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The Comovement Effect of Macroeconomics and House Market in CH-HK-TW

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  • Jen-Shi Ni
  • Jin-Chung Liu
  • Chyan Mei Rong

Abstract

As the late repayment of the 2007 US subprime mortgage has gradually became worse, real estate investors started with short-sale and detonated a mobile crisis. Using global VAR model , we founded that the changes of U.S. GDP growth rates are helpful to predict the volatility of GDP growth rates of China, Hong Kong and Taiwan. The changes of China stock indexes could significantly predict the changes of Hong Kong stock indexes. And, all regional stock price indexes have significant effects to house price indexes. The interest rates of Taiwan and China are helpful to predict the interest rate of Hong Kong. The impacts of the changes of interest rates to the house price indexes showed a negative signal for each area. For the housing market index, the housing price index of Hong Kong could be used to predict the house price fluctuations of the United States and China. There is a significantly mutual predictable function among Hong Kong, Taiwan and China for the volatility effects of house price indexes.

Suggested Citation

  • Jen-Shi Ni & Jin-Chung Liu & Chyan Mei Rong, 2013. "The Comovement Effect of Macroeconomics and House Market in CH-HK-TW," Business & Entrepreneurship Journal, SCIENPRESS Ltd, vol. 2(2), pages 1-2.
    • Handle: RePEc:spt:busent:v:2:y:2013:i:2:f:2_2_2
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