Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach
Publish place: دوازدهمین کنفرانس بینالمللی آکادمی مدیریت آسیا
Publish Year: 1396
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
AAMC12_099
تاریخ نمایه سازی: 22 دی 1396
Abstract:
This paper attempts to address the relationship between various macroeconomic variables affecting Singapore private residential prices using a Markov-Switching approach rather than a single state linear regression framework. We adopt the 3-regime approach used by Nneji, Brooks, and Ward (2013). The dataset encompasses a period from 1978Q1 to 2012Q1. Based on the extant literature identifying various macroeconomic variables that affect house prices were chosen. They are inflation rates, exchange rate changes, real interest rate changes, population growth, changes in public housing supply, and growth in real disposable income. The results indicate that in the steady and boom state, inflation rates, population growth, disposable income growth, and public housing supply changes has significant in explaining growth in private residential prices. Several abnormal results are also documented namely the nonsignificance of interest rate changes. Using a Markov-switching approach added information identifying significant variables in each state allowing government policymakers to be more specific in using proper policy measures when addressing private residential price growth
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Authors
Gary John Rangel
Universiti Sains Malaysia
Jason Wei Jian Ng
Monash University Malaysia