Housing Price Bubbles in Hong Kong, Beijing and Shanghai: A Comparative Study |
| |
Authors: | Eddie C M Hui Shen Yue |
| |
Institution: | (1) Department of Building and Real Estate, The Hong Kong Polytechnic University, Hong Kong, China;(2) Institute of Real Estate Studies, Tsinghua University, Beijing, China |
| |
Abstract: | This study investigates whether there was a housing price bubble in Beijing and Shanghai in 2003. The existence of a bubble
can be interpreted from (abnormal) interactions between housing prices and market fundamentals. This paper introduces an enhanced
framework, with the combination of standard econometric methodologies: i.e., Granger causality tests and generalized impulse
response analysis, and the reduced form of housing price determinants. A test case in Hong Kong, between 1990 and 2003, is
included to test the reliability of our methods because Hong Kong has experienced the formation and bursting of a huge housing
bubble around the year 1997. It is found that the pattern and magnitude of the estimated bubbles conform quite well to the
discrepancies between the actual and predicted prices. Also, the findings suggest that there appeared a bubble in Shanghai
in 2003, accounting for 22% of the housing price. By contrast, Beijing had no sign of a bubble in the same year. The bubble
phenomenon, of course, should be taken with cautions. Nonetheless this study has laid the groundwork for further investigations
in abnormal housing price phenomena in Mainland China. |
| |
Keywords: | Price bubble Cointegration test Granger causality Generalized impulse response function |
本文献已被 SpringerLink 等数据库收录! |
|