scholarly journals Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

2015 ◽  
Author(s):  
Joshua C. C. Chan
Keyword(s):  
Stochastic Volatility ◽  
Time Varying ◽  
Specification Tests ◽  
Time Varying Parameter

scholarly journals Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 11 (4) ◽  
pp. 90 ◽  
Author(s):  
Xie He ◽  
Xiao-Jing Cai ◽  
Shigeyuki Hamori
Keyword(s):  
Stochastic Volatility ◽  
Housing Prices ◽  
Bank Credit ◽  
Var Model ◽  
Supply Side ◽  
Time Varying ◽  
Demand Side ◽  
Credit System ◽  
Dynamic Relationship ◽  
Time Varying Parameter

Housing prices in China have been rising rapidly in recent years, which is a cause for concern for China’s housing market. Does bank credit influence housing prices? If so, how? Will the housing prices affect the bank credit system if the market collapses? We aim to study the dynamic relationship between housing prices and bank credit in China from the second quarter of 2005 to the fourth quarter of 2017 by using a time-varying parameter vector autoregression (VAR) model with stochastic volatility. Furthermore, we study the relationships between housing prices and housing loans on the demand side and real estate development loans on the supply side, separately. Finally, we obtain several findings. First, the relationship between housing prices and bank credit shows significant time-varying features; second, the mutual effects of housing prices and bank credit vary between the demand side and supply side; third, influences of housing prices on all kinds of bank credit are stronger than influences in the opposite direction.

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