Analyzing housing price volatility in Shanghai

Author

Huang Zhong-hua ; Wu Ci-fang ; Du Xue-jun

Author_Institution

Coll. of Public Adm., Zhejiang Univ.

fYear

2008

fDate

10-12 Sept. 2008

Firstpage

1680

Lastpage

1686

Abstract

The purpose of this study was to explore the volatility of housing price in Shanghai. Past housing price growth, interest rate, and exchange rate growth were found out as the main factors to influence housing price growth. GARCH model and its expanded model, EGARCH and TGARCH, were employed. The main econometric results showed that: firstly, these explanatory variables could explain 70% variation of housing price growth; secondly, interest rate had negative impact on housing price growth, while past housing price growth and exchange rate growth had a positive effect; thirdly, unsymmetrical shock was tested to be existed, which showed that the response of housing price growth to positive shock was larger than to negative one; fourthly, macro control put forward since April 2005 did dampen the housing price growth of Shanghai in last half of 2005.

Keywords

econometrics; economic indicators; exchange rates; pricing; EGARCH; Shanghai; TGARCH; econometric; exchange rate growth; housing price volatility analysis; interest rate; Cities and towns; Conference management; Econometrics; Economic forecasting; Economic indicators; Electric shock; Engineering management; Exchange rates; Investments; Time series analysis; GARCH; Shanghai; housing price growth; interest rate; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2008. ICMSE 2008. 15th Annual Conference Proceedings., International Conference on

Conference_Location

Long Beach, CA

Print_ISBN

978-1-4244-2387-3

Electronic_ISBN

978-1-4244-2388-0

Type

conf

DOI

10.1109/ICMSE.2008.4669131

Filename

4669131