کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
983677 1480539 2015 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cointegration of matched home purchases and rental price indexes — Evidence from Singapore
ترجمه فارسی عنوان
هماهنگ سازی خرید خانه های مشابه و شاخص قیمت اجاره یک ؟؟ شواهد از سنگاپور
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We construct matched home purchases and rental price indexes.
• We fail to establish cointegration between nationally estimated price–rent indexes.
• Area-specific price–rent indexes demonstrate strong cross-correlations.
• Area-specific indexes are cointegrated with a cointegrating vector (1, − 1).

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).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Regional Science and Urban Economics - Volume 55, November 2015, Pages 80–88
نویسندگان
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