Journal
ECONOMICS OF TRANSITION
Volume 24, Issue 2, Pages 361-389Publisher
WILEY
DOI: 10.1111/ecot.12093
Keywords
Sup ADF test; generalized sup ADF test; multiple bubbles; real estate market; China
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Funding
- Beijing Social Science Fund project [15JDJGC081]
- Fundamental Research Funds for the Central University [2015RC062]
- Beijing Joint Construction project
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In this paper, we developed the recursive unit root tests to identify the beginning and end of potential speculative bubbles in the Chinese housing price cycles during 2006-2013 for the 70 major cities of China. The method is best suited for a practical implementation with a time series and delivers a consistent date-stamping strategy for the origination and termination of multiple bubbles. Simulations demonstrate that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. Overall, the results indicate that the speculative housing price bubbles in China are not bursting, and they indicate that the stationarity of the housing price level varies across the different city sizes. Between the cities, approximately one-fourth of the bubbles have burst up to December 2013, while the first-tier city bubble may not burst due to the urbanization process.
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