China's housing bubble burst? |
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Authors: | Tie‐Ying Liu Hsu‐Ling Chang Chi‐Wei Su Xu‐Zhao Jiang |
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Institution: | 1. School of Economics and ManagementBeijing Jiatong University, Beijing, China;2. Department of Accounting and InformationLing Tung University, Taiwan;3. Department of FinanceOcean University of China, Shandong, China;4. School of EconomicsOcean University of China, Shandong, China |
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Abstract: | In this paper, we developed the recursive unit root tests to identify the beginning and end of potential speculative bubbles in the Chinese housing price cycles during 2006–2013 for the 70 major cities of China. The method is best suited for a practical implementation with a time series and delivers a consistent date‐stamping strategy for the origination and termination of multiple bubbles. Simulations demonstrate that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. Overall, the results indicate that the speculative housing price bubbles in China are not bursting, and they indicate that the stationarity of the housing price level varies across the different city sizes. Between the cities, approximately one‐fourth of the bubbles have burst up to December 2013, while the first‐tier city bubble may not burst due to the urbanization process. |
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Keywords: | Sup ADF test generalized sup ADF test multiple bubbles real estate market China |
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