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北京大学国家发展研究院

宏观workshop:Monetary Policy, Hot Money and Housing Price Growth across Chinese Cities

发布日期：2017-03-28 11:47    来源：北京大学国家发展研究院

宏观经济学Workshop
 
时间：2017年3月28日下午13:30-15:30
地点：朗润园万众楼小教室
主持人：霍德明、王敏、赵波
主讲人：Tao Jin

Title: Monetary Policy, Hot Money and Housing Price Growth across Chinese Cities
                    By Xiaoyu Huang, Tao Jin, and Ji Zhang
Abstract:
We use a dynamic hierarchical factor model to identify the national, regional, and local factors of the city-level housing price growth in China from 2005 to 2014. We find that city-specific factors account for a large proportion of the variations in city-level housing price growth for most cities. However, the national factor also plays an important role in explaining the fluctuations of city-level housing price growth rates especially after 2009---the average explaining power of the national factor for housing price growth fluctuations reaches 18%. We use a VAR model to investigate the driving forces of the national factor and find that unexpected PBoC policy and hot money flow changes can affect the national housing prices significantly. A positive monetary policy shock has a significant negative impact on the national factor, which lasts for more than two years. Meanwhile, a positive hot money shock does cause a significant increase in the national factor. However, this effect is relatively transitory and reverses in half a year. Monetary policy also affects the national factor by responding positively to positive hot money and price shocks---the reversed effect of hot money shocks and the negative impact of positive price shocks on the national factor result from the tightening of monetary policy triggered by these shocks.

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