Property prices and bank lending in China

被引：105

作者：

Liang, Qi ^{[1
,2
]}

Cao, Hua ^{[1
]}

机构：

[1] Nankai Univ, Sch Econ, Dept Finance, Tianjin 300071, Peoples R China

[2] Nankai Univ, Inst Japanese Studies, Tianjin 300071, Peoples R China

来源：

JOURNAL OF ASIAN ECONOMICS | 2007年 / 18卷 / 01期

关键词：

Property prices; Bank lending; ARDL; China;

D O I：

10.1016/j.asieco.2006.12.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the relationship between property prices and bank lending for the case of China over the period 1999Q1-2006Q2. Under a high dimensional autoregressive distributed lag (ARDL) framework with gross domestic product (GDP) and interest rate also being taken into account, we find that there exists unidirectional causality running from bank lending to property prices, and that the causality runs interactively through the error correction term from bank lending, GDP and interest rate to property prices. Our findings have important policy implications. (C) 2007 Elsevier Inc. All rights reserved.

引用

页码：63 / 75

页数：13

共 21 条

[1] [Anonymous], 1999, FED RESERV BANK KANS
[2] Banerjee A., 1993, COINTEGRATION ERROR
[3] COLLYNS C, 2001, 0220 IMF
[4] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING
ENGLE, RF
GRANGER, CWJ
[J]. ECONOMETRICA, 1987, 55 (02) : 251 - 276
[5] Bank lending and property prices in Hong Kong
Gerlach, S
Pen, WS
[J]. JOURNAL OF BANKING & FINANCE, 2005, 29 (02) : 461 - 481
[6] 5 ALTERNATIVE METHODS OF ESTIMATING LONG-RUN EQUILIBRIUM RELATIONSHIPS
GONZALO, J
[J]. JOURNAL OF ECONOMETRICS, 1994, 60 (1-2) : 203 - 233
[7] Granger C. W. J., 2000, Q REV ECON FINANC, V40, P337, DOI DOI 10.1016/S1062-9769(00)00042-9
[8] Harris R., 1995, USING COINTEGRATION
[9] Hofmann B., 2003, 22 HONG KONG I MON R
[10] ESTIMATION AND HYPOTHESIS-TESTING OF COINTEGRATION VECTORS IN GAUSSIAN VECTOR AUTOREGRESSIVE MODELS
JOHANSEN, S
[J]. ECONOMETRICA, 1991, 59 (06) : 1551 - 1580

← 1 2 3 →