TY - JOUR
T1 - Demand shocks and price stickiness in housing market dynamics
AU - Fan, Ying
N1 - Funding Information:
We would like to thank the Editor, Associate Editor, and anonymous reviewers for their helpful comments. We would also like to thank Yidi Wang for excellent research assistance. We acknowledge the valuable suggestions and help from Professor Zan Yang of Tsinghua University and the support from the National Natural Science Foundation of China [Grant Number 71673154 ].
Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2022/5
Y1 - 2022/5
N2 - The current study establishes a dynamic stochastic general equilibrium model with sticky housing prices and compares the heterogeneous macro effects of exogenous uncertainty shocks on housing market dynamics in China. Based on Bayesian estimation, the findings indicate that 1) intertemporal/intratemporal preference and liquidity constraint shocks significantly affect housing market dynamics through different channels; 2) macro effects of demand shocks exhibit frequency-domain dependence, thereby suggesting the crucial role of stickiness; and 3) housing price stickiness significantly exacerbates fluctuation and postpones the convergence of housing markets under demand shocks, particularly in the post-crisis period; additionally, it asserts an asymmetric effect in booming and cooling markets. Furthermore, the counterfactual analysis provides policy suggestions to correct the housing market dynamics associated with demand shocks and price stickiness.
AB - The current study establishes a dynamic stochastic general equilibrium model with sticky housing prices and compares the heterogeneous macro effects of exogenous uncertainty shocks on housing market dynamics in China. Based on Bayesian estimation, the findings indicate that 1) intertemporal/intratemporal preference and liquidity constraint shocks significantly affect housing market dynamics through different channels; 2) macro effects of demand shocks exhibit frequency-domain dependence, thereby suggesting the crucial role of stickiness; and 3) housing price stickiness significantly exacerbates fluctuation and postpones the convergence of housing markets under demand shocks, particularly in the post-crisis period; additionally, it asserts an asymmetric effect in booming and cooling markets. Furthermore, the counterfactual analysis provides policy suggestions to correct the housing market dynamics associated with demand shocks and price stickiness.
KW - China
KW - Demand shock
KW - Frequency dependence
KW - Sticky housing price
UR - http://www.scopus.com/inward/record.url?scp=85126823564&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2022.105820
DO - 10.1016/j.econmod.2022.105820
M3 - Journal article
AN - SCOPUS:85126823564
SN - 0264-9993
VL - 110
JO - Economic Modelling
JF - Economic Modelling
M1 - 105820
ER -