Relationships between Macroeconomic Variables and Housing Prices
Date Issued
2008
Date
2008
Author(s)
Hung, Shu-Chuan
Abstract
This thesis aims to examine the relationship between macroeconomic variables and housing prices. Quarterly data on Sin-Yi housing index and on Cathay housing index are used for empirical study, which represent presales and existing house prices, respectively. This research uses the Granger Causality Test, Co-integration Test and Vector Error Correction Model (VECM) to fulfill objectives. The macroeconomic variables employed are quarterly observations of the stock price index, money supply, saving ratio, CPI, interest rates and GDP. The major findings of the study are as follows. First, there exist both long-term and short-term equilibrium relationship between macroeconomic variables and housing prices. Secondly, presales and existing house prices both have feedback relationships with money supply. Thirdly, one period lagged money supply has significantly positive effect on presales and existing house prices, and one period lagged saving ratio has significantly negative effect on them. Finally, it reveals that macroeconomic variables have different impacts on the presales and existing house prices. For example, lagged stock price has a positive effect on existing house price, but has a negative effect on presales house price. In addition, existing house price demonstrates a better adjustment mechanism when diverges from value as shown by the coefficient of error correct term. In other words, existing house price has the ability to converge to long-run equilibrium, while presales house price doesn’t.
Subjects
Real Estate
Housing Prices
Granger Causality
Cointergration Test
Vector Error Correction Model
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-97-R95627021-1.pdf
Size
23.53 KB
Format
Adobe PDF
Checksum
(MD5):907f7c6e9d2242dc7616815ae2766c42