Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Sinpagore

Badi Baltagi and Jing Li

No 5559, CESifo Working Paper Series from CESifo

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; purchase and rental price; market efficiency (search for similar items in EconPapers)
JEL-codes: C10 R00 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp5559.pdf (application/pdf)

Related works:
Journal Article: Cointegration of matched home purchases and rental price indexes — Evidence from Singapore (2015)
Working Paper: Cointegration of Matched Home Purchases and Rental Price Indexes: Evidence from Singapore (2015)
Working Paper: Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Singapore (2015)
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:ces:ceswps:_5559

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().