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https://hdl.handle.net/20.500.14094/90005542
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2024-04-27
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90005542 (fulltext)
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メタデータID
90005542
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open access
出版タイプ
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タイトル
Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility
著者
He, Xie ; Cai, Xiao-Jing ; Hamori, Shigeyuki
著者名
He, Xie
著者名
Cai, Xiao-Jing
著者ID
A0631
研究者ID
1000060189628
KUID
https://kuid-rm-web.ofc.kobe-u.ac.jp/search/detail?systemId=10c57f53b0ed7463520e17560c007669
著者名
Hamori, Shigeyuki
羽森, 茂之
ハモリ, シゲユキ
所属機関名
経済学研究科
収録物名
Journal of Risk and Financial Management
巻(号)
11(4)
ページ
90-90
出版者
MDPI
刊行日
2018-12
公開日
2019-01-28
抄録
Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China's housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic relationship between housing prices and bank credit in China from the second quarter of 2005 to the fourth quarter of 2017 by using a time-varying parameter vector autoregression (VAR) model with stochastic volatility. Furthermore, we study the relationships between housing prices and housing loans on the demand side and real estate development loans on the supply side, separately. Finally, we obtain several findings. First, the relationship between housing prices and bank credit shows significant time-varying features; second, the mutual effects of housing prices and bank credit vary between the demand side and supply side; third, influences of housing prices on all kinds of bank credit are stronger than influences in the opposite direction.
キーワード
housing price
bank credit
housing loans
real estate development loans
TVP-VAR model
カテゴリ
経済学研究科
学術雑誌論文
権利
© 2018 by the authors. Licensee MDPI, Basel, Switzerland.
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
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資源タイプ
journal article
言語
English (英語)
ISSN
1911-8066
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eISSN
1911-8074
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関連情報
DOI
https://doi.org/10.3390/jrfm11040090
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