Detecting bubbles in Hong Kong residential property market

Journal of Asian Economics

Volumn 28, Issue , 2013, Pages 115-124

  Yiu, Matthew S ^a   Yu, Jun ^b   Jin, Lu ^c  

^a ASEAN+3 Macroeconomic Research Office   (Singapore)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^c HONG KONG MONETARY AUTHORITY   (Hong Kong)

Author keywords

Asset bubble; Explosive behaviour; Price to rent ratio; Residential property prices; Right tailed unit root test

Indexed keywords

EID: 84885839526     PISSN: 10490078     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.asieco.2013.04.005     Document Type: Article

References (33)

1. Ahuja, A., Cheung, L., Genberg, H., Porter, N., & Zhang, W. (2010). Are house prices rising too fast in China? HKMA Working Paper 08/2010.
2. Ahuja, A., & Nabar, M. (2011). Safeguarding banks and containing property booms: Cross-country evidence on macro-prudential policies and lessons from Hong Kong SAR. IMF Working Paper, WP/11/284.
3. Ahuja, A., & Porter, N. (2010). Are house prices rising too fast in Hong Kong? IMF Working Paper, WP/10/273.
4. Arshanapalli B., Nelson W. A co-integration test to verify the housing bubble. International Journal of Business and Finance Research 2008, 2(2):35-43.
5. Blanchard O.J. Speculative bubbles, crashes and rational expectations. Economics Letters 1979, 3:387-389.
6. Blanchard O., Watson M. Bubbles, rational expectations, and financial markets. Crises in the economic and financial structure 1982, 295-315. Lexington Books, Lexington, MA. P. Wachter (Ed.).
7. Campbell J., Shiller R. Co-integration and tests of present value models. Journal of Political Economy 1987, 95:1062-1088.
8. Chan, L., Ng, H., & Ramchand, R. (2012). A cluster analysis approach to examining Singapore's property market. BIS Paper No. 64 (pp. 43-53).
9. Chang K., Chen N., Leung C. The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?. Regional Science and Urban Economics 2012, 42:516-530.
10. Chang, K., Chen, N., & Leung, C. In the shadow of the United States: The international transmission effect of asset returns. Pacific Economic Review, in press.
11. Chen K. Asset price fluctuations in Taiwan: Evidence from stock and real estate prices during 1972-1992. Journal of Asian Economics 2001, 12:215-232.
12. Craig, R. S., & Hua, C. (2011). Determinants of property prices in Hong Kong SAR: Implications for policy. IMF Working Paper, WP/11/277.
13. Diba B., Grossman H. Explosive rational bubbles in stock prices. American Economic Review 1988, 78:520-530.
14. Drake L. Modelling UK house prices using co-integration: An application of the Johansen technique. Applied Economics 1993, 25:1225-1228.
15. Driffill J., Sola M. Intrinsic bubbles and regime-switching. Journal of Monetary Economics 1998, 42:351-385.
16. Evans G. Pitfalls in testing for explosive bubbles in asset prices. American Economic Review 1991, 81:922-930.
17. Glindro E.L., Subhanij, T., Szeto, J., & Zhu, H. (2008). Determinants of house prices in nine Asia-Pacific economies. BIS Paper No. 52 (pp. 340-370).
18. Gurkaynak R. Econometric tests of asset price bubbles: Taking stock. Journal of Economic Surveys 2008, 22:166-186.
19. Homm U., Breitung J. Testing for speculative bubbles in stock markets: A comparison of alternative methods. Journal of Financial Econometrics 2012, 10:198-231.
20. Kalra, S., Mihaljek, D., & Duenwald, C. (2000). Property prices and speculative bubbles: Evidence from Hong Kong SAR. Working Paper No. WP/00/2, International Monetary Fund.
21. Leung C. Macroeconomics and housing: A review of the literature. Journal of Housing Economics 2004, 13:249-267.
22. Leung, F., Chow, K., & Genberg, H. (2008). Long-term and short-term determinants of property prices in Hong Kong. HKMA Working Paper 15/2008.
23. Mikhed V., Zemcik P. Testing for bubbles in housing markets: A panel data approach. Journal of Real Estate Finance and Economics 2009, 38:366-386.
24. Montrucchio L., Privileggi F. On fragility of bubbles in equilibrium asset pricing models of Lucas-type. Journal of Economic Theory 2001, 101:158-188.
25. Peng W. What drives the property price in Hong Kong 2002, August, 19-33. Hong Kong Monetary Authority, Quarterly Bulletin.
26. Phillips, P. C. B., Shi, S., & Yu, J. (2011). Testing for multiple bubbles. Singapore Management University, Unpublished Manuscript.
27. Phillips P.C.B., Wu Y., Yu J. Explosive behaviour in the 1990 NASDAQ: When did exuberance escalate asset values?. International Economic Review 2011, 52:201-226.
28. Phillips, P. C. B., & Yu, J. (2009). Limit theory for dating the origination and collapse of mildly explosive periods in time series data. Singapore Management University, Unpublished Manuscript.
29. Phillips P.C.B., Yu J. Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics 2011, 2:455-491.
30. Shiller R. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 1981, 71:421-436.
31. Tsai I., Peng C. Bubbles in the Taiwan housing market: The determinants and effects. Habitat International 2011, 35:379-390.
32. West K. A specification test for speculative bubbles. Quarterly Journal of Economics 1987, 102:553-580.
33. Xiao Q., Liu Y. The residential market of Hong Kong: Rational or irrational?. Applied Economics 2010, 42(7):923-933.