A cointegration approach to the price dynamics of private housing. A Singapore case study

Journal of Property Investment & Finance

Volumn 17, Issue 1, 1999, Pages 35-60

  ho Kim Hin, David ^a   Calero Cuervo, Javier ^b  

^a Pidemco Land Limited   (Singapore)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Cointegration; Housing (domestic property); Singapore

Indexed keywords

EID: 26044458392     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635789910252891     Document Type: Article

References (40)

1. Chan, M.-W. and Tang, B.-S. (1995), Hong Kong's Development Control System: A Constraint for Private Housing Development?, XXIII IAHS World Housing Congress, “Excellence in Housing”, 25-29 September, Singapore.
2. Cheung, Y.-L. et al. (1995), “The casual relationships between residential property prices and rentals in Hong Kong: 1982-1991”, Journal of Real Estate Finance and Economics, Vol. 10, pp. 23-35.
3. Chou, W.L. and Shih, Y.-C. (1995), “Hong Kong housing markets”, Journal of Real Estate Finance & Economics, Vol. 10, Kluwer Academic Publishers, pp. 7-21.
4. Christudason, A. (1995), Legal Issues relating to Housing in Singapore, XXIII IAHS World Housing Congress, “Excellence in Housing”, 25-29 September, Singapore.
5. Dickey, D. and Pantula, S. (1987), “Determining the order of differencing in autoregressive processes”, Journal of Business and Economic Statistics, Vol. 15, pp. 455-61.
6. DiPasquale, D. and Wheaton, W. (1996), Urban Economics and Real Estate Markets, Prentice-Hall, Englewood Cliffs, NJ.
7. Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons Inc., pp. 221-5, 375-80.
8. Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and error correction representation, estimation and testing”, Econometrica, Vol. 55 No. 2, pp. 251-76.
9. Engle, R.F. and Yoo, B. (1987), “Forecasting and testing in cointegrated systems”, Journal of Econometrics, Vol. 35, pp. 143-59.
10. Greene, W.H. (1997), Econometric Analysis, 3rd ed., Prentice-Hall, Englewood Cliffs, NJ.
11. Hakfoort, J. and Matysiak, G. (1997), “Housing investment in The Netherlands”, Economic Modelling, Vol. 14, Elsevier Science B.V., pp. 01-16.
12. Hataiseree, R. (1993), “The demand for money in Thailand: a cointegration and error-correction approach”, The Singapore Economic Review, Vol. 38 No. 2, pp. 195-230.
13. Hendry, D.F. (1996), in Granger, C.W.J. and Mizon, G.E. (Eds), Dynamic Econometrics, Oxford University Press, General Editors.
14. Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
15. Johansen, S. and Juselius, K. (1990), “Maximum likelihood estimation and inference on cointegration: with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210.
16. McCue, T.E. and Kling, J. (1994), “Real estate returns and the macroeconomy: some evidence from real estate investment trust data, 1972-1991”, The Journal of Real Estate Research, Vol. 9 No. 1, pp. 277-87.
17. Ong, S.E. (1994), “Singapore real estate and property stocks - a cointegration test”, Journal of Property Research, August, pp. 29-39.
18. Ong, S.E. and Teck, I.C. (1996), “Singapore residential market”, Journal of Property Valuation & Investment, Vol. 14 No. 1, p. 50.
19. Pesaran, M.H. and Pesaran, B. (1991), Microfit 3.0, Oxford University Press.
20. Sing, T.F. (1995), Cointegration Analysis of Property Stock Prices: A Comparative Study of UK and Singapore Markets, unpublished MPhil (Land Economy) thesis, Wolfson College, University of Cambridge.
21. Topel, R. and Rosen, S. (1988), “Housing investment in the United States”, Journal of Political Economy, Vol. 96 No. 4, pp. 718-40.
22. Urban Redevelopment Authority (URA), Singapore (1996), URA Real Estate Statistics Series, Prices and Rental Indices, URA, First Quarter.
23. “A whole new ball game” (1996), Singapore Business, June, p. 21.
24. Box, G.E.P. and Pierce, D.A. (1970), “Distribution of residential autocorrelations in autoregressive-integrated moving average time series models”, Journal of American Statistical Association, Vol. 65 No. 332, pp. 1509-26.
25. Brown, P.M. (1990), “The changing UK residential real estate market”, Land Development Studies(now Journal of Property Research), Vol. 7, pp. 119-33.
26. Charemza, W. and Deadman, D. (1993), New Directions in Econometric Practice, Edward Elgar Publishing Limited.
27. Cheong, L.F. (1994/95), Analysis of the Impact of Macro-economic Variables on the Prices of Private Landed Residential Properties, unpublished undergraduate dissertation, School of Building and Estate Management, National University of Singapore.
28. Davidson, J., Hendry, D., Sarba, F. and Yoo, S. (1978), “Econometric modelling of the aggregate time-series relationship between consumers’ expenditure and income in the UK”, Economic Journal, Vol. 86, pp. 661-92.
29. Dickey, D. and Fuller, W. (1979), “Distribution of the estimates for autoregressive time series with a unit root”, Journal of the American Statistical Association, Vol. 74, pp. 427-31.
30. Dickey, D. and Fuller, W. (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, Vol. 49, pp. 1057-72.
31. “Government acts to cool private-home market” (1996), The Straits Times, 15 May, p. 1.
32. Granger, C.W.J. (1981), “Some properties of time series data and their use in econometric model specification”, Journal of Econometrics, Vol. 16, pp. 121-30.
33. Granger, C. and Newbold, P. (1974), “Spurious regressions in econometrics”, Journal of Econometrics, Vol. 2, pp. 111-20.
34. Kling, J. and McCue, T.E. (1987), “Office building investment and the macroeconomy: empirical evidence, 1973-1985”, AREUEA Journal, Vol. 15 No. 3, pp. 234-55.
35. Nelson, C.R. and Plosser, C.I. (1982), “Trends and random walks in macroeconomic time series: some evidence and implications”, Journal of Monetary Economics, Vol. 10, pp. 139-62.
36. Ong, A.L.Y. (1993/94), A Cointegration Analysis of the Inter-relationships among International Property Stock Prices, unpublished undergraduate dissertation, School of Building and Estate Management, National University of Singapore.
37. Ong, S.E. (1994), “Structural and vector autoregressive approaches to modelling real estate and property stock prices in Singapore”, Journal of Property Finance, Vol. 5 No. 4, pp. 4-18.
38. Phillips, P.C.B. (1986), “Understanding spurious regressions in econometrics”, Journal of Econometrics, Vol. 33, pp. 311-40.
39. Pindyck, R.S. and Rubinfeld, D.L. (1991), Econometric Models and Economic Forecasts, 3rd ed., pp. 443-4.
40. Spencer, M.H. (1980), Contemporary Economics, 4th ed., Worth Publishers, Inc.