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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/71556


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    题名: An Analysis of the Trend and Cyclical Behaviours of House Prices in the Asian Markets
    作者: 陳明吉
    Chen, Ming-Chi;Yuichiro Kawaguchi;Kanak Patel
    贡献者: 財管系
    关键词: Property;Prices;Structural systems;Time series analysis;Asian studies
    日期: 2004
    上传时间: 2014-11-19 15:52:44 (UTC+8)
    摘要: This paper examines the time‐series behaviour of house prices for the four Asian markets, namely, Hong Kong, Singapore, Tokyo and Taipei, by using structural time‐series methodology. The paper assumes two types of trend models to characterise and compare the long‐run movement of house prices. It also examines the cyclical pattern hidden in the series. The long‐run trend rate in these markets ranged between approximately 1.6 and 3.2 per cent per annum. Hong Kong, Singapore and Taipei have relatively higher figures, which could be expected in light of the rapidly growing economies. Surprisingly, their cyclical patterns were fairly similar, although causes of the cycles differed. The markets were found to have stochastic cycles of around one year, two to four years and seven to ten years, which were consistent with previous findings on real business cycles commonly observed internationally in other macroeconomic time series. However, the found stochastic nature suggests all these markets are not in a steady state and is still changing.
    關聯: Journal of Property Investment and Finance, 22(1), 55-75
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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