Description/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).
Document Type
Working Paper
Date
Fall 10-2015
Keywords
Cointegration, Housing Market, Purchase and Rental Price, Market Efficiency, Homogeneity
Language
English
Series
Working Papers Series
Disciplines
Economics | Economic Theory | Public Affairs, Public Policy and Public Administration | Social Welfare
ISSN
1525-3066
Recommended Citation
Baltagi, Badi and Li, Jing, "Cointegration of Matched Home Purchases and Rental Price Indexes –Evidence from Singapore" (2015). Center for Policy Research. 222.
https://surface.syr.edu/cpr/222
Accessible PDF version
Source
Local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Additional Information
Working paper no. 185