Time-Varying Effects of Monetary Policy on House Prices in China: Evidence from 2008 to 2025 with the TVP-VAR Approach

Jiannan Zhu; Asyraf Bin Abdul Halim

doi:10.2478/jcbtp-2026-0029

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Time-Varying Effects of Monetary Policy on House Prices in China: Evidence from 2008 to 2025 with the TVP-VAR Approach

Journal of Central Banking Theory and Practice

Volume 15 (2026): Issue 3 (September 2026)

By: Jiannan Zhu and Asyraf Bin Abdul Halim

Open Access

|Aug 2026

Abstract

This paper investigates the dynamic and nonlinear effects of monetary policy on house prices in China from 2008 to 2025. Utilizing a Bayesian Time-Varying Parameter Vector Autoregression (TVPVAR) model with stochastic volatility, we estimate the evolution of policy transmission in terms of shock magnitude and time-lag. By conducting 20,000 MCMC simulations, the study identifies significant structural shifts in the transmission mechanism. The results show that while the stimulative effect of targeted housing credit expansion was dominant during the 2009 and 2016 cycles, its marginal effectiveness has diminished toward historical lows in the 2023–2025 period. Simultaneously, the inhibitory effect of interest rate hikes has become increasingly shallow, suggesting severe balance sheet constraints and weak expectations in the current housing market rather than a classic “liquidity trap.” The inclusion of stochastic volatility underscores the role of market uncertainty in dampening the efficiency of traditional policy instruments.

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Articles in this issue

DOI: https://doi.org/10.2478/jcbtp-2026-0029 | Journal eISSN: 2336-9205

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Language: English

Page range: 289 - 309

Submitted on: Feb 25, 2026

Accepted on: Jun 16, 2026

Published on: Aug 27, 2026

Published by: Central Bank of Montenegro

In partnership with: Paradigm Publishing Services

Keywords:

JEL:

E52,

E58,

R31

Related subjects:

Business and economics,

Business management,

Business management, other

© 2026 Jiannan Zhu, Asyraf Bin Abdul Halim, published by Central Bank of Montenegro
This work is licensed under the Creative Commons Attribution 4.0 License.

Volume 15 (2026): Issue 3 (September 2026)