Empirical Modelling of Regional House Prices and the Ripple Effect

Chien-Chiang Lee () and Mei-Se Chien

Urban Studies, 2011, vol. 48, issue 10, 2029-2047

Abstract: This paper investigates the stationarity properties and long-run relationship of Taiwan’s regional house prices from 1993Q1 to 2009Q2. It applies the recent unit-root test of the panel seemingly unrelated regressions augmented Dickey–Fuller (SURADF) test developed by Breuer et al. The empirical results illustrate that Taiwan’s regional house prices are a mixture of stationary and non-stationary processes, showing that the stationarity properties of these prices are dependent on the structure and properties of the various regions. Secondly, the findings of the cointegration test provide substantive evidence for a long-run relationship among all regions except Taipei City, implying a diffusion of regional house prices among each regional market except Taipei City. Finally, the results of the weak exogeneity test indicate that uni-directional causality relationships exist for three regions—Taipei County, Taoyuan-Hsinchu and Tainan-Kaohsiung—towards Taichung. The regional house price efficiently diffuses itself among these regions, caused by a much smaller public housing sector and the pre-sale system in Taiwan.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0042098010385257 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:urbstu:v:48:y:2011:i:10:p:2029-2047

DOI: 10.1177/0042098010385257

Access Statistics for this article

More articles in Urban Studies from Urban Studies Journal Limited
Bibliographic data for series maintained by SAGE Publications ().