Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083155 | International Review of Economics & Finance | 2016 | 19 Pages |
Abstract
This study examines the lead-lag relations between the observed correlations of credit and housing price growths during three different sample periods, namely, whole, twin boom, and non-twin boom. We used data from 27 provinces and four municipalities in China. We adopted the panel error correction model to estimate the lead-and-lag relation because the two variables are panel-cointegrated. While we find that bi-directional lead-and-lag relation exists in both markets, the leading effect of housing prices on credit appears to be stronger than the effect of credit on property prices.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chung-Hua Shen, Yen Hsien Lee, Meng-Wen Wu, Na Guo,