Identifying Turning Points of Real Estate Cycles in Taiwan

Lee Chun-Chang, Liang Chih-Min and Chou Hsing-Jung

Journal of Real Estate Portfolio Management, 2009, vol. 15, issue 1, 75-85

Abstract: Executive Summary. This paper applies the bivariate Markov-switching autoregressive model (MS-ARX) to identify the turning points of real estate cycles. The model with the best fit is L (1)-MSIH (2)-AR (8), of which, there 8 lags and both the intercepts and variances are subject to the influence of unobservable variables. This model confirms that the Composite Leading Index is ahead of the reference cycles by one quarter. Generally speaking, the Composite Leading Index has been producing rather accurate identifications of the four troughs and three peaks announced by the Taiwan Real Estate Research Center.

Date: 2009
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DOI: 10.1080/10835547.2009.12089829

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