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Dependent Structures of Urban Housing Markets Under Excessive Boom：Evidence from Three Main Economic Circles of China

To examine the interdependence of Chinese housing markets, the present research attempts to develop regular vine copula models to capture the dependence structures of city-level housing price returns of three main economic circles in the country. Our results show that multiple tail dependence structures, including unconditional and conditional, co-existed among the housing markets. Of these structures, asymmetric conditional tail dependence existed among most of the housing markets within their respective economic circles. The contagion of housing market turmoil is revealed to expand from central cities to their surrounding cities, while the contagious effect is also found to alternately diffuse across the major housing markets within their respective metropolitan areas.