Volatility Of Real Estate:Analysis Based On Behavioral Finance And External Shock Effect

International experience shows that the real estate market financial attributes will increase the real estate price fluctuations.Shoot up in front of the real estate prices plunge,traditional asset pricing model of effective market premise lose explanatory power,behavioral finance theory.In fact,behavioral economics research has been recognized by the height of the mainstream economics.Since Simon was awarded the Nobel Prize in economics in 1978,more behavioural economists such as Akerlof,Kahneman,Diamond,Shiller et al have successively won the title.Among them,professor shiller to the idea of "irrational exuberance",highly abstracts the behavioral finance of the real estate market phenomenon.Look around at present,China real estate market reform since 1994,the whole market is booming.Commodity house average sales price 2112 yuan/square meters to 2012 from 2000 5790 yuan/square meters,real estate development enterprises increased from 2000 in 2000 to 8.99 in 2012.Nots allow to ignore is,however,the real estate market is a typical dual attribute,the set of real economy and virtual economy as a whole.Therefore,"prosperity" hidden is not rational elements?This is especially an issue.On the basis of literature review and the analysis of mechanism,in this paper,the integrated use of a variety of theoretical analysis and quantitative analysis methods,from the perspective of behavioral finance investigates the China's real estate price fluctuation characteristics,and tries to answer the five questions:(1)the inertia effect of real estate prices;(2)the reversal effect of real estate prices;(3)information impact effect of real estate prices;(4)tighten monetary effect of real estate prices;(5)the expected effect of real estate prices,etc.This paper first analyzes the existing literature,on this basis,the concept of behavioral finance,real estate industry type to carry on the analysis.Pointed out at the same time,the complete information,perfectly rational,fully homogeneous traditional new classical theory of efficient market hypothesis cannot explain abnormal fluctuations in the price of financial markets,on the contrary,on the premise of bounded rationality and heterogeneous expectations,effective theory of behavioral finance as answer market vision tools.Then,on the basis of mechanism analysis,thispaper respectively from inertial effect,the reversal effect,the information impact effect,monetary tightening effect and expected effect in five aspects,such as,describes the present stage in China's real estate price fluctuation characteristics of behavioral finance,to real estate market expectations of flexible management,classification management thoughts provide a theoretical basis.Inertia effect of the original property prices run trend of strengthening and deepening,also is important after the bursting of the housing bubble acceleration formation or motivation.Found based on the results of price decomposition model,this paper is a typical inertial effect,China's real estate price fluctuations in those high rises in 1 months within a set of most of the city,still can be in after 12 months continue to increase high,at the end of the proportion is about 70%.2 is a state of regional heterogeneity and heterogeneity,among them,the eastern region of the inertial effect is significantly higher than the Midwest,the inertia effect of increase is significantly higher than down state.Reversal effect of real estate price trend reversal operation,even break the macroeconomic stability.From the psychological level,the reversal effect due to excessive reaction,reaction of market information is insufficient and loss aversion.Technically speaking,reversal effect performance for time series is available to identify the Structure of the Breakpoint(Structure Breakpoint).Based on Bai&Perron breakpoint test model(2003),and introduces the dynamic factor,respectively from two aspects:global and local investigates the reversal effect of the real estate price fluctuations.Results show that the sample global existence three reverse,and the time node respectively and the financial crisis in 2008,2009 economic stimulus in four trillion and early 2009 combined phase coupling,the background of the regulation policy in line with the economic intuition.Local market also exists reversal effect,but each city a reversal effect of the time difference,the reason is that each city real estate market have heterogeneity.Information cascades is the important factor of herd behavioral.Based on the expansion of BHW model,we integrate the two kind of factors include information cascade and political Connections to the unification in the excessive investment analysis frame,we discuss the dynamic mechanism of excessive investment in real estate from the perspective of behavioral finance and institutional economics.Take 1999-2012 of China A-share listed real estate companies as an object,the research discovered that,the information cascade has the important reason which the cognition deviation and causes to over-investment.Compared with the private real estate enterprises,political connections significantly aggravated the overinvestment of state-owned real estate enterprises,and through the "capital substitution effect" to promote the excessive investment of local state-owned real estate enterprises.The influenc mechanism is respectively,informationcascades induced herd behavior,while the politicalties lower state-owned enterprise risk identification reference "section"and lead to relax the requirements of the risk prevention under government implicit guarantee.Information is one of the important conditions,market expectations formation is the important external causes affect real estate price fluctuations.Depth of the market(the market the depth)theory,the face of our common information source,different assets from the liquidity,volatility and sensitivity performance on a business trip of the opposite sex,namely sensitivity information is different.Inspired,this part of the reference Angle(2008)the depth of the market model,and introduce the MC-DCC volatility process,examines the impact of fluctuations in the price of real estate information.Results show that in the face of public information,sample city real estate price fluctuation curve and the correlation coefficient between the trend of market as a whole,through the depth of the market model to extract the amplitude fluctuations in the price of each city convergence,convergence path and so on,further reveals the heterogeneity of the real estate market.Policy shocks may also affect real estate price fluctuations.With frequent financial crisis,the central Banks generally to price stability function of monetary policy to ease asset price volatility(Bernank,2005).However,monetary policy can affect real estate price?Has been some debate,also is the key issue discussed"mystery" house prices.At the same time,in order to eliminate limitations of Model recognition,Ulig(2005)proposed using Sign constraints VAR Model(Sign the constraint Model)is more effective.This part draw lessons from the thought,deeply discusses the riddle of "price" in China's real estate market.It is found that the tightening monetary policy can affect real estate price fluctuations,but in the short term there is delay,also appeared in the short term "mystery" house prices reasonable explain paradox.At the same time,the quantitative effect of the impact of monetary policy tools is relatively obvious,but there is also a long delay;Type the price impact of monetary policy relatively weak,and relatively short time delay.In addition,by observing the impact of vector matrix after other variables found that monetary policy is not the only cause of house price fluctuations,such as cost price,exchange rate will also affect the effect of monetary policy.Expectations are the key factors that affect real estate price fluctuations.This part tries to combinat expection factors and the general equilibrium theory,build DSGE analysis framework including the housing consumption utility function,through the way of external shocks to the introduction of the adaptive expectations the housing consumption utility maximization function,respectively from the angles of numerical simulation and measurement test examines the expectations,the relationship between credit constraints and the real estate price fluctuations.The results show that the expected is a dominant factor,fluctuations in the price of real estate and credit constraints,although to exert certain influence,but long-term effect gradually decay.Finally,to promote the healthy development of China's real estate market,this paper,based on the perspective of behavioral finance governance,puts forward relevant policy Suggestions:one,we need to pay attention to the inertia effect of the real estate price fluctuations,the reversal effect and asymmetric features.Second is significant information impact can change trend of real estate price fluctuation,but the sensitivity of the cities to respond to information.Three is the impact of the policy tools effect intensity differences and lag time difference.In conclusion,real estate regulation policy design should pay attention to three principles:one is to stick to classification regulation,should be paid close attention to inertial effect and reversal effect strong area.The second is policy tools science is tie-in,give attention to two or morethings policy direction should be relatively consistent,avoid contradictory effects.Three is to stick to the expected management as the core,to provide reasonable space for the learning mechanism of market,should pay attention to the prospective of policy design.