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Analysis of structural changes in the relationship between regional housing markets in Taiwan

Author

Listed:
  • Kuang-Liang Chang

    (Department of Applied Economics, National Chiayi University, Taiwan, R.O.C.)

Abstract

This paper examines both the long-run and short-run relationships among the four regional housing markets in Taiwan, under the structural change framework. The empirical results demonstrate that the regional housing markets have a cointegration relationship and the long-run relation has two structural changes. One turning point occurs in the 2000Q1 and is related to the economic recession; the other one is in the 2003Q2 and is related to the boom in the Taiwan housing market. The generalized impulse responses show that the shock of any single regional housing market will affect the other three markets. This paper demonstrates the existence of a ripple effect in Taiwan's regional housing markets.

Suggested Citation

  • Kuang-Liang Chang, 2012. "Analysis of structural changes in the relationship between regional housing markets in Taiwan," Economics Bulletin, AccessEcon, vol. 32(3), pages 2220-2230.
    • Handle: RePEc:ebl:ecbull:eb-12-00169
    as

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    References listed on IDEAS

    as
    1. Steven Clark & T. Coggin, 2009. "Trends, Cycles and Convergence in U.S. Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 264-283, October.
    2. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    3. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    4. Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332.
    5. McDonald, Ronald & Taylor, Mark P, 1993. "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
    6. Cook, Steven, 2005. "Regional house price behaviour in the UK: application of a joint testing procedure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 611-621.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    regional housing markets; cointegration; structural changes; generalized impulse response;
    All these keywords.

    JEL classification:

    • R1 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics
    • R0 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General

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