Empirical Study On House Price Under Double Exponential Jump-Diffusion Model

Real estate is the important pillar industry in China, but overheated or depressed real estate industry will influence the stability and growth of economy, which will not be conducive to the healthy development of the national economy. In face of the continuous inflation and the burst of the bubbles in this industry, scholars from home and abroad are pursuing the facts that influence the price. However, most of those studies just stay on the basis of qualitative analysis, few of which are even based on the presumption of an ideal and stable market. In order to adapt to the intermittence,mutation of the macroeconomic environment and market, and explain the home price changes with jump,this paper will establish a house price jump diffusion model through empirical study.Jump diffusion model is generated in the option pricing problem. When using the jump diffusion model, first comprehensive consideration about the house price and analysis about whether the presumption of the model is true will be considered. Whether it is rational that house price is compliant with jump diffusion model will be proved. The jump in double exponential jump diffusion model is compliant with double exponential distribution which has non-symmetrical features, so we can use double exponential jump diffusion model.Then, there will be a discussion about the statistical characteristics of this model,and an induction of the Bayesian method which estimates the double exponential jump diffusion model. Likelihood of the discredited process will be used as the approximate posterior likelihood, and the validity and applicability will be analysised.Finally this paper carries on the empirical study from two aspects:the overall and the part. In general,it analyzes the intensity of the jump in national house price index combined with the policy adjustment, and analysis of various kinds of policy impacted on the price index, which can provide constructive suggestions to the macroeconomic regulation. The second-hand housing transaction data of some typical cities during a period of time will be studied to estimate the parameters.Then it compares and analyzes the differences between these cities, and further shows that the jump diffusion model is a rational measurement for the intensity of jump in house price.Under the double exponential jump diffusion model, this paper studies the house price index, mainly receive the following conclusions:1. The fluctuation of commodity house price is not continuous, but there is an obvious jump.2. The policy adjustment has a greater influence on the house price index, which is called the unsystematic risk.3. The intensity of the jump on overall level is less than the part level. It follows that, the more specific, the intensity of the jump is more prominent.