The Real Estate Price,Financial Accelerator and Asymmetry of Macroeconomic Fluctuations——A Study Based on SETVAR Model

This paper constructs a two-regime Self-Exciting Threshold Vector Autoregression(SETVAR) model with macroeconomic data from 1991 to 2011,to reveal the significant nonlinear dynamic relationship between real estate price and macroeconomic volatility.The results from generalized impulse response function show that output responses asymmetrically to real shocks,monetary shocks,price shocks and real estate price shocks.Additionally,the paper confirms and quantifies the asymmetry of response effects and absorption rate,using methods proposed by Potter and Dijk,Franses Boswijk(DFB).Compared with the case of a moderate growth rate of real estate price,the response of macroeconomic fluctuations to economy shocks have more volatility and longer duration in a highergrowth-rate situation.