An Empirical Study On The Impact Of Macroeconomics On Shanghai Composite Property Index

The real estate industry is one of the important industries of the national economy.The real estate industry has developed into an important driving force for the economy.In recent years,with the rapid growth of real estate prices,real estate stock market volatility,the real estate industry has become the focus question.The macroeconomic and real estate stock market is closely related.The focus of this paper is the impact of the macroeconomic impact on the Shanghai real estate index.This paper chooses the data for the monthly data of the SSE and the macroeconomic indicators in 2005-2016.The macroeconomic indicators include financial institution deposits,loans,money supply,one dollar equivalent to RMB(average),national fiscal revenue and expenditure,gross domestic product and other 25 indicators.The main work of this paper is as follows: Firstly,the multivariate collinearity test of 25 macroeconomic indicators is carried out.The results show that there are collinearity.The factor analysis method is used to reduce the dimension and three common factors are selected.Then,the unit root test of SSE real estate index and three common factors is carried out to determine the smoothness of the data.The results show that the four sets of data are stationary,and the vector autoregressive(VAR)model is established.Secondly,the Johansen cointegration test and the variance decomposition were carried out for the model respectively.Cointegration test proves that there is a cointegration relationship between variables,which can be modified to establish a vector error correction(VEC)model,and Granger causality test and variance decomposition of VEC model.Through the above methods and test results,discuss the impact of macroeconomic impact on the Shanghai real estate index and summary article content.