• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2012 Vol.3(5): 388-392 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2012.V3.233

Empirical Analysis of Housing Prices in Chinese Market

Jieqiong Wang and DejunXie
Abstract—This work constitutes, in part, our recent efforts in exploring more realistic and appropriate approaches for valuing mortgage backed securities as well as facilitating the financial management of market participants in China’s housing market. Unlike structural analysis where usually only interest rate effect is considered in valuing properties and relevant securities, this paper focuses on the housing price dynamics in relation to the house price changes in time and several key contributing factors in China’s real estate market. The data used for the study are the monthly housing price indices from July 2005 to December 2010, collected and maintained by the National Bureau of Statistic of China. Several autoregressive models are proposed, analyzed, and compared to best identify these relations. The study shows that house price changes in current month are influenced by the house prices in previous months, with the optimal number of price lags inferable using regression procedures. Land price and consumer price index are also contributing factors for housing price changes.An autoregressive model in the form of fractional polynomial of contributing factors is shown to have best forecasting power. Numerical experiments and simulation are carried out to test the effectiveness and robustness of our model. In particular, the accuracy and convergence of the parameter estimation are tested with different sampling processes.

Index Terms—Housing price, mortgage security, autoregressive model, parameter estimation.

Jieqiong Wang is with School of Mathematics, the University of Edinburgh, Scotland, SC005336 UK. (e-mail: J.Wang-45@sms.ed.ac.uk).
DejunXie is with Department of Mathematical Sciences, Xi‟an Jiaotong Liverpool University, Suzhou, China. (e-mail: Dejun.Xie@xjtlu.edu.cn).


Cite:Jieqiong Wang and DejunXie, "Empirical Analysis of Housing Prices in Chinese Market," International Journal of Trade, Economics and Finance vol.3, no.5, pp. 388-392, 2012.

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