Analyzing housing price volatility in Shanghai

The purpose of this study was to explore the volatility of housing price in Shanghai. Past housing price growth, interest rate, and exchange rate growth were found out as the main factors to influence housing price growth. GARCH model and its expanded model, EGARCH and TGARCH, were employed. The main econometric results showed that: firstly, these explanatory variables could explain 70% variation of housing price growth; secondly, interest rate had negative impact on housing price growth, while past housing price growth and exchange rate growth had a positive effect; thirdly, unsymmetrical shock was tested to be existed, which showed that the response of housing price growth to positive shock was larger than to negative one; fourthly, macro control put forward since April 2005 did dampen the housing price growth of Shanghai in last half of 2005.