Analysis of structural changes in the relationship between regional housing markets in Taiwan
This paper examines both the long-run and short-run relationships among the four regional housing markets in Taiwan, under the structural change framework. The empirical results demonstrate that the regional housing markets have a cointegration relationship and the long-run relation has two structural changes. One turning point occurs in the 2000Q1 and is related to the economic recession; the other one is in the 2003Q2 and is related to the boom in the Taiwan housing market. The generalized impulse responses show that the shock of any single regional housing market will affect the other three markets. This paper demonstrates the existence of a ripple effect in Taiwan's regional housing markets.
Volume (Year): 32 (2012)
Issue (Month): 3 ()
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- Gregory, Allan W. & Hansen, Bruce E., 1996.
"Residual-based tests for cointegration in models with regime shifts,"
Journal of Econometrics,
Elsevier, vol. 70(1), pages 99-126, January.
- Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
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- Steven Clark & T. Coggin, 2009. "Trends, Cycles and Convergence in U.S. Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 264-283, October.
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
- Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
- Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332. Full references (including those not matched with items on IDEAS)
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