Study On The Dynamic And Nonlinear Adjustment Of The Real Estate Price Index

The rapid development of real estate is a stage that a country must experience.High prices and high returns attract a large number of corporations investing in realestate. Land prices make a substantial increase in local government revenue. It certainplays a role in promoting local economics. But over-reliance on asset prices, ignoringthe reproduction and manufacturing of economic entity is dangerous. When thecentral government begins to regulate housing prices, real estate will experience ashock, the growth of local government revenue can not be sustained, even more it willaffect many long-term expenditure. Therefore, the steady development of real estatehas a positive meaning to local governments and citizens. Now the real estate markethas gradually improved in China, it is necessary to have a deep study andunderstanding on the fluctuations of China’s commercial housing sales price. Basedon this, this paper analyzes the characteristics of the volatility of the real estate priceindex price which was from January1999to July2010.The contents of this paper consist of four chapters, Chapter One: Researchsignificance and literature review; Chapter Two: methods theory overview; ChapterThree: An Empirical Analysis on the dynamic adjustment of China’s commercialhousing sales price index; Chapter Four: Conclusion and suggestion based on theempirical analysis. The sample of this paper is commercial housing sales price indexfrom January1999to August2010. The reason for this sample is that real estatemarket began to take shape at the end of1998when the physical housing distributionsystem ended.Study shows: the housing price index is a unit root with structural breaks in theprocess, there were two significant structural mutations, the mean and trends, doublemutants in January2008and mean mutation in June2009. These test results meanthat some regulations of government are meaningless. These laws which do not havethe lasting impact is not good for the form of stable expectations of consumers andproducers, so the price index adjustment policies would be more likely to be offset byother random shocks. Study based on EGARCH model and TAR model shows thatwhen the volatility of price index is greater than0.6509, it is on the price expansionstage. And when the room Price index volatility is less than0.6509, it is on thecontraction phase. The threshold of TAR model is0.6509, indicating the magnitude ofprice index changes around0.6509in the long term, China’s housing prices will continued to rise. The delay factor of the TAR model is equal to one month, indicatingthe real estate business response to external shocks very rapidly, but this does notmean the positive and negative external shocks have the same results. EGARCHmodel describes the asymmetry adjustment of data, positive stimulus have moreimpact than the negative shocks on fluctuations of the price index. This paper showsthe only way that making the housing prices return to the value is to change the priceindex data generation process, and this change depends on a strong impact.