Assessing Asset Price Fluctuation Risk Based on Macro-economy

摘要

This paper propose that real estate market rely on real economy let alone bubbles,if beyond the real economy support bubbles will turn bust; Bubbles unbalance resource allocation,they are caused by the massive capital inflow to the asset market following by the higher price rising than general products' price.The asset price fluctuation relative to the general products' price indices the potential risk exposure caused by the unbalance of the resource allocation.So we construct a framework within which we can assess the risk in real estate market affecting the economy,we concept it as HP-at-Risk compared with Value-at Risk,which is composed of two conditional indices: one is based on GDP,the other is on CPI.With these two fair indices we are able to assess the parts beyond the economy support and the unbalance of the resource allocation.After empirical tests in US,UK,Hong Kong and Japan,the ability of the framework is proved.It provides a new method and tool to assess the risk for policy makers.At last,we made a further empirical analysis in Shanghai real estate markets we found bubbles there in 2005.