Measurement and Estimation of Bubble in Shanghai Housing Market in China

In order to test the existence of speculative bubble in Shanghai housing market, this paper quantifies the rational speculation and the herding speculation, constructs a parameter model and a timevarying parameter model, and introduces an early-warning criteria of residential supply non-transformed rate index. The results show that there are different types of speculative bubbles in Shanghai housing market, the impact of different speculation on housing prices is changing with time. Especially in 2005-2007, the impact have the strengthened the trend. Additionally, the warning information indicates the existence of bubble in Shanghai housing market from 2003, and the situation became worse after 2005.