Dynamic Relationships among Composite Property Prices of Major Chinese Cities: Contemporaneous Causality through Vector Error Corrections and Directed Acyclic Graphs

نویسندگان

چکیده

The present study is the first one that investigates dynamic relations among composite real estate price indices of ten different cities in China during years from 2005 to 2021. Utilizing data recorded on a monthly basis, we apply VECM (vector error-correction modeling) and DAGs (directed acyclic graphs) order characterize contemporaneous causal indices. We use PC algorithm identify pattern with non-directed edges LiNGAM determine ordering, based which calculate results innovation accounting. adopted here effectively utilizes non-normality for facilitating arrival complete orderings. Our show dynamics revealed through processes adjustments due shocks prices are rather sophisticated such are, general, dominated by Shanghai Shenzhen, two top-tier four China. This indicates policy design property should be focusing Shenzhen.

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ژورنال

عنوان ژورنال: Malaysian journal of real estate

سال: 2023

ISSN: ['2231-7643', '1823-8505']

DOI: https://doi.org/10.11113/intrest.v17n1.294