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Detecting rational bubbles in the residential housing markets of Hong Kong

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  • Chan, Hing Lin
  • Lee, Shu Kam
  • Woo, Kai Yin
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-42348R8-4/2/5b12bde3f8bdb4de4e4e3ac6fff701cf
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 18 (2001)
    Issue (Month): 1 (January)
    Pages: 61-73

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    Handle: RePEc:eee:ecmode:v:18:y:2001:i:1:p:61-73

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    Web page: http://www.elsevier.com/locate/inca/30411

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    References

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    1. Mok, Henry M K & Chan, Patrick P K & Cho, Yiu-sun, 1995. "A Hedonic Price Model for Private Properties in Hong Kong," The Journal of Real Estate Finance and Economics, Springer, vol. 10(1), pages 37-48, January.
    2. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
    3. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
    4. Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 369-84, July.
    5. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
    6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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    Cited by:
    1. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
    2. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth centre Working Paper Series 0602, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
    3. Qin Xiao & Donghyun Park, 2010. "Seoul housing prices and the role of speculation," Empirical Economics, Springer, vol. 38(3), pages 619-644, June.
    4. repec:ebl:ecbull:v:3:y:2006:i:7:p:1-8 is not listed on IDEAS
    5. Patricia Fraser & Martin Hoesli & Lynn Mc Alevey, . "House Prices and Bubbles in New Zealand," Swiss Finance Institute Research Paper Series 06-20, Swiss Finance Institute.
    6. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth centre Working Paper Series 0601, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
    7. Monkkonen, Paavo & Wong, Kelvin & Begley, Jaclene, 2012. "Economic restructuring, urban growth, and short-term trading: The spatial dynamics of the Hong Kong housing market, 1992–2008," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 396-406.
    8. Frederic Laurin & John-John D'Argensio & Thea Goginashvili, 2010. "The Real Estate Conundrum in the CEE Office Markets: Thinking Too Big?," Working Papers 10-001, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    9. Michael Funke & Michael Paetz, 2011. "Housing Prices and the Business Cycle: An Empirical Application to Hong Kong," Quantitative Macroeconomics Working Papers 21112b, Hamburg University, Department of Economics.
    10. Xin J. Ge & G. Runeson, 2004. "Modeling Property Prices Using Neural Network Model for Hong Kong," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 121-138.
    11. Sainan Jin & Wanjun Jiang & Liangjun Su & Jianying Hu, 2006. "The Rise in House Prices in China: Bubbles or Fundamentals?," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-8.
    12. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, vol. 33(C), pages 926-939.

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