کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7342418 | 1476252 | 2018 | 43 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy
ترجمه فارسی عنوان
مبانی و نوسان قیمت املاک در چین: یک استراتژی مدل سازی متوالی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We propose a sequential strategy in five steps integrating several techniques previously developed in a piecemeal and scattered way. First, we construct daily hedonic prices. Second, in order to search for the possible presence of bubbles on such high-frequency data, we propose using recently developed tests of an explosive root as an alternative to the unit root hypothesis. The third step is generated by the necessity of handling microstructure noise present at a daily frequency, thus filtering the raw data to extract a random walk component. The fourth step extracts a slowly changing monthly volatility component from the filtered daily hedonic real estate data. Finally, in so far as the presence of bubbles does not seem to characterize the residential housing market in major Chinese cities, such as Beijing and Shanghai, in a fifth step we show that fundamentals are able to explain slowly changing volatility, as well as transaction volumes in these firstâtier cities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: China Economic Review - Volume 48, April 2018, Pages 205-222
Journal: China Economic Review - Volume 48, April 2018, Pages 205-222
نویسندگان
Yongheng Deng, Eric Girardin, Roselyne Joyeux,