Analysis on Factors of SSE Real Estate Index ——An Empirical Study Based on VAR Model

摘要

This paper selected the Shanghai Stock Exchange(SSE) real estate index, the SSE Composite Index, Consumer Price Index-Residence(CPI-R) and the Real Estate Climate Index data as a research object, between 2001-2008, and establish its VAR model to do empirical analysis, using Granger causality test and variance decomposition methods. The result shows that: there is Granger Causality relationship between SSE Real Estate Index and CPI-R, and the SSE Composite Index is helpful to explain the SSE Real Estate Index. The empirical results mainly illustrate there is a definite transmission relationship between the capital market and the real estate market.