◽  
Marziyeh Esfandiari
Keyword(s):  
Housing Market ◽  
Housing Price ◽  
Price Volatility ◽  
Annual Data ◽  
Price Fluctuations ◽  
Empirical Results ◽  
Negative News ◽  
The Impact ◽  
Do So

The main purpose of this paper is to evaluate the impact of the news on the housing price volatility in Iran. To do so, symmetric and asymmetric models such as GARCH, T-ARCH, EGARCH and APGARCH are applied by using annual data for the period 1971–2013. The empirical results confirm the asymmetric and leverage effects of news in Iran housing market. Also the impact of shocks indicates that negative news affect the housing price fluctuations further more than positive news with the same size.

Sign in / Sign up

Export Citation Format

Share Document