International Transmission Mechanisms and Contagion in Housing Markets

34 Pages Posted: 7 Apr 2014 Last revised: 23 Apr 2014

See all articles by Anupam Nanda

Anupam Nanda

University of Reading - School of Real Estate & Planning, Henley Business School

Jia-Huey Yeh

University of Reading

Multiple version iconThere are 2 versions of this paper

Date Written: April 5, 2014

Abstract

This paper explores the house price diffusion effects across six major Asian cities. The analysis is based on macroeconomic and international transmission mechanisms and a Global Vector Auto-Regression (GVAR) model estimated using quarterly data for six 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) shows 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.

Keywords: House Price, International Transmission, Spill-over, GVAR

JEL Classification: F41, F42, G15, R23

Suggested Citation

Nanda, Anupam and Yeh, Jia-Huey, International Transmission Mechanisms and Contagion in Housing Markets (April 5, 2014). Available at SSRN: https://ssrn.com/abstract=2420758 or http://dx.doi.org/10.2139/ssrn.2420758

Anupam Nanda (Contact Author)

University of Reading - School of Real Estate & Planning, Henley Business School ( email )

Whiteknights
Reading, Berkshire RG6 6AH
United Kingdom

Jia-Huey Yeh

University of Reading ( email )

Whiteknights
Reading, Berkshire RG6 6AH
United Kingdom

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