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Housing market dynamics in China: Findings from an estimated DSGE model

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  • Ng, Eric C.Y.

Abstract

We use an estimated dynamic stochastic general equilibrium model to study housing market fluctuations in China. More than one-third of the volatility of housing prices is driven by housing preference shocks. The volatility of residential investment is mainly driven by housing technology shocks with more than one-half variance contribution. Monetary shocks explain 12–32% of variance in housing prices and residential investments. However, the contribution of monetary factors appears more important in the 1990s and less important in the 2000s. We find that two observables with “Chinese characteristics” capture part of the housing preference shocks. The shocks are positively related to the sex ratio and negatively related to the equity market index.

Suggested Citation

  • Ng, Eric C.Y., 2015. "Housing market dynamics in China: Findings from an estimated DSGE model," Journal of Housing Economics, Elsevier, vol. 29(C), pages 26-40.
  • Handle: RePEc:eee:jhouse:v:29:y:2015:i:c:p:26-40
    DOI: 10.1016/j.jhe.2015.05.003
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    More about this item

    Keywords

    Housing market; Housing prices; Residential investment; DSGE models; China;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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