期刊論文
| 學年 | 108 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2019-11-01 |
| 作品名稱 | Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence |
| 作品名稱（其他語言） | |
| 著者 | Zixiong Xiea; Shyh-Wei Chen; An-Chi Wu |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | The North American Journal of Economics and Finance 50, 101036 |
| 摘要 | In this paper, we detect the housing price bubbles of eighteen OECD countries under assumptions of asymmetric adjustment and non-linearity. To this end, we adopt the momentum threshold autoregressive (MTAR) and exponential smooth transition (ESTR) approaches in this study. In order to consider the possibility of asymmetry between regimes of positive and negative changes in the price-rent ratio, we modify the Kilic (2011) and Park and Shintani (2005, 2016) tests and provide their critical values, finite sample size and power via Monte Carlo simulations. Among the main results, first, it is found that the price-rent ratios of eighteen OECD nations are integrated processes of order one by using the traditional unit root tests. Second, the property of asymmetric adjustment is empirically justified for the housing markets of Belgium, Germany and the US by using the MTAR unit root test. Third, the results of the ESTR-type unit root tests point to the conclusion that the housing markets of thirteen countries are globally stationary ESTR processes, implying that the further the price-rent ratio deviates from its fundamental, the faster will be the speed of mean reversion. Finally, the results of the modified Kilic (2011) and Park and Shintani (2005, 2016) tests are in line with the ESTR unit root tests, indicating that the bubble hypothesis is not accepted. |
| 關鍵字 | Present value model;Price-rent ratio;Bubble;Non-linearity |
| 語言 | en |
| ISSN | 1062-9408 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/119622 ) |