教師資料查詢 | 類別: 期刊論文 | 教師: 吳安琪 AN-CHI WU (瀏覽個人網頁)

標題:Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence
學年108
學期1
出版(發表)日期2019/11/01
作品名稱Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence
作品名稱(其他語言)
著者Zixiong Xiea; Shyh-Wei Chen; An-Chi Wu
單位
出版者
著錄名稱、卷期、頁數The North American Journal of Economics and Finance 50, 101036
摘要In this paper, we detect the housing price bubbles of eighteen OECD countries under assumptions of asymmetric adjustment and non-linearity. To this end, we adopt the momentum threshold autoregressive (MTAR) and exponential smooth transition (ESTR) approaches in this study. In order to consider the possibility of asymmetry between regimes of positive and negative changes in the price-rent ratio, we modify the Kilic (2011) and Park and Shintani (2005, 2016) tests and provide their critical values, finite sample size and power via Monte Carlo simulations. Among the main results, first, it is found that the price-rent ratios of eighteen OECD nations are integrated processes of order one by using the traditional unit root tests. Second, the property of asymmetric adjustment is empirically justified for the housing markets of Belgium, Germany and the US by using the MTAR unit root test. Third, the results of the ESTR-type unit root tests point to the conclusion that the housing markets of thirteen countries are globally stationary ESTR processes, implying that the further the price-rent ratio deviates from its fundamental, the faster will be the speed of mean reversion. Finally, the results of the modified Kilic (2011) and Park and Shintani (2005, 2016) tests are in line with the ESTR unit root tests, indicating that the bubble hypothesis is not accepted.
關鍵字Present value model;Price-rent ratio;Bubble;Non-linearity
語言英文
ISSN1062-9408
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
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