Low- frequency versus high-frequency housing price spillovers in China
Corresponding Author
Jian Yang
Business School, University of Colorado Denver, Denver, Colorado, USA
Correspondence
Jian Yang, Business School, University of Colorado Denver, PO Box 173364, Denver, CO 80217-3364, USA.
Email: [email protected]
Ziliang Yu, School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Email: [email protected]
Search for more papers by this authorZheng Li
School of Finance, Tianjin University of Finance and Economics, Tianjin, China
Search for more papers by this authorCorresponding Author
Ziliang Yu
School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Correspondence
Jian Yang, Business School, University of Colorado Denver, PO Box 173364, Denver, CO 80217-3364, USA.
Email: [email protected]
Ziliang Yu, School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Email: [email protected]
Search for more papers by this authorCorresponding Author
Jian Yang
Business School, University of Colorado Denver, Denver, Colorado, USA
Correspondence
Jian Yang, Business School, University of Colorado Denver, PO Box 173364, Denver, CO 80217-3364, USA.
Email: [email protected]
Ziliang Yu, School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Email: [email protected]
Search for more papers by this authorZheng Li
School of Finance, Tianjin University of Finance and Economics, Tianjin, China
Search for more papers by this authorCorresponding Author
Ziliang Yu
School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Correspondence
Jian Yang, Business School, University of Colorado Denver, PO Box 173364, Denver, CO 80217-3364, USA.
Email: [email protected]
Ziliang Yu, School of Finance, Nankai University, Haihe Education Park, Tianjin, China
Email: [email protected]
Search for more papers by this authorAbstract
Applying a novel high-dimensional frequency-domain-based spillover index approach, this paper explores low-frequency versus high-frequency housing price spillovers among 70 Chinese cities. Intensive interactions among these cities were dominated by high-frequency spillovers around the end of 2015, while low-frequency spillovers have dominated since 2016. This coincided with dramatic changes in government policies, particularly the abolition of the ‘one-child’ policy. Furthermore, city-level economic factors were the primarily significant determinants of high-frequency housing price spillovers within several months, while education was a major determinant of low-frequency housing price spillovers in China, which was consistent with the distinction between work-based and education-based migration in China.
Open Research
DATA AVAILABILITY STATEMENT
The data that support the findings of this study are available from the CEIC. Restrictions apply to the availability of these data, which were used under license for this study.
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