A New Method Of Measuring Real Estate Bubble

The real estate industry as an important pillar of Chinese economic developmentindustry, its development is beneficial to the development of national economy andthe people’s livelihood, the development trend of real estate in the future is veryimportant, and expectations are sure that is associated with real estate bubble, so theresearch on the measurement of the housing bubble also appears very important.The abroad research on the real estate bubble is far ahead of the domesticresearch. However, foreign measure to the real estate bubble is carried out based onperfect statistical system; the design of the index does not apply to domestic situation.By drawing on foreign models, directly to the domestic real estate bubble measure, isnot in conformity with the actual situation in our country, it is also difficult to draw aconvincing conclusion. At present, the domestic academic circles existence in view ofthe real estate bubble research of GuoFang climate index early warning indicators,according to the practice of recent years, this set of method performs poorly.In this paper, focusing on the influence of the macro policy on the real estatemarket and the stock market and the background of these two market relatedperformance under the premise, at the same time based on the economic theoryanalysis of interaction of the real estate market and the stock market, put forwardanother method to measure the real estate bubble, that is, the state space model is usedto indirectly measure the real estate bubble. The basic idea is that the real estatebubble can not be observed directly, but affected by other financial time series can beobserved, therefore, to measure the real estate bubble problems can be naturallyembedded in the framework of state space model. And the measurement of bubble canbe achieved through the filter update.This topic research train of thought to a certain extent will be linked to the realestate market and the stock market, the main research purpose is through thecombination of theory and empirical research method, with the aid of the stock marketin real estate related industry sector index information, in order to measure an state ofthe unobservable bubble in the dynamic system of the real estate; this method avoidthe index method based on domestic statistical system that is not perfect or GuoFangclimate index early warning indicators, but also avoid a lot of interference factors orpolitical sensitivity factors.