Management Review

›› 2015, Vol. 27 ›› Issue (9): 3-13.

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Study on Transmission and Volatility Spillover of Housing Prices in China's Urban Agglomerations

Zeng Xiangwei, Liu Zhidong, Liu Wenyu   

  1. School of Management Science and Engineering, Central University of Finance and Economics, Beijing 100081
  • Received:2014-05-04 Online:2015-09-30 Published:2015-09-29

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Abstract:

This paper studies interactive features of commodity housing prices of China's 3 typical urban agglomerations (Beijing-Tianjin-Hebei, Yangtze River Delta and Pearl River Delta) from 2 perspectives, i.e., long-term equilibrium relation and volatility spillover of short-term dynamic time-varying. Johansen co-integration test indicates that commodity housing prices of all the cities located in these 3 urban agglomerations show notable co-integration relationship. Empirical study through building DCC-MGARCH model shows that correlation coefficient and variance of the dynamic conditions of the commodity housing yield in the 3 urban agglomerations show notable time-varying characteristics, i.e., volatility spillover effects; the differentiations among commodity housing markets of Beijing, Tianjin and cities in Hebei are the most obvious, followed by Yangtze River Delta, and then Pearl River Delta; the implementation of Property Purchase Restriction Policies had insignificant influence on the volatility spillover effects in Beijing-Tianjin-Hebei and Yangtze River Delta urban agglomerations, while it had some negative influence on that of Pearl River Delta agglomeration. After exchanging three core cities of the 3 urban agglomerations to establish six reference groups, it is discovered that they all kept the long-term equilibrium relation, but the volatility spillover effect decreased significantly; after changing the non-core cites to establish 3 reference groups, it is discovered that the long-term equilibrium relation of the 3 were partially destroyed and the volatility spillover effect decreased significantly.

Key words: urban agglomeration, commodity housing, DCC-MGARCH, volatility spillover