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Asymmetric effects of monetary policy and output shocks on the real estate market in China

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  • Zhang, Xiaoyu
  • Pan, Fanghui

Abstract

The real estate market is essential for promoting economic growth, and it plays an important role in the transmission mechanism of monetary policy in China. In this study, we apply a smooth transition vector autoregression model to investigate the asymmetrical effects of monetary policy and output on the real estate market. The empirical results verify the effectiveness of the monetary policy based on the real estate market and the asymmetrical effects of monetary policy and output on the real estate market. In addition, the smaller response of the real estate market to output in a low-speed growth regime means that negative shocks (e.g., COVID-19) from output have weak effects on the real estate market. Finally, monetary policy has bigger positive effects on the real estate market in a low-speed growth regime; thus, quantitative easing monetary policy can effectively stimulate China's real estate market at present.

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  • Zhang, Xiaoyu & Pan, Fanghui, 2021. "Asymmetric effects of monetary policy and output shocks on the real estate market in China," Economic Modelling, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321001899
    DOI: 10.1016/j.econmod.2021.105600
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    Cited by:

    1. Dachen Sheng & Huijun Cheng & Minmin Yin, 2024. "Housing Developers’ Heterogeneous Decision-Making under Negative Shock after the High-Growth Era: Evidence from the Chinese Real Estate Economy," Mathematics, MDPI, vol. 12(12), pages 1-22, June.
    2. Mengkai Chen & Ting Chen & Debao Ruan & Xiaowei Wang, 2023. "Land Finance, Real Estate Market, and Local Government Debt Risk: Evidence from China," Land, MDPI, vol. 12(8), pages 1-18, August.
    3. Dongxue Wang & Yugang He, 2024. "The Mathematical Simulation of South Korea’s Financial and Economic Impacts from Real Estate Bubbles: Lessons from the China Evergrande Collapse," Mathematics, MDPI, vol. 12(19), pages 1-24, September.
    4. Diandian Ma & Benfu Lv & Xuerong Li & Xiuting Li & Shuqin Liu, 2023. "Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.

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    More about this item

    Keywords

    Real estate market; Monetary policy; Output; Asymmetric effects;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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