Long-term Equilibrium and Short-term Dynamics between Metropolitan Housing Markets in China

摘要

House prices across cities may form long-term relations. Geographic barriers could lead to lack of short-term dynamics. The paper aims to investigate the long-run equilibrium and/or short-run dynamics betweenmetropolitan house pricesin China. The study introduced two cointegration tests and various small-sample corrections. We conductedthe Toda-Yamamoto Granger causality tests. House prices betweencitiesin most regional markets did notshow long-term relations as well as short-term dynamics. Therefore, geographies andtransport costs between cities could reducethe centrifugal forces of city growth. Metropolitan housing markets are typically local.