Author:
Xu Yan,Ma Yuanting,Zhu Zhengke,Li Jun,Lu Tom
Abstract
In this paper, a novel early warning system that has usually been applied to predict the financial stress events is established to predict the likelihood of housing price crises in China. To achieve this goal, a signal extraction approach is used to monitor the evolution of a number of economic indicators that tend to exhibit the abnormal behaviors. 13 economic variables were selected as the individual indicators, and constructed as the four comprehensive indicators. Our empirical work shows that the early warning system for urban housing price crises is suitable for China’s four province-level municipalities. The in-sample forecasting results indicate the reliability of the early warning system for urban housing price crises. By studying the out-of-sample forecasting results, the likelihood of housing price crises for the four cities can be effectively predicted. We construct a novel weighted average comprehensive indicator, which performs better than the three others in terms of overall performance across all of the criteria considered in. It is shown that the extended system is more flexible in decision making than the traditional early warning system.
Funder
National Natural Science Foundation of China
Scientific Research Project of Liaoning Province
Project of Dongbei University of Finance and Economics
Publisher
Public Library of Science (PLoS)
Reference23 articles.
1. Comparing early warning systems for banking crises;E. P. Davis;Journal of Financial stability,2008
2. Early warning indicators for asset price booms;D. Gerdesmeier;Review of Economics and Finance,2011
3. The long cycle in real estate;R. Kaiser;Journal of Real Estate Research,1997
4. A system for early-warning and forecasting of real estate development;F. Huang;Automation in construction,2005
5. Booms and busts in housing markets: Determinants and implications;L. Agnello;Journal of Housing Economics,2011
Cited by
3 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献