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The Dynamics of Output Growth and Property Prices: Theory and Evidence

Author

Listed:
  • Kamhon Kan

    (Academia Sinica)

  • Sunny Kai Sun Kwong

    (Chinese University of Hong Kong)

  • Charles Ka Yui Leung

    (Chinese University of Hong Kong)

Abstract

This paper takes a preliminary step towards understanding the dynamics of property prices and their interaction with output growth. Our general equilibrium model is able to generate closed form solutions and testable hypotheses that are broadly supported empirically. In particular, our data confirm the following hypotheses: (1) the volatility of commercial property price is higher than that of residential property price, (2) each of lagged, contemporary, and forward commercial property price is positively correlated with residential property price, (3) the contemporaneous covariance between the two property prices is larger than the lagged covariance, and (4) output growth is positively correlated with both property prices.

Suggested Citation

  • Kamhon Kan & Sunny Kai Sun Kwong & Charles Ka Yui Leung, 2000. "The Dynamics of Output Growth and Property Prices: Theory and Evidence," Econometric Society World Congress 2000 Contributed Papers 0044, Econometric Society.
    • Handle: RePEc:ecm:wc2000:0044
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    Cited by:

    1. Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.

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