Understanding Chinese provincial real estate investment: A Global VAR perspective

Publication Type:
Journal Article
Citation:
Economic Modelling, 2017, 67 pp. 248 - 260
Issue Date:
2017-12-01
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© 2016 Elsevier Ltd This article investigates the spatial interdependence within China's real estate industry, a sector assuming increasing importance in the national economy. The Global Vector Autoregressive (GVAR) model allows us to explicitly address the presence of spatial linkages, including spillover and backwash effects, without a stringent requirement on data. Applying the model to monthly Chinese provincial data for the first time we highlight clear advantages in forecasting and steady-state value prediction. We also demonstrate through the contemporaneous correlation coefficients a growing divide between the previously highly industrialized north and the rest of China. The insights provided by our empirical study have clear value to a wide range of audiences, including researchers, policy makers, and business investors.
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