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Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles

Published online by Cambridge University Press:  26 March 2020

Xi Chen  and
Michael Funke
Xi Chen*
Affiliation:
Hamburg University, Department of Economics
Michael Funke*
Affiliation:
Michael Funke, Hamburg University, Department of Economics and CESifo, Munich University
*
E-mail: xi.chen@wiso.uni-hamburg.de.
E-mail: michael.funke@uni-hamburg.de.
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Abstract

The recent increase in Chinese house prices has led to concerns that China is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to spot the beginning and the end of potential speculative bubbles in Chinese house price cycles. Overall, we find that except for 2009–10 actual house prices are not significantly disconnected from fundamentals. Thus, the evidence for speculative house price bubbles in China is in general weak.

Keywords

House pricesChinaspeculative bubblesrecursive unit root testsC15G01G12R31
Type
Research Articles
Information
National Institute Economic Review , Volume 223 , February 2013 , pp. R39 - R48
Copyright
Copyright © 2013 National Institute of Economic and Social Research

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Footnotes

A previous version of the paper has been published as Bank of Finland BOFIT Discussion Paper No. 27–2012. The views expressed in the paper are those of the authors and do not necessarily reflect the views of the Bank of Finland.

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