중국 70개 도시의 주택 가격 지수의 전이 효과와 지역 연계성

The Volatility Spillover Effects and Regional Connectedness of Housing Price Indices of 70 Cities in China

Purpose - This study examines the volatility spillover effects and regional connectedness of housing price indices in 70 major Chinese cities. It explores how price fluctuations spread across different city and how macroeconomic policies and regulatory adjustments influence market dynamics. By analyzing these transmission effects, the study provides insights to support targeted housing policies and regional market stability. Design/methodology/approach - Using data from 2011 to 2024, this study applies the Diebold-Yilmaz volatility spillover index and a vector autoregressive (VAR) model to quantify housing price return volatility transmission. Forecast error variance decomposition is used to measure intercity spillovers, while Gephi network analysis visualizes market connectivity. The study also examines the impact of key macroeconomic variables, including monetary supply and interest rates, on price fluctuations. Findings - Results indicate that first-tier cities act as price stabilizers with limited direct spillover effects, while second-tier cities serve as key intermediaries, transmitting price changes between firstand third-tier cities. Third-tier cities are most dependent on external market signals and highly sensitive to monetary policy adjustments, with spillover effects weakening during policy tightening and rebounding with easing. Additionally, economic policy shifts significantly alter market connectivity and the pace of price transmissions. Research implications or Originality - This study systematically analyzes housing price return volatility transmission across multiple city markets, offering a broader perspective than previous research focused on single markets. By integrating the Diebold-Yilmaz index with the VAR model, it captures both long- and short-term dynamics. The findings highlight the need for differentiated regional housing policies, particularly addressing second-tier cities’ role in price transmission to enhance overall market stability.