Time-varying causality in the price-rent relationship: revisiting housing bubble symptoms
| Autor: | Chien-Fu Chen, Shu-hen Chiang |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Causal relations
Bubble media_common.quotation_subject 05 social sciences Geography Planning and Development Economic rent 0211 other engineering and technologies 0507 social and economic geography 021107 urban & regional planning 02 engineering and technology Monetary economics Causality Urban Studies Beijing Order (exchange) Economics 050703 geography media_common |
| Zdroj: | Journal of Housing and the Built Environment. 36:539-558 |
| ISSN: | 1573-7772 1566-4910 |
| DOI: | 10.1007/s10901-020-09781-1 |
| Popis: | According to rational bubble theory, housing prices are composed of economic fundamentals such as rent and the bubble component. While it is clear that non-causality between housing prices and rents serves as evidence of housing bubbles, within-city spillovers can be found in the causal relations. In other words, the causality test covers the detection of the housing bubbles or within-city spillovers underlying overheated housing markets. The purpose of this study is to propose a time-varying version of the Granger-causality test introduced by Shi et al. (J Financial Econom 18:158–180, 2020) in order to trace the status of housing markets across four first-tier cities in China. The empirical results indicate that there are various causal relationships, namely, within-city spillovers over time in Shanghai, Guangzhou and Shenzhen, while exuberant behavior with a housing bubble are especially noteworthy in the case of Beijing. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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