Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/124657
Authors: 
Li, Jing
Baltagi, Badi
Year of Publication: 
2015
Series/Report no.: 
55th Congress of the European Regional Science Association: "World Renaissance: Changing roles for people and places", 25-28 August 2015, Lisbon, Portugal
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 home purchases and rental price indexes are cointegrated with a cointegrating vector (1,-1).
Subjects: 
Cointegration
housing market
purchase and rental price
market efficiency
JEL: 
R00
C1
Document Type: 
Conference Paper

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