Publication Type

Journal Article

Version

acceptedVersion

Publication Date

11-2015

Abstract

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates that the unit root hypothesis is rejected for the first difference of both indexes. We also do not reject the hypothesis that area-specific home purchases and rental price indexes are cointegrated with a cointegrating vector (1, - 1).

Keywords

Cointegration, Housing market, Market efficiency, Purchase and rental price, Singapore

Discipline

Asian Studies | Economics | Real Estate | Urban Studies and Planning

Research Areas

Applied Microeconomics

Publication

Regional Science and Urban Economics

Volume

55

First Page

80

Last Page

88

ISSN

0166-0462

Identifier

10.1016/j.regsciurbeco.2015.10.001

Publisher

Elsevier

Additional URL

https://doi.org/10.1016/j.regsciurbeco.2015.10.001

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