Long-term and Short-term Determinants of Property Prices in Hong Kong
AbstractProperty prices in Hong Kong increased markedly in late 2007 and early 2008, raising concerns about the risk of overheating in the property market. In this paper, we use co-integration analysis to analyze the short- and long-run determinants of property prices in Hong Kong. We find that the long-run determinants include GDP per capita, real interest rate, land supply, and the residential investment deflator, which reflects the impact of inflation and real construction cost. In the short-run, property price is also affected by equity price. Based on this framework, we assess the market conditions in early 2008. We also do graphical and clustering analyses of six property market indicators to supplement the co-integration analysis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Hong Kong Monetary Authority in its series Working Papers with number 0815.
Length: 24 pages
Date of creation: Oct 2008
Date of revision:
Contact details of provider:
Postal: 55th Floor, Two International Finance Centre, 8 Finance Street, Central
Web page: http://www.info.gov.hk/hkma/
More information through EDIRC
Property price; overheating; co-integration; clustering analysis;
Find related papers by JEL classification:
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Are Asia-Pacific Housing Prices Too High For Comfort?," Working Papers, Economic Research Department, Bank of Thailand 2008-11, Economic Research Department, Bank of Thailand.
- Kostas Tsatsaronis & Haibin Zhu, 2004. "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, March.
- Jonathan McCarthy & Richard W. Peach, 2004. "Are home prices the next "bubble"?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 1-17.
- DiPasquale Denise & Wheaton William C., 1994. "Housing Market Dynamics and the Future of Housing Prices," Journal of Urban Economics, Elsevier, vol. 35(1), pages 1-27, January.
- Leung, Charles Ka Yui & Chow, Kenneth & Yiu, Matthew & Tam, Dickson, 2010. "House Market in Chinese Cities: Dynamic Modeling, In-Sampling Fitting and Out-of-Sample Forecasting," MPRA Paper 27367, University Library of Munich, Germany.
- Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang, 2010. "Are House Prices Rising Too Fast in China?," Working Papers, Hong Kong Monetary Authority 1008, Hong Kong Monetary Authority.
- Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013.
"Detecting bubbles in Hong Kong residential property market,"
Journal of Asian Economics, Elsevier,
Elsevier, vol. 28(C), pages 115-124.
- Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers, Sim Kee Boon Institute for Financial Economics CoFie-03-2012, Sim Kee Boon Institute for Financial Economics.
- Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers, Singapore Management University, School of Economics 31-2012, Singapore Management University, School of Economics.
- Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang, 2011. "Are Housing Prices Rising Too Fast in China?," Working Papers id:3646, eSocialSciences.
- Dong He, 2013. "Hong Kong’s Approach to Financial Stability," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 299-313, March.
- Abdullah Yavas, 2013. "Asset Price Bubbles and Monetary Policy," Working Papers, Hong Kong Institute for Monetary Research 102013, Hong Kong Institute for Monetary Research.
- Chan Lily & Ng Heng Tiong & Rishi Ramchand, 2012. "A cluster analysis approach to examining Singapore’s property market," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Property markets and financial stability, volume 64, pages 43-53 Bank for International Settlements.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simon Chan).
If references are entirely missing, you can add them using this form.