Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Sinpagore

Arbeitspapier

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran’s CIPS test indicates that the unit root hypothesis is rejected for the first difference of both indexes. We also do not reject the hypothesis that area-specific home purchases and rental price indexes are cointegrated with a cointegrating vector (1,-1).

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 5559

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Urban, Rural, Regional, Real Estate, and Transportation Economics: General ; Econometric and Statistical Methods and Methodology: General
• Thema: cointegration ; housing market ; purchase and rental price ; market efficiency

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Baltagi, Badi H. ; Li, Jing
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/123192