Risk and predictability of Singapore's private residential market
AbstractThis study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present-value framework, and propose an unconventional approach as a first-step to screen for structural break(s). We found that a rational speculative bubble is an important predictor of the short-run price growth, especially in volatile times. Furthermore, rent is the only fundamental having a non-negligible impact. The study suggests that the major risk facing market participants comes from unpredictable local policy shifts, and/or a potentially predictable systemic risk.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 10 (2010)
Issue (Month): 5 ()
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Web page: http://www.tandfonline.com/RQUF20
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- Xiao, Qin, 2010. "Systemic Stability of Housing and Mortgage Market: From the observable to the unobservable," MPRA Paper 23708, University Library of Munich, Germany.
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