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| The Policy Uncertainty, Macro Impact and Housing Price Fluctuation: Based on the LSTVAR Model |
| ZHANG Hao, LI Zhongfei, DENG Baijun
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School of Finance,Guangdong University of Foreign Studies;
Business School / Lingnan (University) College, Sun Yat-sen University |
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Abstract This article analyses the impact of macro variables on real housing price volatility under different levels of policy uncertainty by building a theoretical model on short-term Chinese real housing price volatility, and furthermore by applying LST-VAR Model and Generalized impulse response function on empirical study of Economic Policy Uncertainty Index provided by Baker et al. and macroeconomic data between January 1999 and March 2014. The theoretical model shows better microenvironment leads to real housing price growth; and the growth enlarges with the increase of policy uncertainty. Also, the impact of macro variables on real housing price volatility differs under different levels of policy uncertainty. The empirical study shows, impact of macro variables on real housing price is asymmetry under two difference scenarios of high and low policy uncertainty. High policy uncertainty will make individuals to delay their consumption and investment, and further depress house supply of real estate companies. Moreover, it will even cause market failure and lead to unnecessary volatility. Expectation of demanders and suppliers is also effected. This aviation in expectation leads to excess adjustments, and exaggerate house price volatility.
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Received: 20 December 2014
Published: 19 April 2018
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