Abstract: We have established a VAR model consisting of price changes in real estate, domestic inflation, money supply and composite indexes of Shanghai security market. The paper systematically analyzes the short-term attack and the long-term impact based on the monthly data according to the two sample periods in china. The results suggest that, in the long run, the real estate price volatilities have not entered the co-integration relation and exert no impact on inflation in the first sample period. While the interaction between inflation and real estate price index volatilities would formulate a long-term co-integration relation during the second sample period. Aimed to control the price level and lower the expectation of inflation, it may be desirable to stabilize the real estate market prices effectively by the means of the various macroeconomic policy.

Key words: Inflation, Real Estate Market, Empirical Analysis