A Study of Cointegration Relationship between Housing Price and Inflation with Structural Changes

The relationship between housing price and inflation is a heated research topic, but extant studies didn't consider the structural changes. Comparing the ADF test values of residuals from 24 equations with structural changes, this paper deduced that the Cointegration relationship between national houses sale index and CPI experienced an interval change in the third quarter of 2001, and based on it, this paper rebuilt an error correction model with structural changes. The results demonstrated that changes of housing price can cause changes of CPI and causes more when the economy is speeding up. Therefore, government should attach more importance to the changes of housing price, and approach timely regulation measures in order to prevent the housing price changes from bringing a big shock to macro-economy.