China’s Real Estate Price Volatility Research

Since2003, with real estate is positioned as the pillar industries by our government, realestate investment have been into the period of stable and rapid development, sales prices rosesignificantly in most cities. Since2005, China’s real estate price fluctuations even moreintense, house prices around the average transaction price have recorded price of new high.Excessive volatility in house prices, affect the market a root sensitive nerve. People andgovernment are very concerned about the topic.In this paper, from the point of view of price volatility, we analyze price fluctuations onthe behavior of our country and27major cities from January2002to December2011, thisstudy is divided into three parts: the first part of the Review of domestic and foreign housingresearch literature, property prices, raised the main factors that affect the price fluctuations inChina; the second part, through the establishment of the EGARCH model of China’s urbanhousing prices volatility clustering effect as well as the volatility effect of asymmetricinformation impact, the establishment of the BEKK-GARCH model within the study area cityprice volatility spillover effects at the same time further validates the factors of pricefluctuations is a significant price fluctuations in China; the third part, the paper concludeswith policy recommendations for the results of the model.This study found that the existence of the country as well as27major cities from January2002to December2011price volatility similar to the financial market volatility clusteringeffect,82.14percent of the city price volatility there is an asymmetric effect; intra-regionalcities there are significant volatility spillovers; in terms of impact factors, fluctuations ininvestor sentiment on the dynamic impact of price fluctuations caused by the most significant,followed by real estate investment, inflation, exchange rates, interest rates, with minimalimpact. Therefore, policy recommendations, we suggest that first of all to curb speculativedemand, continue to dampen the investment purchase of a perfect protection, affordablehousing construction and continue with the purchase of the credit limit, the policy limit, the adjustment of the people for the room price expected to further curb investment in real estatecredit, improve the governance of domestic inflation.