The Interrelationship And Spatial Spillover Effect Of Housing Price And Liquidity

As a pillar industry of the national economy,real estate affects the healthy development of other industries and is fundamental to the national economy.Based on the GVAR model,this paper studies the interaction and spatial spillover effect between price and liquidity of real estate market,with a monthly panel data set of the growth rate of real estate price and liquidity in 32 cities in China,ranging from January 2012 to September 2018.The data from both the new residential and second-hand housing markets are included,with housing market liquidity proxied by the size of sales area.By analyzing the general impulse response function and general forecast error variance decomposition,the paper concludes that:first,there exists interaction between real estate price growth and liquidity growth,and generally,price growth has a larger impact on liquidity growth than the other way around.Second,the increase on liquidity growth will accelerate housing price hiking in the short term,therefore,reducing market liquidity growth is an effective way to curb excessive housing price increases.Third,a significant spatial spillover effect of both the price growth and liquidity growth is recorded in eastern,middle and western regions,among which,the eastern cities have largest spillover effects.In a comparison between the new residentials and second-hand houses,we find that the rapid rise in the price of the former will drive up the price of the latter.Finally we find that the loan interest rate,as a global variable of GVAR,has a significant negative impact on the growth rate of housing prices,with the largest impact on eastern cities.The growth rate of money supply,which is the other global variable,has a positive impact on housing prices in eastern while a negative impact on the central and western cities.This paper has the following policy implications:when regulating the real estate market,we should take into account the effect of liquidity,as well as the spatial spillover effects of the real estate market in the eastern,central and western regions.A special attention should be paid to the regionally heterogeneous reaction of house price and liquidity to policy variables.A suitable chosen of policy combinations is needed to promote the healthy development of the real estate market.