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The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations

Author

Listed:
  • Kuang-Liang Chang

    (Department of Applied Economics, National Chiayi University, Taiwan)

  • Ming-Hui Yen

    (Department of Applied Economics,National Chiayi University, Taiwan)

Abstract

This paper investigates the possible responses of housing returns to macroeconomic and global variables for four special municipalities in Taiwan (Taipei, New Taipei, Taichung and Kaohsiung) over the period 1991Q1 to 2010Q4. Two interesting results have been observed. First, the housing market shows distinct high-volatility and low-volatility cycles for each city due to idiosyncratic characteristics. The frequency of regime switches between high-volatility and low-volatility markets is strongest in Kaohsiung's housing market and is lowest in New Taipei and Taichung. Second, while the growth rate of GDP, aggregate stock return, the growth rate of CPI and aggregate housing return are able to affect regional housing returns, their effects are different in each city.

Suggested Citation

  • Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
    • Handle: RePEc:ebl:ecbull:eb-13-00743
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    References listed on IDEAS

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    More about this item

    Keywords

    regional housing returns; regime switching specification; variable impact curve; time-varying transition probability;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • R1 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics

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