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Is there a housing bubble in China?

Author

Listed:
  • Zhi, Tianhao
  • Li, Zhongfei
  • Jiang, Zhiqiang
  • Wei, Lijian
  • Sornette, Didier

Abstract

This paper aims to conduct a series of bubble diagnostic analysis over 35 representative Chinese cities. We apply the Log-Periodic-Power-Law-Singularity (LPPLS) model to detect whether there is any evidence of unsustainable, self-reinforcing speculative behaviours amongst the price series. We also investigate whether the prices had been significantly deviating from economic fundamentals by applying the E-G cointegration test. Overall, we found that 10 out of the 35 cities being examined had exhibited positive LPPLS signals. We propose that it is vital to conduct bubble diagnostic tests and implement relevant policies toward specific bubble characteristics.

Suggested Citation

  • Zhi, Tianhao & Li, Zhongfei & Jiang, Zhiqiang & Wei, Lijian & Sornette, Didier, 2019. "Is there a housing bubble in China?," Emerging Markets Review, Elsevier, vol. 39(C), pages 120-132.
    • Handle: RePEc:eee:ememar:v:39:y:2019:i:c:p:120-132
    DOI: 10.1016/j.ememar.2019.04.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Housing bubble; Log-period-power-law-singularity; Bubble prediction; Chinese housing market;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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