Contemporaneous causality among office property prices of major Chinese cities with vector error correction modeling and directed acyclic graphs

Abstract

Purpose This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021. Design/methodology/approach Using monthly data, the authors adopt vector error correction modeling and the directed acyclic graph for the characterization of contemporaneous causality among the 10 indices. Findings The PC algorithm identifies the causal pattern, and the linear non-Gaussian acyclic model algorithm further determines the causal path from which we perform innovation accounting analysis. Sophisticated price dynamics are found in price adjustment processes following price shocks, which are generally dominated by the top tier of cities. Originality/value This suggests that policies on office property prices, in the long run, might need to be planned with particular attention paid to the top tier of cities.

Contemporaneous causality among price indices of ten major steel products

“…In this situation, one might make use of the directed acyclic graph (DAG) to orthogonalise the covariances of contemporaneous innovations. The DAG is essentially a data-driven method that might make it easier to analyse innovation accounting 26,27 among a wide range of economic factors [e.g. Haigh and Bessler, 28 Xu and Zhang, 29 Chopra and Bessler, 30 Xu and Zhang, 31 Ciarli et al, 32 Xu and Zhang, 33 and Coad and Grassano 34 ].…”

Wholesale price forecasts of green grams using the neural network

“…For commodity price forecasts in the resource and agricultural sectors, a great deal of effort has gone into creating accurate and dependable model performance using time-series econometric techniques (Kling and Bessler, 1985;Jin and Xu, 2024c;Xu and Zhang, 2023e;Bessler, 1982;Xu and Thurman, 2015a;Brandt and Bessler, 1981;Xu and Zhang, 2024a;Bessler and Chamberlain, 1988;Xu and Zhang, 2023t;McIntosh and Bessler, 1988;Xu and Zhang, 2023h;Bessler and Brandt, 1981;Xu and Zhang, 2023m;Bessler, 1990;Bessler and Babula, 1987;Bessler, 1982, 1984;Xu, 2015a;Brandt and Bessler, 1983;Yang et al, 2001;Bessler et al, 2003;Bessler and Brandt, 1992;Bessler and Hopkins, 1986;Chen and Bessler, 1990;Wang and Bessler, 2004;Chen and Bessler, 1987;Bessler and Kling, 1986;Babula et al, 2004;Xu, 2014b;Awokuse and Yang, 2003;Yang and Awokuse, 2003;Jin and Xu, 2024d;Yang and Leatham, 1998;Yang et al, 2021;Jin and Xu, 2024a;Kumar, 2019;Dongo, 2007;Jin and Xu, 2024e;De Silva and Herath, 2016;Pani et al, 2019;…”