Study Of Influence Factors And Volatility Characteristic On Chinese Residental Price

The residential price is influenced by many factors of different markets including land market, housing market, rent market and so on. The theoretical and empirical studies are mainly focus on researching the houing price formation mechanism from single market and neglecting the study of the housing price volatility, the volatility influencing factor and volatility transmission. Therefore this paper mainly study the residential price formation mechanism including multi-aspect influencing factor of residential price, influencing factor of price volatility and the price volatility transmission.Firstly, this paper studies the dynamic relationship between housing and land price in the Chinese real estate market. Using a cointegration and error correction model framework, the empirical results show that both the housing and land markets are more informationally-efficient after the adoption of a new land grant system, as they both respond to market disequilibria more quickly than before. We also find that there exists long-run bidirectional Granger causality between housing prices and land prices after the adoption of a new land grant system.Secondly, according to the formation mechanism of housing price, this paper presented Chinese housing multi-aspect factors theoretical model and desiged the emprirical model. The empirical results show that the main long-factors of housing price are income, housing demand, housing supply, bank loan, land supply land development and land price. The main short-term factors are housing demand, land supply and land development. At the same time, Chinese housing market is non-balanced, different regional housing price has different factors under some common factors, the influencing degree and the long-run correction rate to the market disparity of regional market are also different.Finally, this paper provides the study to examine the characteristic and influencing factor of Chinese housing price fluctuations, and the transmission of information and price discovery between Chinese forward and spot housing market though Granger causality, univariate GARCH and bivariate BEKK-GARCH model. The results show that there are GARCH effects and volatility clustering effects and volatility asymmetric effects in Chinese housing market; the main influencing factors of housing price volatility are housing demand, housing supply, bank load, housing vacancy rate and the housing price changes; the volatility of the spot market was more sensitive to shocks than the forward market. Moreover, information was mainly transmitted from the spot market to the forward market, but not vice versa. The main function of Chinese pre-sale mechanism is financing and without the price discovery which are popular with in the forward market.