International transmission mechanisms and contagion in housing markets

Nanda, A. and Yeh, J.-H. (2016) International transmission mechanisms and contagion in housing markets. The World Economy, 39 (7). pp. 1005-1024. ISSN 1467-9701 doi: 10.1111/twec.12288

Abstract/Summary

This paper explores international transmission mechanism and its role in contagion effect in the housing markets across six major Asian cities. The analysis is based on the identification of house price diffusion effects through a global vector autoregressive (GVAR) model estimated using quarterly data for six major Asian cities (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the open economies heavily relying on international trade such as Singapore, Japan (Tokyo), Taiwan (Taipei) and Thailand (Bangkok) show positive correlations between the economy's openness and house prices, which is consistent with the Balassa–Samuelson hypothesis. Interestingly, some region-specific conditions also appear to play important roles as determinants of house price movements, which may be driven by restrictive housing policies and demand–supply imbalances such as Singapore and Bangkok. These results are reasonably robust across several model specifications. The findings bear significant implications for formulation of investment strategy and public policies.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/40336
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	Wiley
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