Estimation of bubble dynamics in the Chinese real estate market: a State space model

Gabrieli, Tommaso; Pılbeam, Keith; Wang, Tianyu

doi:10.1007/s10368-017-0398-y

Cited by 10 publications

(9 citation statements)

References 30 publications

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“…Schulz and Werwatz (2004) also use the state-space present value model in a hybrid model of hedonic pricing, with the objective of using the Kalman filter to extract the common price component in the housing market in Berlin. Other papers which have used different dimensions of the state-space approach to housing markets include Riddel (1999), Gabrieli et al (2018), Hui and Yue (2006) and Teng et al (2013).…”

Section: Background Literaturementioning

confidence: 99%

The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth

Rambaccussing

2021

SN Bus Econ

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The price to rent ratio can be used to identify properties which are either overvalued or undervalued according to market fundamentals. Fluctuations in the price to rent ratio over time, can be traced to either changes in expectations of future house price growth (expected returns) or rental growth. In this paper, we measure the impact of these latent variables in Scotland’s main cities by implementing a state-space model based on the present value. The model estimates show that the proportion of expected rent growth and expected returns driving the price to rent ratio differs across Scotland. Glasgow seems to be driven mostly by expected returns, while rent growth drives price movements in Edinburgh. A geographic dimension is noted as cities on the East coast share similar expected returns and expected rent growth. Housing market trends in Scotland mostly follow the Edinburgh experience. Further decompositions show that house price changes are driven by an equal combination of expected rent growth and expected returns in Dundee and Aberdeen.

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Section: Background Literaturementioning

confidence: 99%

The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth

Rambaccussing

2021

SN Bus Econ

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“…Based on Chinese data sets, this study contributes to international research on real estate markets and debates about the role of policy tools in regulating this market. While various fundamental approaches have been used to value real estate, as argued by Gabrieli et al (2018), speculative activity can also push prices higher due to herding behaviour and irrational expectations of future price gains, resulting in substantial price deviations from fundamental determinants. As a result, the expectation-driven cycles introduced by Lambertini et al (2013) have been increasingly used to model the booms and bursts in the real estate market (Deng et al, 2018).…”

Section: Household Non-mortgage Loansmentioning

confidence: 99%

Non-mortgage loans in the Chinese residential real estate market

Liu

2021

IJHMA

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Purpose From January 2021, the potential flow of Chinese household non-mortgage loans, including business loans and short-term consumption loans to the residential real estate market, has attracted the attention of the regulatory authorities. This study aims to examine the effects of household non-mortgage loans on the Chinese residential real estate market. Design/methodology/approach Based on a monthly data set between July 2011 and December 2019, this study adopts a cointegration analysis. Findings This study finds that household non-mortgage loans do play a significant role in driving residential real estate prices in China. Originality/value While many studies have examined the Chinese real estate market and its linkage with the financial system and the economy, this study is the first of its kind in the academic literature that exclusively focusses on the role of non-mortgage loans in real estate prices, and makes an original contribution.

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“…In China, on the other hand, the issuance of highinterest dollar bonds by housing companies has raised the cost of financing them. Gabrieli et al (2018) found that almost all of the official interest rate changes over the past decade have been driven by policy goals focused on the housing market. Shi This literature review showed that although researchers focus more on the problems and risks of foreign bond financing of housing enterprises, financing methods and currencies, financial supervision, the impact of corporate bond issuance, etc., and provide reference and ideas for future research, it is insufficient.…”

Section: Study Of the Factors And Effects Of The Issuance Of Bonds Bymentioning

confidence: 99%

Motivation, Dilemma and Countermeasures of Foreign Bond Financing of Real Estate Enterprises?Based on Perspective of Financial Internationalization

Liu¹

2020

PBES

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Several real estate enterprises in China (hereinafter referred to as housing enterprises) rely on overseas financing to meet their financing needs, but it is fraught with challenges such as high financing costs. Premised on the internationalization of finance, combined with the background of "staying and not speculating" and establishing a long-term mechanism for real estate market, based on the investigation of the financing motives of real estate enterprises, combined with a large amount of data, the present study examines the current situation and predicament of overseas financing of housing enterprises. It proposes four feasible countermeasures to promote sustainable development of real estate enterprises overseas financing including building a special financing system to reduce the cost, expanding various financing channels, strengthening the supervision of overseas bond financing, and reducing the loss devaluation of RMB internally and externally.

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Estimation of bubble dynamics in the Chinese real estate market: a State space model

Cited by 10 publications

References 30 publications

The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth

The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth

Non-mortgage loans in the Chinese residential real estate market

Motivation, Dilemma and Countermeasures of Foreign Bond Financing of Real Estate Enterprises?Based on Perspective of Financial Internationalization

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