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Paper eres2012_362:
House price diffusion and cross-border house price dynamics in Asia

id eres2012_362
authors Mei-Se Chien and Chien-Chiang Lee
year 2012
title House price diffusion and cross-border house price dynamics in Asia
source 19th Annual European Real Estate Society Conference in Edinburgh, Scotland
summary This paper examines lead-lag relationships and the dynamic linkages among cross-border house prices in four Asia countries and cities, including Taiwan, Mainland China, Hong Kong and Singapore. We employ the Johansen (1988) cointegration technique, Toda and Yamamoto’s (1995) Granger causality test, the generalized impulse response approach, and variance decomposition analysis to find out the extent and the magnitude of their relationships. Our empirical results of Johansen’s (1988) cointegration test shows there is a long-run equilibrium among these four Asian cross-border house prices, implying a diffusion of corss-boder house prices among Taiwan, Mainland China, Hong Kong and Singapore. Second, the results of Toda and Yamamoto’s Granger causality test provide evidences of bidirectional relationship of house prices between Taiwan and HongKong, and there is no causality of house prices between Mainland China and HongKong. Besides, Taiwan’s house prices can lead Mainland China’s house prices. As to the causalities of house prices between Singapore and others, HongKong can lead Singapore, while there are no causalities between Singapore and the others. Furthermore, the impacts of the shocks of house prices from HongKong to Singapore are significantly positive, while the mutual impacts of shocks between any other cross-border house prices are insignificant. Finally, the results of the generalized impulse response approach indicate that house prices of Mainland China is the most exogenous while Taiwan is the most endogenous in the long run.
series ERES:conference
type normal paper
content file.pptx (482,646 bytes)
discussion No discussions. Post discussion ...
session Parallel Session D6
last changed 2014/10/21 21:51
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