Dynamic Correlations between Real Estate Prices and International Speculative Capital Flows: An Empirical Study Based on DCC-MGARCH Method

This paper employs DCC-MGARCH to calculate the dynamic correlation coefficient between international capital flows and real estate prices. Then it uses VAR model to analyze the relationship between the dynamic correlations between international capitals flows and real estate prices. The empirical study shows that there is a steady positive correlation between real estate prices and international short-term capital flows. When the real estate prices go up, the correlation coefficient is higher, which will lead the short-term international capital to entry. However, when the prices suffer a downturn, the correlation coefficient is lower, which will lead it to quit. The entry of short-term international capital will contribute to the increase of the real estate prices.