• DocumentCode
    2615035
  • Title

    Empirical study of the correlation between real estate prices and bank loans based on VAR model

  • Author

    Tan, Zheng ; Qin, Zheng

  • Author_Institution
    Sch. of Inf. Manage. & Eng., Shanghai Univ. of Finance & Econ., Shanghai, China
  • fYear
    2011
  • fDate
    27-29 June 2011
  • Firstpage
    2212
  • Lastpage
    2217
  • Abstract
    This paper theoretically analyzes the relationship between Chinese real estate prices and bank loans, then based on quarterly data of the Chinese calendar year, conducts empirical test on the interaction through the vector auto-regression model (VAR), and gives the quantitative description about the relationship through co-integration test, as well as the contribution rate of one party to another through impulse response function and variance decomposition. At last according to the results of empirical analysis, we give the policy suggestions and comments.
  • Keywords
    banking; pricing; property market; regression analysis; transient response; Chinese calendar year; Chinese real estate price; VAR model; bank loan; cointegration test; impulse response function; variance decomposition; vector autoregression model; Analytical models; Economic indicators; Fluctuations; Mathematical model; Reactive power; Time series analysis; VAR; bank loans; co-integration test; real estate prices; variance decomposition;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computer Science and Service System (CSSS), 2011 International Conference on
  • Conference_Location
    Nanjing
  • Print_ISBN
    978-1-4244-9762-1
  • Type

    conf

  • DOI
    10.1109/CSSS.2011.5974398
  • Filename
    5974398