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Dynamic analysis of house price diffusion across Asian financial centres

Nanda, A. and Yeh, J.-H., (2012) Dynamic analysis of house price diffusion across Asian financial centres. Working Papers in Real Estate & Planning. 04/12. Working Paper. University of Reading, Reading. pp32.

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The aim of this paper is to explore effects of macroeconomic variables on house prices and also, the lead-lag relationships of real estate markets to examine house price diffusion across Asian financial centres. The analysis is based on the Global Vector Auto-Regression (GVAR) model estimated using quarterly data for six Asian financial centres (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the global economic conditions play significant roles in shaping house price movements across Asian financial centres. In particular, a small open economy that heavily relies on international trade such as – Singapore and Tokyo - shows positive correlations between economy’s openness and house prices, consistent with the Balassa-Samuelson hypothesis in international trade. However, region-specific conditions do play important roles as determinants of house prices, partly due to restrictive housing policies and demand-supply imbalances, as found in Singapore and Bangkok.

Item Type:Report (Working Paper)
Divisions:Henley Business School > Real Estate and Planning
ID Code:28432
Uncontrolled Keywords:House Price, Diffusion, GVAR
Publisher:University of Reading
Publisher Statement:The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.


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