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The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?

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  • Chang, Kuang-Liang
  • Chen, Nan-Kuang
  • Leung, Charles Ka Yui

Abstract

This paper studies the dynamics of housing returns in Singapore. We first extract the movements of Singapore's economic aggregates that are free from foreign (U.S. and rest of the world) factors, and then examine the determinants of its housing returns. We find that both the domestic variables (such as GDP growth rate, volume of international trade, and exchange rate) and U.S. variables (such as the Federal Fund Rate and the External Finance Premium) are important during the boom regime. The bust regime is very different. Directions for future research are discussed.

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Bibliographic Info

Article provided by Elsevier in its journal Regional Science and Urban Economics.

Volume (Year): 42 (2012)
Issue (Month): 3 ()
Pages: 516-530

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Handle: RePEc:eee:regeco:v:42:y:2012:i:3:p:516-530

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Keywords: House price; International transmission mechanism; Regime-switching; Regime-dependent response; Two-stage procedure;

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Cited by:
  1. Leung, Charles Ka Yui & Shi, Song & Tang, Edward Chi Ho, 2013. "Commodity house prices," MPRA Paper 49489, University Library of Munich, Germany.
  2. Matthew S. Yiu & Lu Jin, 2012. "Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach," Working Papers 012012, Hong Kong Institute for Monetary Research.
  3. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
  4. Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013. "Detecting bubbles in Hong Kong residential property market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 115-124.
  5. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "In the Shadow of the United States: The International Transmission Effect of Asset Returns," MPRA Paper 32776, University Library of Munich, Germany.

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