Chinas Real Estate Price Volatility Clustering and Its Determinants

摘要：

In China, housing price volatility increases dramatically. This study utilizes monthly data of 10 major cities in China from 2002:Ml to 2009:M12. An EGARCH model and its extended model are employed to investigate the volatility of housing price series and its determinants. The results reveal that the volatility clustering effects (ARCH effects) are found in 4 major cities. At the same time, Asymmetric effects are found in shanghai and Shenzhen. Inflation and RMB appreciation expectation appear as the determinants of housing price volatility, followed by real estate investment, while interest rate as monetary policy tool has the least impact.

关键词： EGARCH volatility clustering ARCH effects asymmetric effect

作者: TANG Lichun YANG Jiawen

作者单位: College of Business Administration, South China University of Technology, P.R.China, 510640

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 672-676

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）