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Long Memory in the Housing Price Indices in China

Author

Listed:
  • Carlos Pestana BARROS
  • Zhongfei CHEN
  • Luis A GIL-ALANA

Abstract

This study examines the time series behaviour of housing prices series for 69 cities in China. The general housing price index, the index of newly constructed buildings and the price index of second hand buildings from 2005:7 to 2010:12 are examined. The univariate fractionally integrated models are employed in order to determine whether shocks to the variables have transitory or permanent effects. Persistence is accepted for the general housing price index and for the newly constructed buildings. In particular Shanghai, Haikou and Sanya have persistent effects signifying that shocks will be permanent and the series will be very persistent. Mean reversion is accepted in most of the second hand building price indices. Based on the suspicion that there are bubbles in some of the series corresponding to the housing market of China, this paper enables us to understand what the possible consequences are for housing market management in the case of an eventual bubble in the China housing market.

Suggested Citation

  • Carlos Pestana BARROS & Zhongfei CHEN & Luis A GIL-ALANA, 2013. "Long Memory in the Housing Price Indices in China," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(7), pages 785-807.
    • Handle: RePEc:asi:ajoerj:v:3:y:2013:i:7:p:785-807:id:3489
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    Citations

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    Cited by:

    1. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
    2. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
    3. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
    4. Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015. "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 465-483, May.

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