Granger VECM VECM Keynes 1938 Roosevelt 1938 Wheaton & Wheaton 1972 Howenstine 1957 Gilbert & Gugler

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1 * Granger % GNP % % World Bank * qyzh@ ruc. edu. cn zheng@ cuhk. edu. hk 09&ZD027 67

2 Granger VECM VECM Keynes 1938 Roosevelt 1938 Wheaton & Wheaton 1972 Howenstine 1957 Gilbert & Gugler 1982 Wheaton & Wheaton

3 Arku Harris & Arku Boléat & Coles 1987 P GDP GDP Greenwood & Hercowitz GDP Green 1997 Coulson & Kim 2000 Wen 2001 GDP Granger Gauger & Snyder Green 1997 Coulson & Kim 2000 GDP Leamer 2007 Housing IS the Business Cycle GDP Ghent & Owyang Leamer 2007 GDP Kim 2002 Green 1997 GDP GDP Kim GDP Granger Nahm 2002 Greenwood & Hercowitz IMF 2008 Chapter 3 18 GDP 10% 69

4 GDP IMF 2008 Chapter 3 Walentin & Sellin 2010 Bulligan 2010 GDP Nesslein Liu et al Liu et al GDP GDP GDP 70 Chen et al. 2011

5 % 17. 2% % % 83% % GDP GDP DGDP HI DHI 1 1 GDP HI GDP HI DGDP DHI GDP HI GDP HI 2 GDP HI 1 GDP HI 2 DGDP DHI 1 71

6 Granger Maddala & Wu ADF p GDP HI DGDP DHI GDP HI I 1 2 GDP HI DGDP DHI p GDP HI I 1 Engle-Granger GDP HI 1 e 3 e GDP HI CI GDP i t = β i + α i HI i t + e i t e 1 e p Granger GDP HI CI 1 1 VAR 2 VECM 1 DGDP [ i t ] DHI i t = γ [ 1 ] e i γ2 t-1 + l j = 1 A 11 j A ( 12 j A 21 j A 22 ) j DHI i t-j DGDP [ i t-j ] [ ] + ε 1 i l 2 1 H1 0 HI GDP Granger DGDP DHI 0 γ H1 0 A 12 1 = = A 12 j = A 12 l = γ 1 = ε 2 i VECM RATS STATA

7 H2 0 GDP HI Granger H2 0 A 21 1 = = A 21 j = A 21 l = γ 2 = 0 l 1 6 F p 4 1 1% GDP HI Granger 4 Granger H1 0 H2 0 F p F p p AIC BIC l DGDP DGDP DHI DGDP 9 DHI 9 DHI DHI DGDP DHI DGDP DHI GDP HI Granger Granger GDP HI Granger 1 2 Engle-Granger 1 e e e GDP HI CI GDP HI I 1 73

8 5 e p p GDP HI e GDP HI CI GDP HI CI 1 1 GDP HI CI 1 1 Granger 2 GDP HI Granger 7 H1 0 HI GDP Granger H2 0 GDP HI Granger p

9 GDP HI Granger HI GDP Granger HI GDP Granger 7 Granger H10 H p 8 GDP HI Granger HI GDP Granger 2 HI GDP Granger HI GDP Granger 8 Granger H1 0 H p GDP HI Granger 9 GDP HI Granger 2 p 5% 5% H2 0 GDP HI Granger HI GDP Granger % H HI GDP Granger % H1 0 HI GDP Granger 1 GDP 1 75

10 HI Granger HI GDP Granger 9 Granger H10 H20 H10 H p 1998 GDP HI Granger GDP HI VECM L. DGDP L. DHI e L. DGDP L. DHI e DGDP *** *** DHI *** *** *** ** ** t ** *** 5% 1% 2 10 DHI DGDP L. DGDP DHI DGDP DGDP DHI DGDP DHI DGDP DHI 1998 DHI DGDP DGDP DHI 4 IRF CIRF DHI DGDP DHI DGDP DHI DGDP 8 DHI DGDP 0 DHI DGDP 0. 7 DHI DGDP 76

11 VECM Granger the housing-led growth hypothesis 90 Mills 1987 Taylor OECD Factbook GDP 3. 6% 4. 7% 5. 2% 5. 4% 5. 7% 5. 9% 6. 5% GDP 2. 6% 2. 8% 3. 2% 3. 3% 3. 7% GDP 8. 65% 1998 GDP % 30 77

12 20 90 IMF Arku G The Housing and Economic Development Debate Revisited Economic Significance of Housing in Developing Countries Journal of Housing and Built Environment Boléat M. and A. Coles 1987 The Mortgage Market Theory and Practice of Housing Finance London Allen & Unwin. Bulligan G Housing and the Macroeconomy The Italian Case in O. de Bandt et al. eds. Housing Markets in Europe A Macroeconomic Perspective Heidelberg Springer Chen J. G. Feng and A. Zhu 2011 The Housing-led Growth Hypothesis Revisited Evidence from the Chinese Provincial Panel Data Urban Studies Coulson N. and M. Kim 2000 Residential Investment Non-residential Investment and GDP Real Estate Economics Gauger J. and T. Snyder 2003 Residential Fixed Investment and the Macroeconomy Has Deregulation Altered Key Relationships Journal of Real Estate Finance and Economics Ghent A. and M. Owyang 2010 Is Housing the Business Cycle Evidence from US Cities Journal of Urban Economics Gilbert A. and J. Gugler 1982 Cities Poverty and Development Urbanization in the Third World New York Oxford University Press. Green R Follow the Leader How Changes in Residential and Non-residential Investment Predict Changes in GDP Real Estate Economics Greenwood J. and Z. Hercowitz 1991 The Allocation of Capital and Time over the Business Cycle Journal of Political Economy Harris R. and G. Arku 2007 The Rise of Housing in International Development The Effects of Economic Discourse Habitat International Howenstine E Appraising the Role of Housing in Economic Development International Labour Review

13 IMF 2008 World Economic Outlook Housing and the Business Cycle Washington D. C. Keynes J Letter of February 1 to Franklin Delano Roosevelt in The Collected Writings of John Maynard Keynes XXI Activities London Macmillan Kim K Housing and the Korean Economy Journal of Housing Economics Kim M A Comparative Study on Residential Investment and Nonresidential Investment in GDP Fluctuation 7th AsRES conference Seoul. Leamer E. Housing IS the Business Cycle NBER Working Paper Liu H. Y. Park and S. Zheng 2002 The Interaction between Housing Investment and Economic Growth in China International Real Estate Review Maddala G. and S. Wu 1999 A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test Oxford Bulletin of Economics and Statistics Mills E Has the United States Overinvested in Housing AREUEA Journal Nahm J Three Essays on Home Production and Business Cycles Ph. D. dissertation of University of California at Los Angeles. Nesslein T Housing Investment in Willem Vliet ed. The Encyclopedia of Housing Thousand Oaks Sage Roosevelt F Letter to John Maynard Keynes in The Collected Writings of John Maynard Keynes XXI Activities London Macmillan Taylor L Does the United States Still Overinvest in Housing Economic Review of Federal Reserve Bank of Dallas Walentin K. and P. Sellin 2010 Housing Collateral and the Monetary Transmission Mechanism Sveriges Riksbank Working Paper No Wen Y Residential Investment and Economic Growth Annals of Economics and Finance Wheaton W. and M. Wheaton 1972 Urban Housing in Economic Development in D. Dwyer ed. The City as a Centre of Change in Asia Hong Kong Hong Kong University Press World Bank 1992 China Implementation Options for Urban Housing Reform Washington D. C. Does Housing Investment Lead Economic Growth in China Zhang Qingyong a and Zheng Huanhuan b a School of Agricultural Economics and Rural Development Renmin University of China b Institute of Global Economics and Finance The Chinese University of Hong Kong Abstract Using Chinese provincial panel data from 1985 to 2009 this paper employs panel unit root tests panel cointegration method and VECM to analyze the lead-lag relationship between housing investment and economic growth in China. Empirical results show that there is a stable uni-directional Granger-causality between housing investment and GDP in China and the direction of Granger causality runs from GDP to housing investment no matter whether it is at the national level or at the sub-regional level no matter whether it is before or after the 1998 mass housing reform. These findings imply that The Housing-led Growth Hypothesis does not stand in China and the policies formulated and enforced by the government to promote housing investment as a tool of economic development since the mid-1990s should be re-evaluated. Key Words Housing Investment Economic Growth Lead-lag Relationship Granger Causality JEL Classification O49 O16 R30 79

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