Housing in a Neoclassical Growth Model

Cheng, Lichao; Li, Bin; Zeng, Zhixiong

doi:10.1111/j.1468-0106.2010.00500.x

Cited by 5 publications

(6 citation statements)

References 13 publications

(48 reference statements)

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“…This section presents an endogenous growth model based on those proposed by Rebelo (1991), Leung (2001Leung ( , 2003, and Cheng et al (2010), in which the growth rates of the real GDP and house price are endogenously determined. This model provides theoretical underpinning for house price convergence.…”

Section: Endogenous Growth Model With the Housing Sectormentioning

confidence: 99%

“…(iii) Population: This study employs an endogenous growth model that assumes constant household population and land supply. Cheng et al (2010) relaxed this assumption and found that the steady-state growth rate of house price increases with the excess of population growth over land supply growth. Assuming that land supply is fixed (or population grows considerably faster than land supply), house price growth is expected to increase with population growth.…”

Section: Datamentioning

confidence: 99%

“…Therefore, house prices at the city level are expected to mainly reflect local factors such as regional per capita income and population. House prices may converge if housing demand fundamentals (e.g., per capita income or productivity) converge among cities (e.g., Rebelo, 1991;Leung, 2001Leung, , 2003Cheng et al, 2010). Specifically, economic theory suggests that less developed cities will grow faster over time as investments move to these underdeveloped markets because entrepreneurs value inexpensive production factors.…”

Section: Introductionmentioning

confidence: 99%

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Convergence and spillover of house prices in Chinese cities

2016

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The issue of house price convergence in 34 Chinese cities is investigated. We augmented the convergence model with contemporaneous spatial dependence in house prices and found that price convergence and positive spatial spillover are both present. We explicitly addressed the endogeneity problem by introducing a Bayesian instrumental variable setup, which was estimated with particle filtering techniques. From a growth poles perspective, the empirical evidence indicates that the spread effect in regional house prices outweighs the backwash effect. The identified positive spatial spillover has two effects on the growth of house prices in Chinese cities. First, the spillover elevates the trajectories of the steady-state growth paths of house prices. Second, the spillover narrows the gaps between the growth paths of house prices in neighboring cities. Shocks to the socioeconomic variables of a city generate their own effects on domestic house prices that dominate the effects arising from cross-city price feedbacks, thus mitigating the prospect of level convergence. Our findings also suggest a collaborating role between time and spatial dependence parameters. The identification of inter-city spillover, which is a conditioning factor for regional house price convergence, offers implications to policies that are most likely to be effective in reducing regional disparity.

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Section: Endogenous Growth Model With the Housing Sectormentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Convergence and spillover of house prices in Chinese cities

2016

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“…5 Implicitly, this formulation assumes that there are potentially important interactions among the stock market, the housing market and the aggregate economy. For theoretical justifications, see Cheng et al (2010), Leung (2003Leung ( , 2007 and Leung and Teo (2009…”

Section: The Empirical Modelsmentioning

confidence: 99%

In the Shadow of the United States: The International Transmission Effect of Asset Returns

Chang

Chen

Leung

2013

Pacific Economic Review

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We examine how fluctuations in financial and housing markets in U.S. affect asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching models indicate that the unexpected shock of US stock returns, followed by the TED spread, has the most significant effect on HK asset returns and GDP, typically in the regime with high return and low volatility. For the in-sample one-step-ahead forecasting, US Term spread stands out to be the best predictor.

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“…Pacific Economic Review (PER) is an appropriate choice for us as PER has previously published papers on housing market dynamics and its relationship with the aggregate economy (e.g. see Peng, Tam, & Yiu, ; Cheng, Li, & Zeng, ; Chang, Chen, & Leung, ).…”

mentioning

confidence: 99%

Special issue on housing and financial stability: An introduction

Leung

2017

Pacific Economic Review

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Housing in a Neoclassical Growth Model

Cited by 5 publications

References 13 publications

Convergence and spillover of house prices in Chinese cities

Convergence and spillover of house prices in Chinese cities

In the Shadow of the United States: The International Transmission Effect of Asset Returns

Special issue on housing and financial stability: An introduction

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