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The Driving Factors of China’s Housing Prices Pre- and after 2012
School of Shipping Economics and Trade, Guangzhou Maritime University, Guangzhou, China
Department of Finance, Business School, Hunan Normal University, Changsha, China
Department of Finance, Business School, Hunan Normal University, Changsha, China
Department of Finance, Business School, Hunan Normal University, Changsha, China
- 1 School of Shipping Economics and Trade, Guangzhou Maritime University, Guangzhou, China
- 2 Department of Finance, Business School, Hunan Normal University, Changsha, China
- 3 Department of Finance, Business School, Hunan Normal University, Changsha, China
- 4 Department of Finance, Business School, Hunan Normal University, Changsha, China
Journal of Mathematical Finance·Volume 11 (2021)·Pages 255–266·Published 1 March 2021·DOI10.4236/jmf.2021.112015
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Abstract
While GDP and the money supply (M2), the two key demand fundamentals of China’s housing prices, shifted gears and decelerated after 2012, China’s housing prices maintained high growth rates, specifically during 2015-2018. To explain the puzzling phenomenon, we use the TVP-VAR model to compare the time-varying features of the factors driving up the housing prices. Our results depict the interesting finding that before 2012, macro-fundamental factors such as M2 and per capita GDP were the key drivers of housing prices. But after 2012, shadow banking had gained explanatory power alongside M2 and per capita GDP.
KeywordsHousing PriceShadow BankingTVP-VAR Model
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