Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/gam/jsusta/v10y2018i7p2386-d157026.html
   My bibliography  Save this article

Risk Transfer among Housing Markets in Major Cities in China

Author

Listed:
  • I-Chun Tsai

    (Department of Finance, National University of Kaohsiung, No. 700, Kaohsiung University Rd., Nanzih District, Kaohsiung 811, Taiwan)

  • Shu-Hen Chiang

    (Department of Finance, Chung Yuan Christian University, Taoyuan City 320, Taiwan)

Abstract
This study explored risk transfer among the housing markets of five major cities in China, comprising three first-tier cities (i.e., Beijing, Shanghai, and Shenzhen) and two second-tier cities (i.e., Tianjin and Chongqing). House price index data from January 2001 to June 2017 and a vector autoregressive–multivariate generalized autoregressive conditional heteroscedasticity model were employed to estimate correlations among these cities related to house price returns and volatility. In addition, volatility impulse-response functions were estimated to determine interactions among housing market risk in different cities. The results revealed that first-tier cities were more likely to transfer risk to second-tier cities, and that Beijing’s housing market exerted the greatest influence on risk in other cities’ housing markets. To consider the influence of the 2008 global financial crisis, data collected before and after the crisis were divided into two groups for subsequent investigation. The results revealed that these cities became more closely interrelated after the financial crisis, thereby escalating the risk of impulse influences. Finally, this study evaluated the influences of macroeconomic impulses on the housing markets of the three first-tier cities, indicating that real estate in these three cities can protect investors against inflation. The evidence presented in this paper can serve as a reference for the Chinese government regarding risk control.

Suggested Citation

  • I-Chun Tsai & Shu-Hen Chiang, 2018. "Risk Transfer among Housing Markets in Major Cities in China," Sustainability, MDPI, vol. 10(7), pages 1-20, July.
    • Handle: RePEc:gam:jsusta:v:10:y:2018:i:7:p:2386-:d:157026
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2071-1050/10/7/2386/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2071-1050/10/7/2386/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    2. Bekiros, Stelios D., 2014. "Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 117-134.
    3. Elder, John, 2003. "An impulse-response function for a vector autoregression with multivariate GARCH-in-mean," Economics Letters, Elsevier, vol. 79(1), pages 21-26, April.
    4. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.
    5. Christian Dreger & Yanqun Zhang, 2010. "Is There a Bubble in the Chinese Housing Market?," Discussion Papers of DIW Berlin 1081, DIW Berlin, German Institute for Economic Research.
    6. Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R., 2015. "Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets," Energy Economics, Elsevier, vol. 52(PA), pages 217-227.
    7. Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
    8. Feng, Qu & Wu, Guiying Laura, 2015. "Bubble or riddle? An asset-pricing approach evaluation on China's housing market," Economic Modelling, Elsevier, vol. 46(C), pages 376-383.
    9. John McDonald & Houston Stokes, 2013. "Monetary Policy and the Housing Bubble," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 437-451, April.
    10. Shi, Guangping & Liu, Xiaoxing & Zhang, Xu, 2017. "Time-varying causality between stock and housing markets in China," Finance Research Letters, Elsevier, vol. 22(C), pages 227-232.
    11. Wu, Jing & Gyourko, Joseph & Deng, Yongheng, 2016. "Evaluating the risk of Chinese housing markets: What we know and what we need to know," China Economic Review, Elsevier, vol. 39(C), pages 91-114.
    12. Wang, Zhi & Zhang, Qinghua, 2014. "Fundamental factors in the housing markets of China," Journal of Housing Economics, Elsevier, vol. 25(C), pages 53-61.
    13. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    14. Ren, Yu & Xiong, Cong & Yuan, Yufei, 2012. "House price bubbles in China," China Economic Review, Elsevier, vol. 23(4), pages 786-800.
    15. repec:dau:papers:123456789/5450 is not listed on IDEAS
    16. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
    17. Liu Hongyu & Yun W. Park & Zheng Siqi, 2002. "The Interaction between Housing Investment and Economic Growth in China," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 40-60.
    18. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    19. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
    20. Liang, Qi & Cao, Hua, 2007. "Property prices and bank lending in China," Journal of Asian Economics, Elsevier, vol. 18(1), pages 63-75, February.
    21. Conrad, Christian & Karanasos, Menelaos, 2006. "The impulse response function of the long memory GARCH process," Economics Letters, Elsevier, vol. 90(1), pages 34-41, January.
    22. Yongzhou Hou, 2010. "Housing price bubbles in Beijing and Shanghai?," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 3(1), pages 17-37, March.
    23. Daniel Chandler & Richard Disney, 2014. "The Housing Market in the United Kingdom: Effects of House Price Volatility on Households," Fiscal Studies, Institute for Fiscal Studies, vol. 35, pages 371-394, September.
    24. Shen, Ling, 2012. "Are house prices too high in China?," China Economic Review, Elsevier, vol. 23(4), pages 1206-1210.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market," Journal of Asian Economics, Elsevier, vol. 64(C), pages 1-1.
    2. Ming-Chu Chiang & I-Chun Tsai, 2020. "Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets," Sustainability, MDPI, vol. 12(21), pages 1-20, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. I-Chun Tsai, 2017. "The housing market and excess monetary liquidity in China," Empirical Economics, Springer, vol. 53(2), pages 599-615, September.
    2. Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," China Economic Review, Elsevier, vol. 48(C), pages 205-222.
    3. Wen-Yuan Lin & I-Chun Tsai, 2016. "Asymmetric Fluctuating Behavior of China's Housing Prices," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 24(2), pages 107-126, March.
    4. Yongsheng Jiang & Dong Zhao & Andrew Sanderford & Jing Du, 2018. "Effects of Bank Lending on Urban Housing Prices for Sustainable Development: A Panel Analysis of Chinese Cities," Sustainability, MDPI, vol. 10(3), pages 1-16, February.
    5. Zhenxi Chen & Cuntong Wang, 2020. "Speculative trading in Chinese housing market: a panel regression method," Applied Economics, Taylor & Francis Journals, vol. 52(38), pages 4186-4195, July.
    6. Wu, Jing & Gyourko, Joseph & Deng, Yongheng, 2016. "Evaluating the risk of Chinese housing markets: What we know and what we need to know," China Economic Review, Elsevier, vol. 39(C), pages 91-114.
    7. Huang, Daisy J. & Leung, Charles K. & Qu, Baozhi, 2015. "Do bank loans and local amenities explain Chinese urban house prices?," China Economic Review, Elsevier, vol. 34(C), pages 19-38.
    8. Mei Liu & Qing-Ping Ma, 2021. "Determinants of house prices in China: a panel-corrected regression approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(1), pages 47-72, August.
    9. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market," Journal of Asian Economics, Elsevier, vol. 64(C), pages 1-1.
    10. Sun, Tianyu & Chand, Satish & Sharpe, Keiran, 2018. "Effect of Aging on Urban Land Prices in China," MPRA Paper 89237, University Library of Munich, Germany.
    11. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    12. Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
    13. Xu Zhang & Xiaoxing Liu & Jianqin Hang & Dengbao Yao & Guangping Shi, 2016. "Do Urban Rail Transit Facilities Affect Housing Prices? Evidence from China," Sustainability, MDPI, vol. 8(4), pages 1-14, April.
    14. Chunping Liu & Zhirong Ou, 2021. "What determines China's housing price dynamics? New evidence from a DSGE‐VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3269-3305, July.
    15. Coskun Yener & Jadevicius Arvydas, 2017. "Is there a Housing Bubble in Turkey?," Real Estate Management and Valuation, Sciendo, vol. 25(1), pages 48-73, March.
    16. Xiaoping Zhou & Zhenyang Qin & Yingjie Zhang & Linyi Zhao & Yan Song, 2019. "Quantitative Estimation and Spatiotemporal Characteristic Analysis of Price Deviation in China's Housing Market," Sustainability, MDPI, vol. 11(24), pages 1-28, December.
    17. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    18. Tommaso Gabrieli & Keith Pilbeam & Tianyu Wang, 2018. "Estimation of bubble dynamics in the Chinese real estate market: a State space model," International Economics and Economic Policy, Springer, vol. 15(2), pages 483-499, April.
    19. Gabrieli, Tommaso & Panagiotidis, Theodore & Xu, Yishuang, 2019. "Pair-wise convergence of intra-city house prices in Beijing," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    20. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jsusta:v:10:y:2018:i:7:p:2386-:d:157026. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.