Low‐ frequency versus high‐frequency housing price spillovers in China

Jian Yang, Zheng Li, Ziliang Yu
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Abstract

Applying a novel high‐dimensional frequency‐domain‐based spillover index approach, this paper explores low‐frequency versus high‐frequency housing price spillovers among 70 Chinese cities. Intensive interactions among these cities were dominated by high‐frequency spillovers around the end of 2015, while low‐frequency spillovers have dominated since 2016. This coincided with dramatic changes in government policies, particularly the abolition of the ‘one‐child’ policy. Furthermore, city‐level economic factors were the primarily significant determinants of high‐frequency housing price spillovers within several months, while education was a major determinant of low‐frequency housing price spillovers in China, which was consistent with the distinction between work‐based and education‐based migration in China.
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中国的低频与高频房价溢出效应
本文运用一种新颖的基于高维频域的溢出指数方法,探讨了中国70个城市之间低频与高频的房价溢出效应。这些城市之间的密集互动在 2015 年底左右以高频溢出效应为主,而自 2016 年以来则以低频溢出效应为主。这与政府政策的巨大变化相吻合,尤其是 "独生子女 "政策的取消。此外,城市层面的经济因素是几个月内高频房价溢出效应的主要决定因素,而教育则是中国低频房价溢出效应的主要决定因素,这与中国基于工作和基于教育的移民之间的区别是一致的。
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