Not all cities are alike : House price heterogeneity and the design of macro-prudential policies in China
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Akinci, Ozge & Olmstead-Rumsey, Jane, 2018.
"How effective are macroprudential policies? An empirical investigation,"
Journal of Financial Intermediation, Elsevier, vol. 33(C), pages 33-57.
- Ozge Akinci & Jane Olmstead-Rumsey, 2015. "How Effective are Macroprudential Policies? An Empirical Investigation," International Finance Discussion Papers 1136, Board of Governors of the Federal Reserve System (U.S.).
- Yavuz Arslan & Bulent Guler & Temel Taskin, 2015.
"Joint Dynamics of House Prices and Foreclosures,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 133-169, March.
- Yavuz Aslan & Bulent Guler & Temel Taskin, 2014. "Joint Dynamics of House Prices and Foreclosures," Working Papers 1440, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Ben S. Bernanke & Mark Gertler, 2001. "Should Central Banks Respond to Movements in Asset Prices?," American Economic Review, American Economic Association, vol. 91(2), pages 253-257, May.
- Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014.
"Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 315-333, June.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers 15-2011, Singapore Management University, School of Economics.
- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2012. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Cowles Foundation Discussion Papers 1842, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers 17-2012, Singapore Management University, School of Economics.
- Du, Zaichao & Zhang, Lin, 2015. "Home-purchase restriction, property tax and housing price in China: A counterfactual analysis," Journal of Econometrics, Elsevier, vol. 188(2), pages 558-568.
- Harvey, David I. & Leybourne, Stephen J. & Newbold, Paul, 2002. "Seasonal unit root tests with seasonal mean shifts," Economics Letters, Elsevier, vol. 76(2), pages 295-302, July.
- Magdalinos, Tassos, 2012. "Mildly explosive autoregression under weak and strong dependence," Journal of Econometrics, Elsevier, vol. 169(2), pages 179-187.
- Gao, Andre & Lin, Zhenguo & Na, Carrie Fangzhou, 2009. "Housing market dynamics: Evidence of mean reversion and downward rigidity," Journal of Housing Economics, Elsevier, vol. 18(3), pages 256-266, September.
- Simon Alder & Lin Shao & Fabrizio Zilibotti, 2016.
"Economic reforms and industrial policy in a panel of Chinese cities,"
Journal of Economic Growth, Springer, vol. 21(4), pages 305-349, December.
- Simon Alder & Lin Shao & Fabrizio Zilibotti, 2013. "Economic reforms and industrial policy in a panel of Chinese cities," UBSCENTER - Working Papers 005, UBS International Center of Economics in Society - Department of Economics - University of Zurich.
- Alder, Simon & Shao, Lin & Zilibotti, Fabrizio, 2013. "Economic Reforms and Industrial Policy in a Panel of Chinese Cities," CEPR Discussion Papers 9748, C.E.P.R. Discussion Papers.
- Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
- Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation for Research in Economics, Yale University.
- Bin Wang & Tao Sun, 2013. "How Effective are Macroprudential Policies in China?," IMF Working Papers 13/75, International Monetary Fund.
- Stephen J. Leybourne & Tae‐Hwan Kim & A. M. Robert Taylor, 2006. "Regression‐based Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 595-621, October.
- Crowe, Christopher & Dell’Ariccia, Giovanni & Igan, Deniz & Rabanal, Pau, 2013.
"How to deal with real estate booms: Lessons from country experiences,"
Journal of Financial Stability, Elsevier, vol. 9(3), pages 300-319.
- Pau Rabanal & Christopher W. Crowe & Giovanni Dell'Ariccia & Deniz O Igan, 2011. "How to Deal with Real Estate Booms; Lessons from Country Experiences," IMF Working Papers 2011/091, International Monetary Fund.
- Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015.
"Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1079-1134, November.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors," Working Papers 05-2013, Singapore Management University, School of Economics.
- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," Cowles Foundation Discussion Papers 1915, Cowles Foundation for Research in Economics, Yale University.
- Koen Decancq & María Ana Lugo, 2013.
"Weights in Multidimensional Indices of Wellbeing: An Overview,"
Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 7-34, January.
- Koen DECANCQ & María Ana LUGO, 2010. "Weights in multidimensional indices of well-being: an overview," Working Papers of Department of Economics, Leuven ces10.06, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- DECANCQ, Koen & LUGO, Maria Ana, 2013. "Weights in multidimensional indices of wellbeing: an overview," LIDAM Reprints CORE 2493, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ilhyock Shim & Bilyana Bogdanova & Jimmy Shek & Agne Subeltye, 2013. "Database for policy actions on housing markets," BIS Quarterly Review, Bank for International Settlements, September.
- Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
- Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
- Bai, ChongEn & Li, Qi & Ouyang, Min, 2014. "Property taxes and home prices: A tale of two cities," Journal of Econometrics, Elsevier, vol. 180(1), pages 1-15.
- Cerutti, Eugenio & Dagher, Jihad & Dell'Ariccia, Giovanni, 2017.
"Housing finance and real-estate booms: A cross-country perspective,"
Journal of Housing Economics,
Elsevier, vol. 38(C), pages 1-13.
- Eugenio M Cerutti & Jihad Dagher & Giovanni Dell'Ariccia, 2015. "Housing Finance and Real-Estate Booms; A Cross-Country Perspective," IMF Staff Discussion Notes 15/12, International Monetary Fund.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wang, Xiaohu & Yu, Jun, 2016.
"Double asymptotics for explosive continuous time models,"
Journal of Econometrics, Elsevier, vol. 193(1), pages 35-53.
- Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.
- Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
- Morgan, Peter J. & Regis, Paulo José & Salike, Nimesh, 2019. "LTV policy as a macroprudential tool and its effects on residential mortgage loans," Journal of Financial Intermediation, Elsevier, vol. 37(C), pages 89-103.
- Guo, Gangzheng & Wang, Shaoping & Sun, Yixiao, 2018. "Testing for Moderate Explosiveness in the Presence of Drift," University of California at San Diego, Economics Working Paper Series qt2k26h10n, Department of Economics, UC San Diego.
- Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
- Gabriele Galati & Richhild Moessner, 2018.
"What Do We Know About the Effects of Macroprudential Policy?,"
Economica, London School of Economics and Political Science, vol. 85(340), pages 735-770, October.
- Gabriele Galati & Richhild Moessner, 2014. "What do we know about the effects of macroprudential policy?," DNB Working Papers 440, Netherlands Central Bank, Research Department.
- Funke, Michael & Leiva-Leon, Danilo & Tsang, Andrew, 2019.
"Mapping China’s time-varying house price landscape,"
Regional Science and Urban Economics, Elsevier, vol. 78(C).
- Funke, Michael & Leiva-Leon, Danilo & Tsang, Andrew, 2017. "Mapping China’s time-varying house price landscape," BOFIT Discussion Papers 21/2017, Bank of Finland, Institute for Economies in Transition.
- Michael Funke & Danilo Leiva-Leon & Andrew Tsang, 2019. "Mapping China’s time-varying house price landscape," Working Papers 1930, Banco de España;Working Papers Homepage.
- Martínez-García, Enrique & Grossman, Valerie, 2020.
"Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world,"
Journal of International Money and Finance, Elsevier, vol. 101(C).
- Valerie Grossman & Enrique Martinez-Garcia, 2018. "Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World," Globalization Institute Working Papers 342, Federal Reserve Bank of Dallas.
- Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2018.
"House prices and macroprudential policy in an estimated DSGE model of New Zealand,"
Journal of Macroeconomics, Elsevier, vol. 56(C), pages 152-171.
- Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2017. "House prices and macroprudential policy in an estimated DSGE model of New Zealand," Working Paper Series 6354, Victoria University of Wellington, School of Economics and Finance.
- Kuttner, Kenneth N. & Shim, Ilhyock, 2016.
"Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies,"
Journal of Financial Stability, Elsevier, vol. 26(C), pages 31-44.
- Kenneth N Kuttner & Ilhyock Shim, 2013. "Can non-interest rate policies stabilise housing markets? Evidence from a panel of 57 economies," BIS Working Papers 433, Bank for International Settlements.
- Kenneth N. Kuttner & Ilhyock Shim, 2013. "Can Non-Interest Rate Policies Stabilize Housing Markets? Evidence from a Panel of 57 Economies," NBER Working Papers 19723, National Bureau of Economic Research, Inc.
- Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
- de Araujo, Douglas Kiarelly Godoy & Barroso, Joao Barata Ribeiro Blanco & Gonzalez, Rodrigo Barbone, 2020.
"Loan-to-value policy and housing finance: Effects on constrained borrowers,"
Journal of Financial Intermediation, Elsevier, vol. 42(C).
- Douglas Kiarelly Godoy de Araujo & João Barata R B Barroso & Rodrigo Barbone Gonzalez, 2017. "Loan-to-value policy and housing finance: effects on constrained borrowers," BIS Working Papers 673, Bank for International Settlements.
- Stefan Eichler & Tom Lähner, 2014. "Regional House Price Dynamics And Voting Behavior In The Fomc," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 625-645, April.
- Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai Leung, 2018. "Estimating Multiple Breaks in Nonstationary Autoregressive Models," MPRA Paper 92074, University Library of Munich, Germany.
- Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2016. "Use of unit root methods in early warning of financial crises," Research Discussion Papers 27/2016, Bank of Finland.
- Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2017. "Use of unit root methods in early warning of financial crises," ESRB Working Paper Series 45, European Systemic Risk Board.
- Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
- Kim, Soyoung & Oh, Junbeom, 2020. "Macroeconomic effects of macroprudential policies: Evidence from LTV and DTI policies in Korea," Japan and the World Economy, Elsevier, vol. 53(C).
- Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
- Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
- Wang, Xiaohu & Yu, Jun, 2015.
"Limit theory for an explosive autoregressive process,"
Economics Letters, Elsevier, vol. 126(C), pages 176-180.
- Xiaohu Wang & Jun Yu, 2013. "Limit Theory for an Explosive Autoregressive Process," Working Papers 08-2013, Singapore Management University, School of Economics.
More about this item
JEL classification:
- O18 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CNA-2018-11-26 (China)
- NEP-MAC-2018-11-26 (Macroeconomics)
- NEP-TRA-2018-11-26 (Transition Economics)
- NEP-URE-2018-11-26 (Urban & Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bof:bofitp:2018_018. 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: (Minna Nyman). General contact details of provider: http://edirc.repec.org/data/bofitfi.html .
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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.