Expectation Shocks And Abnormal Volatility In China’s Real Estate Market

Since 2008, the US subprime mortgage crisis evolved, spread to the global and then gradually became into a global financial crisis, the interaction mechanism of the real estate market volatility with macroeconomic is getting more and more attention of scholars. Considering DSGE model of its logical consistency of micro and macro, it’s been the main stream method of international macroeconomic research. Since 2004, our country’s real estate market has suffered nearly 10 years of "boom". To stabilize market development, the government, since 2009, has issued many housing market regulation policies, commonly used including interest rate adjustment and the proportion of down payment, but the effect was not obvious, and even the odd circle of house price turned out more higher. Based on this background, this paper use DSGE model and introduce the expected shocks to analyze the impact.In this paper, we empirically analyze the existence of pigou cycle in China’s economic, and use Bayesian methods based on the China’s macroeconomic data between 2001-2013 to estimate the New Keynesian model which contains real estate market, News shocks of economic growth, inflation, financial environment and monetary policy. The results show:news shock of technology explains the most of macroeconomic fluctuations and mainly drives the house price; anticipated shock of borrowing and unanticipated shock of interest dominant changes in the house demand; also, this result explains the phenomenon of "adjusting the house demand while not the house price" in real estate. Expected credit tightening shock would create "more higher house price when being adjusted" under the substitution effect of real estate and the overheating phenomenon of "high house price, low consumption, low output" at the same time.