Econometric Analysis on Chinese Housing Bubble: Evidence from National and Municipal Panel Data

摘要

This study tries to make an econometric analysis on the existence of the house price bubble in China. Using monthly data from January 2001 through December 2014, this paper explores the time series statistical relationship between real China and key municipal house prices as well as several elementary marketing and economic variables related to house prices. The results suggest that house prices in China and the fundamental variables are unit root variables that are not cointegrated, even after allowing structure breaks. Using the cointegrating regression model of house prices, we discuss the implications of our results for the Chinese housing macro-control policy during the past years, and the existence of recent Chinese housing market risk.