Reaction of Chinese housing prices to oil prices and monetary policy shocks

IF 9.3 2区经济学 Q1 ECONOMICS

Energy Policy Pub Date : 2024-12-31 DOI:10.1016/j.enpol.2024.114476

Bin Chen, Xingyi Zhu

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引用次数: 0

Abstract

This study investigated the dynamic effects of oil prices and monetary policy shocks on China’s housing prices. First, the dynamic effects of oil prices and monetary policy shocks are examined using a linear structural vector autoregression (SVAR) model. Taking into account the timing of the shocks, we used a rolling-windows structural vector autoregression (Rolling-SVAR) model to reveal the time-varying effects of oil shocks on housing price. Firstly, housing prices negatively respond to aggregate demand, oil-specific demand and policy rate shocks for most of the sample period, positively respond to oil supply shocks and domestic demand shocks. Secondly, their time-varying responses differ only in terms of magnitude, rather than a signal change. The magnitude reflects the time-varying dynamic characteristics, especially during the COVID-19 period. Thirdly, from the perspective of policy intensity, the adoption of quantity-based monetary policy is better than price-based monetary policy. Lastly, housing prices responded relatively weaker to oil prices and monetary policy shocks in the COVID-19 period than in most of the pre-COVID-19 periods. However, the magnitude of the response gradually recovered with COVID-19 reopening.

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来源期刊

Energy Policy 管理科学-环境科学

CiteScore

17.30

自引率

5.60%

发文量

540

审稿时长

7.9 months

期刊介绍： Energy policy is the manner in which a given entity (often governmental) has decided to address issues of energy development including energy conversion, distribution and use as well as reduction of greenhouse gas emissions in order to contribute to climate change mitigation. The attributes of energy policy may include legislation, international treaties, incentives to investment, guidelines for energy conservation, taxation and other public policy techniques. Energy policy is closely related to climate change policy because totalled worldwide the energy sector emits more greenhouse gas than other sectors.