IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

How strong are the linkages between real estate and other sectors in China?

Listed author(s):
  • Chan, Steven
  • Han, Gaofeng
  • Zhang, Wenlang
Registered author(s):

    International experience points to the critical role of stable property markets in maintaining financial stability. This paper investigates the real and financial linkages between real estate sector and other sectors. The real linkage based on input–output analysis shows that the linkages have strengthened. The financial linkages in terms of credit risk spillovers across sectors are studied by using DAG method and SVAR. We find that that credit risk in the real estate sector has large-scale spillover effects onto other sectors. Consequently, shocks to the property market could have much larger impact on the Chinese economy than suggested by headline figures.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531915300234
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 36 (2016)
    Issue (Month): C ()
    Pages: 52-72

    as
    in new window

    Handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:52-72
    DOI: 10.1016/j.ribaf.2015.09.018
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Xiaoyun Liu, 2010. "The diminishing influences of agricultural output changes on general price changes in China," China Agricultural Economic Review, Emerald Group Publishing, vol. 2(3), pages 345-355, September.
    2. Sharify, Nooraddin & Sancho, Ferran, 2011. "A new approach for the input–output price model," Economic Modelling, Elsevier, vol. 28(1), pages 188-195.
    3. Thomas Cooley & Ramon Marimon & Vincenzo Quadrini, 2004. "Aggregate Consequences of Limited Contract Enforceability," Journal of Political Economy, University of Chicago Press, vol. 112(4), pages 817-847, August.
    4. Darrell Duffie & Andreas Eckner & Guillaume Horel & Leandro Saita, 2009. "Frailty Correlated Default," Journal of Finance, American Finance Association, vol. 64(5), pages 2089-2123, October.
    5. Nicolau, Jo o, 2002. "Stationary Processes That Look Like Random Walks The Bounded Random Walk Process In Discrete And Continuous Time," Econometric Theory, Cambridge University Press, vol. 18(01), pages 99-118, February.
    6. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2008. "In Search of Distress Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2899-2939, December.
    7. Horridge, Mark & Wittwer, Glyn, 2008. "SinoTERM, a multi-regional CGE model of China," China Economic Review, Elsevier, vol. 19(4), pages 628-634, December.
    8. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-248, April.
    9. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 191-209.
    10. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
    11. Yuan, Chaoqing & Liu, Sifeng & Xie, Naiming, 2010. "The impact on chinese economic growth and energy consumption of the Global Financial Crisis: An input–output analysis," Energy, Elsevier, vol. 35(4), pages 1805-1812.
    12. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
    13. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    14. Hart, Oliver, 1995. "Firms, Contracts, and Financial Structure," OUP Catalogue, Oxford University Press, number 9780198288817.
    15. Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
    16. repec:bla:joares:v:18:y:1980:i:1:p:109-131 is not listed on IDEAS
    17. Williamson, Stephen D, 1987. "Financial Intermediation, Business Failures, and Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1196-1216, December.
    18. Sharify, Nooraddin, 2013. "Input–output modelling of the effect of implicit subsidies on general prices," Economic Modelling, Elsevier, vol. 33(C), pages 913-917.
    19. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    20. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
    21. Elekdag, Selim & Muir, Dirk & Wu, Yiqun, 2015. "Trade linkages, balance sheets, and spillovers: The Germany-Central European Supply Chain," Journal of Policy Modeling, Elsevier, vol. 37(2), pages 374-387.
    22. Robert A. Jarrow & Fan Yu, 2008. "Counterparty Risk and the Pricing of Defaultable Securities," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515 World Scientific Publishing Co. Pte. Ltd..
    23. Kehoe, Timothy J. & Serra-Puche, Jaime, 1983. "A computational general equilibrium model with endogenous unemployment : An analysis of the 1980 fiscal reform in Mexico," Journal of Public Economics, Elsevier, vol. 22(1), pages 1-26, October.
    24. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    25. Rose, Adam, 1995. "Input-output economics and computable general equilibrium models," Structural Change and Economic Dynamics, Elsevier, vol. 6(3), pages 295-304, August.
    26. repec:bla:joares:v:4:y:1966:i::p:71-111 is not listed on IDEAS
    27. Liew, Chung J. & Liew, Chong K., 1988. "A comparative study of household interactive variable input-output (HIVIO) model and the conventional input-output models," Journal of Urban Economics, Elsevier, vol. 24(1), pages 64-84, July.
    28. Sudheer Chava & Robert A. Jarrow, 2008. "Bankruptcy Prediction with Industry Effects," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 21, pages 517-549 World Scientific Publishing Co. Pte. Ltd..
    29. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
    30. Townsend, Robert M., 1979. "Optimal contracts and competitive markets with costly state verification," Journal of Economic Theory, Elsevier, vol. 21(2), pages 265-293, October.
    31. Jin-Chuan Duan, 1994. "Maximum Likelihood Estimation Using Price Data Of The Derivative Contract," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 155-167.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:52-72. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.