Analysis on Factors of SSE Real Estate Indez ——An Empirical Study Based on VAR Model

摘要：

This paper selected the Shanghai Stock Exchange(SSE) real estate index, the SSE Composite Index, Consumer Price Index-Residence(CPI-R) and the Real Estate Climate Index data as a research object, between 2001-2008, and establish its VAR model to do empirical analysis, using Granger causality test and variance decomposition methods. The result shows that: there is Granger Causality relationship between SSE Real Estate Index and CPI-R, and the SSE Composite Index is helpful to explain the SSE Real Estate Index. The empirical results mainly illustrate there is a definite transmission relationship between the capital market and the real estate market.

关键词： SSE Real Estate Indez VAR Model Granger Causality Test Consumer Price Indez-Residence Variance Decomposition

作者: LIU Dehong LI Tao MA Xiaoxian

作者单位: School of Economics and Management, Beijing Jiaotong University, Beijing, 100044, P.R. China

会议类型: 国际会议

会议名称: The Ninth Wuhan International Conference on E-Business(第九届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 1126-1131

在线出版日期: 2010-05-29（万方平台首次上网日期，不代表论文的发表时间）