Abstract: Based on the extended vector autoregression model with stochastic volatility (SV-TVP-FAVAR), this paper analyzes the impact intensity and direction of real estate investment shocks on the economic cycle from the first quarter of 2000 to the third quarter of 2017.The results show that the real estate investment impact has a significant time-varying effect on economic fluctuations, and it shows different pro-cyclical or counter-cyclical processes at different time points in the economic cycle. In the stage of rapid economic growth, the impact of real estate investment on economic growth is weak and has a negative effect, which shows the characteristics of moderating the expansion fluctuation in economic operation; in the stage of economic contraction, the impact of real estate investment has a strong positive effect on economic growth and promotes the alternation of economic fluctuation from contraction to expansion; in the stage of medium-high economic growth, the impact of real estate investment contributes to the expansion and fluctuation of the economy in the short term, but in the long term, it will cause the fluctuation of the economy from expansion to contraction.

Keywords: Real estate investment; Economic fluctuation; SV-TVP-FAVAR model