International Housing Markets

Transcription

1 Econometric Analyses of International Housing Markets Rita Yi Man Li and Kwong Wing Chan Ö Routledge % % Taylor & Francis Group LONDON AND NEW YORK

2 Contents 1 Introduction 2 Applied econometric models in international housing markets: theories and applications RITA YI MAN LI, KWONG WING CHAU, TAT HO LEUNG AND LI MENG 2.1 Introduction Hodrick-Prescott (HP) filter Vector Error Correction model (VECM) and impulse response The application of the Hedonic Pricing model on housing market analys es Cobb Douglasfunctionfor input-output analysis State Space models The dichotomous Probit model Conclusion References 33 3 Risk averse real estate entrepreneurs in mainland China: a Probit model approach 3.1 Introduction Four hypotheses Literature review Research method Data analysis Research results and analysis Conclusion References 52

3 vi Contents 4 Forecasting real estate stock prices in Hong Kong: a State Space model approach RITA YI MAN LI, YIKUN HUANG AND KWONG WING CHAU 4.1 Introduction Hong Kong stock market and real estate stocks A literature review on stockprice forecast method Research method Data description Empirical study with the State Space model and results of the research SWe Space modg/6effgr/br /arge sco/e companies than small companies. Why? Conclusion References 70 5 Market sentiment and property prices in Hong Kong: a heteroscedasticity-and-autocorrelation-consistent approach RITA YI MAN LI AND JOE FUK, KIN WONG 5.1 Introduction News, market sentiment and commodityprices The impact of market sentiment on real estate markets Robert Shiller and Eugene Fama 's theory: can the trend of asset price be predicted? Mixed research method: a combination of qualitative and quantitative data analyses Heteroscedasticity-and-autocorrelation-consistent and ordinary least Square regression models Research results Conclusion References 89 6 Superstition and Hong Kong housing prices: a Hedonic Pricing approach RITA YI MAN LI, KWONG WING CHAU, CHUI YEE LAW AND TAT HO LEUNG 6.1 Housing prices, transportation and superstition Data collection Hedonic Pricing model Limitation of the research study Conclusion References 99

4 Contents vii Negative environmental externalities and housing price: a Hedonic model approach 101 RITA YI MAN LI, KWONG WING CHAU, M1NG HONG LI, TAT HO LEUNG AND KA WAIKWOK 7.1 Introduction Research method Data description The research results offour econometric models Discussion and conclusion References 114 The impact of the subprime financial crisis on the German and Norwegian real estate markets: LI, the Chow test and the Quantile regression approach 116 RITA YI MAN LI AND JOE FUK KIN WONG 8.1 Historical background of the subprime financial crisis The impact of the financial crisis on the housing market The impact of the subprime financial crisis on the housing market: a global perspective Data Research method Results Conclusion References 129 Housing prices and external shocks' impact on South Africa and the Czech Republic's housing prices: a Vector Error Correction model and Impulse response functions approach 131 RITA YI MAN LI, JOE CHO YIU NG, KWONG WING CHAU AND TAT HO LEUNG 9.1 Introduction A general overview of the Czech Republic's housing market A general overview of the housing market in South Africa The relationship between the global financial environment and the housing market Data description Research method and results Discussion of the results Conclusion References 144

5 viii Contents 10 Factors which drive the ups and downs of housing prices in Canada: a Cobb-Douglas approach 147 RITA YI MAN LI, KWONG WING CHAU AND LING SANCHI LI 10.1 Introduction Literature review Background information about Canada Residential mortgage market in Canada Research method and results Conclusion References An econometric analysis on REITs cycles in Hong Kong, Japan, the US and the UK Introduction Factors which drive the REITs prices REITs and property stocks Diversificationfunction of REITs Business cycle Direct real estate cycle analyses 168 7V The real estate market in Hong Kong, Japan, the UK and the US and data included for this study Research methods and results Discussion and conclusion References Conclusion: should mainstream economists neglect and undermine real estate economics? The 'Wh' questions in the international housing markets, macroeconomy and econometric models context References 183 Index 185