Date of Degree


Document Type


Degree Name





Chu-Ping Vijverberg

Committee Members

Wim Vijverberg

Chun Wang

Subject Categories

Econometrics | Macroeconomics | Regional Economics


uncertainty, housing market, China, regional


This dissertation consists of three chapters that covers topics in macroeconomics.

Chapter 1. Literature Survey of China’s Housing Market and Macroeconomic Uncertainty is a survey of the literature on the history and development of China’s housing market, its unique characteristics, the driving forces behind rising housing prices, and the empirical interactions among housing market, economic uncertainty and the macroeconomy in China.

Chapter 2. The Spatial Correlation of Regional Housing Prices and Economic Uncertainty in China

Rapid real estate development and house price growth in China have garnered significant attention in academia and policy circles. Investigation into highly differentiated but interrelated regional housing markets instead of a single national market would be more appropriate in the case of China. This study provides an empirical analysis of the regional housing price dynamics from a perspective that takes into account spatial correlation and macroeconomic uncertainty. Using province-level data on housing prices and their potential determinants, this paper estimates the spatial interrelationship among provincial housing prices. The results of the spatial panel analysis illustrate the significance of spatial correlation in neighboring provinces. Moreover, macroeconomic uncertainty has significant negative effects on regional housing markets, while the influence of consumer confidence is positive and significant in the spatial error model.

Chapter 3. Economic Uncertainty and Housing Market Dynamics of China in a Data-rich Environment

This chapter evaluates the impact of uncertainty shocks on China’s housing market from two different perspectives. First, a FAVAR model proposed by Bernanke et al.(2005) is used to assess the role of policy uncertainty shocks on the housing market dynamics in terms of housing prices and real estate investments. Empirical results show that the policy uncertainty has a negative impact on economic activity and housing market dynamics, and it leads to a drop in stock return and overall housing price. Besides, the impacts on housing price show differential patterns across different provinces and different regions. The variance decomposition results further confirm that uncertainty shocks have different power in explaining variations in provincial and regional housing market fluctuations. Second, a diffusion index model is employed to forecast key provincial housing price growth. Factors extracted from all provincial housing price growth have moderate predictability in forecasting individual provincial housing price.