RESEARCH
Working Papers
“The Impact of Macro-Prudential Policies on Chinese Housing Markets: A Panel VAR-X Approach” (Job Market Paper) [Link][Appendix][Slides]
This paper studies the impact of macro-prudential policy on regional Chinese housing markets. A structural panel VAR-X with time-varying parameters (TVPs) and stochastic volatilities (SVs) is estimated on real GDP, real loans, and real house prices across seven economic regions of mainland China from February 2005 to March 2013. The predetermined variable is one of two measures of Chinese macro-prudential policies. Canova and Ciccarelli (2007, ”Estimating multicountry VAR models,” International Economic Review, 50, 929-959) are the source of the Metropolis-within-Gibbs sampler used to estimate the panel VAR-X. My results show the dynamics of regional house price growth respond more to the housing demand shocks of other regions than to own regional shocks. The time-varying responses of regional house prices to regional housing demand shocks are lower in longer horizons during the 2007-2009 financial crisis compared with the rest of the sample. Unanticipated changes to macro-prudential policies have a larger impact on house prices than on real GDP and loans. Macro-prudential policies also appear to be less effective during the 2007-2009 financial crisis and 2011-2013.
Work in Progress
This paper studies the impact of monetary policy on eight regional housing markets in the U.S.. My focus is on the ability of monetary policy to stabilize the dynamics of the real economy, financial markets, and housing markets across the regions. A structural panel VAR-X with time-varying parameters (TVPs) and stochastic volatilities (SVs) is estimated on quarterly regional real personal income, real personal consumption expenditures, real loans, and real house prices across eight regions of the US from 1998Q2 to 2019Q3. Bayesian methods developed by Canova and Ciccarelli (2009, “Estimating multicountry VAR models,” International Economic Review, 50, 929-959) are used to estimate the TVP-SV panel VAR-X. The estimates show several meaningful results. This paper finds that the transmission of shocks among the sectors are different across regions, as well as cross-region transmission of real and financial sectors’ shocks to housing sectors. There are significant house price spillovers and the house price shocks from core regions are more influential to other regions. I also study the effectiveness and differences of monetary policy in stabilizing regional house prices by two sets of counterfactual analysis.
Publications
“The Dilemma and Countermeasure Proposals of Building the Asian Infrastructure Investment Bank”, with Xiaolan Zhang, Development Research, 03(2015), 39-43. ISSN: 1003-0670. [Link]
“The Influence of a Raising Consumption Tax in Japan and the Future of Japan’ s Economy”, with Xiaolan Zhang, China Economic Herald, 28 Feb. 2015, A02. CN 11-0233. [Link]
“The Prospect of Decentralized Virtual Currencies”, Economic Research Guide, 04(2015), 201-202. ISSN: 1673-291X. [Link]