Negative Real Interest Rate and Housing Bubble Implosion - An Empirical Study in Hong Kong

16 Pages Posted: 15 Jul 2009

See all articles by Edward Chung Yim Yiu

Edward Chung Yim Yiu

University of Auckland Business School

Date Written: July 15, 2009

Abstract

This paper tests empirically the relationship between real interest rate and housing return in Hong Kong. The time series date from the first quarter of 1984 to the first quarter of 2009. Employing multiple regression analysis with autoregressive and lagged independent variables, it shows that housing bubble implosions could be largely explained by the negative real interest rate. Furthermore, it shows an asymmetric effect of real interest rate on housing return. It can be a good predictor for housing bubbles in the future.

Keywords: Real Interest Rate, Housing Bubble

JEL Classification: E40, R31

Suggested Citation

Yiu, Edward Chung Yim, Negative Real Interest Rate and Housing Bubble Implosion - An Empirical Study in Hong Kong (July 15, 2009). Available at SSRN: https://ssrn.com/abstract=1434312 or http://dx.doi.org/10.2139/ssrn.1434312

Edward Chung Yim Yiu (Contact Author)

University of Auckland Business School ( email )

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