Diffusion Of Urban House Price Fluctuation And Risk Spillover Effect In China

In recent years,housing price in some key cities in China have risen rapidly and fluctuated greatly.Housing price fluctuation is closely related to macro-economy.Housing price fluctuation not only affects wealth and consumption,but also affects economic growth and industrial upgrading,as well as financial risk.Housing price volatility diffusion is the focus of scholars’ research.The housing price to income ratio is too high,the household leverage ratio rises too fast,which aggravates the real estate risk.Risk prevention has also become the focus of the government,and has been listed as the first of the ‘three major battles’.In view of this,it is necessary to study the volatility diffusion and Risk Spillover Effect of urban housing price.It is of great theoretical and practical significance to comprehensively and thoroughly grasp the law of urban housing price fluctuation diffusion for promoting the sustainable and healthy development of the real estate market.Under the time-space framework,this study comprehensively studies the diffusion and Risk Spillover Effects of urban housing price fluctuation.Specifically,we investigate the characteristics of urban housing price volatility in time dimension,spatial vertical dimension and spatial horizontal dimension,and study the Risk Spillover Effect of urban housing price fluctuation in time-space dimension.Based on the research topic of this paper,this study makes a literature review.Throughout the domestic and foreign literature,there are still some deficiencies in the study of spatial diffusion and systemic risk of housing price volatility.Firstly,in terms of research methods,traditional linear measurement methods,such as unit root test and impulse response function,are mostly used,ignoring the complexity and nonlinearity of housing price operation.Secondly,most of the existing literatures verify the existing housing price diffusion characteristics such as ‘ripple effect’ and ‘spillover effect’ by using different cities and different data,and few literatures find new diffusion characteristics of housing price fluctuation.Thirdly,most of the existing literature analysis of housing price volatility diffusion is limited to ‘geographical proximity’,and few studies from the perspective of ‘economic neighbor’.Fourthly,the limitations of research focus.Previous literature focuses on the impact of housing price volatility risk spillover on macro-economy,financial system and local government,and lacks the analysis of spatial characteristics of Risk Spillover Effect of housing price fluctuation between cities.The main contents of this study are as follows: First of all,in the time dimension,this paper uses fractal theory to study the fluctuation of urban housing price.The fractal market theory develops the traditional effective market theory.Compared with the traditional effective market theory,the fractal market theory is more suitable for the actual operation of the market.R/S analysis is a very robust nonparametric statistical method in fractal theory.The fractal structure and state persistence of time series can be determined by Hurst index.The results show that: Firstly,China’s urban housing price volatility has a long memory.Once the housing price rises,it will continue to rise;once the housing price falls,it will also show a continuous decline.Secondly,there is a three-year cycle of urban housing price fluctuation in China.Thirdly,the higher the level of the city,the higher the effectiveness of the real estate market.The effectiveness of real estate market in the first tier cities is the highest,followed by the second tier cities,and the third tier cities are lower.Then,it studies the diffusion of urban housing price fluctuation.On the one hand,in the spatial vertical dimension,the paper analyzes the diffusion mechanism of housing price fluctuation by using the dual expectation supply and demand model,and studies the diffusion relationship of housing price fluctuation in first tier cities,second tier cities and third tier cities under the framework of linear-nonlinear Granger causality test.The results show that:firstly,there are hierarchical transmission characteristics in housing price fluctuation diffusion in China,and the volatility diffusion has directionality,which is transmitted from high-level cities to low-level cities.Secondly,there is no symmetry of hierarchy transmission,that is to say,housing price fluctuation in low-level cities can not cause price fluctuation in high-level cities.Thirdly,hierarchical transmission is a supplement to the existing ripple effect.The combination of hierarchy transmission and ripple effect can depict the phenomenon of housing price fluctuation diffusion more comprehensively.On the other hand,from the perspective of spatial level,social network analysis theory is applied to analyze the urban housing price fluctuation diffusion from mechanism and empirical analysis.It is found that the urban housing price fluctuation diffusion has the characteristics of economic neighborhood.The more similar the urban economic development level is,the stronger the linkage of housing price fluctuation is.Finally,this paper analyzes the mechanism of Risk Spillover Effect of housing price volatility,and applies DCC-GARCH-Co Va R model to empirical analysis.The results show that: firstly,the dynamic correlation of housing price fluctuation among cities is pro-cyclical,stronger in the prosperity of the market,weaker in the downturn of the market.Secondly,the spatial agglomeration characteristics exist in the volatility correlation and Risk Spillover of housing prices in various regions.The Pearl River Delta,Yangtze River Delta,Bohai rim and central China are one group,and the northeast,southwest and northwest are another group.Thirdly,urban risk and risk spillover are positively correlated with the fluctuation range of housing price.When the housing price fluctuates greatly(too fast to fall or too fast to rise),the risk and risk spillover are large,that is to say,when the housing price rises too fast or falls too fast,both of them are large.Fourthly,the spatial distribution of systemically important and vulnerable cities has obvious ladder characteristics.Conform to China’s economic development pattern,the first step is the eastern coast,the second step is the central region,and the third step is the western and northeast regions.The innovations of this study are as follows: Firstly,using the dual expectation model of supply and demand,and under the framework of linear-nonlinear Granger causality test,we find that the volatility diffusion of urban housing prices in China has the characteristics of hierarchical transmission,and the volatility diffusion has directionality,which is transmitted from high-level cities to low-level cities.Secondly,most of the existing literature studies on real estate volatility diffusion are from the perspective of geographical proximity.Based on the perspective of economic neighborhood,this study applies social network analysis theory to study the urban housing price volatility diffusion.It is found that the urban housing price volatility diffusion has the characteristics of economic neighborhood,and the city with similar economic development level has the stronger linkage of housing price fluctuation.Thirdly,there is little research on the spatial characteristics of the Risk Spillover Effect of inter city housing price fluctuation.This study studies the Risk Spillover Effect of inter city housing price fluctuation from the perspective of spatial heterogeneity,and finds that the dynamic correlation of housing price fluctuation between cities is procyclicality,the dynamic correlation and Risk Spillover of urban housing price fluctuation have spatial agglomeration characteristics,and the spatial distribution of the important cities and the vulnerable cities of the real estate system has obvious ladder characteristics.