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House Market in Chinese Cities: Dynamic Modeling, In0 Sample Fitting and Out-of- Sample Forecasting

Author

Listed:
  • Charles Ka Yui Leung

    () (kycleung@cityu.edu.hk.)

  • Kenneth K. Chow

    (Hong Kong Institute for Monetary Research)

  • Matthew S. Yiu

    (Hong Kong Monetary Authority)

  • Dickson C. Tam

    (China International Capital Corporation Limited)

Abstract

This paper attempts to contribute in several ways. Theoretically, it proposes simple models of house price dynamics and construction dynamics, all based on the maximization problems of forward-looking agents, which may carry independent interests. Simplified versions of the model implications are estimated with the data from four major cities in China. Both price and construction dynamics exhibit strong persistence in all cities. Significant heterogeneity across cities is found. Our models out-perform widely used alternatives in in-sample-fitting for all cities, although similar success is only limited to highly developed cities in out-of-sample forecasting. Policy implications and future research directions are also discussed.

Suggested Citation

  • Charles Ka Yui Leung & Kenneth K. Chow & Matthew S. Yiu & Dickson C. Tam, 2011. "House Market in Chinese Cities: Dynamic Modeling, In0 Sample Fitting and Out-of- Sample Forecasting," International Real Estate Review, Asian Real Estate Society, vol. 14(1), pages 85-117.
  • Handle: RePEc:ire:issued:v:14:n:01:2011:p:85-117
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    Cited by:

    1. Huang, Daisy J. & Leung, Charles K. & Qu, Baozhi, 2015. "Do bank loans and local amenities explain Chinese urban house prices?," China Economic Review, Elsevier, vol. 34(C), pages 19-38.
    2. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(03), pages 77-108, May.
    3. Gregory C. Chow & Linlin Niu, 2015. "Housing Prices in Urban China as Determined by Demand and Supply," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 1-16, February.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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