政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/71551

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/71551

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题名:	House Price Dynamics and Granger Causality: An Analysis of Taipei New Dwelling Market
作者:	陳明吉 Chen, Ming-Chi;Kanak Patel
贡献者:	財管系
日期:	1998
上传时间:	2014-11-19 15:49:08 (UTC+8)
摘要:	The primary purpose of this paper is to examine dynamic causal relationships between house price and its five determinants, including total household income, short-run interest rates, stock price index, construction costs, and housing completions, in Taipei new dwelling market. Granger causality tests, variance decomposition, impulse response functions based on the vector error-correction model are utilised. All five determinants Granger cause house prices, but only house prices and stock price index have a bilateral feedback effect. The variance decomposition results suggest that disturbances originating from current house prices inflict greatest variability (66 percent of variance) to future prices. The remaining 34 percent of the variance is explained by the five determinants. On the supply side, the construction costs and housing completions together explain about 10 percent of the house price variance. On the demand side, short-run interest rates, total household income and stock price index explain about 24 percent of the variance.
關聯:	Journal of Asian Real Estate Society, 1(1), 101-126
数据类型:	article
显示于类别:	[財務管理學系] 期刊論文

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