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Tail causalities between monetary supply and real estate prices in China

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  • Haoyuan Ding
  • Guoyong Liang
  • Tong Qi
  • Jiezhou Ying

Abstract

The asymmetric and segmented causality between the monetary policy and real estate market in China is crucial but remains mystery. With the application of quantile causality test, this article investigates nonlinear dependence between property prices and money supply. Our results show that the tail causality exists in many cities in China. Moreover, we find that small-sized cities and inland cities are more sensitive to the broad money (M2) changes when the housing market return is in the tail quantile intervals. These findings can help the Chinese government formulate appropriate monetary policies regarding their implications in the real estate market.

Suggested Citation

  • Haoyuan Ding & Guoyong Liang & Tong Qi & Jiezhou Ying, 2020. "Tail causalities between monetary supply and real estate prices in China," Economic and Political Studies, Taylor & Francis Journals, vol. 8(1), pages 82-95, January.
    • Handle: RePEc:taf:repsxx:v:8:y:2020:i:1:p:82-95
    DOI: 10.1080/20954816.2019.1690268
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    Cited by:

    1. Deev, Oleg & Lyócsa, Štefan & Výrost, Tomáš, 2022. "The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande," Finance Research Letters, Elsevier, vol. 49(C).

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