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What drives the property prices ? the Malaysian case

Author

Listed:
  • Mohamad, Shaifulfazlee
  • Masih, Mansur

Abstract

The aim of this paper is to investigate the drivers of the property prices. In particular, the paper seeks to identify the lead-lag relationship between the property prices and macroeconomic variables. Malaysia is taken as a case study. The standard time series techniques are employed for the analysis. The findings tend to indicate that inflation rate followed by exchange rate are the drivers of the property prices in Malaysia but not the interest rate or GDP. This is an important finding since the results would help the policy makers take steps to stabilize the property prices at least in the Malaysian context.

Suggested Citation

  • Mohamad, Shaifulfazlee & Masih, Mansur, 2017. "What drives the property prices ? the Malaysian case," MPRA Paper 102411, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:102411
    as

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    References listed on IDEAS

    as
    1. Oikarinen, Elias, 2009. "Interaction between housing prices and household borrowing: The Finnish case," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 747-756, April.
    2. Weber, Rachel & Bhatta, Saurav Dev & Merriman, David, 2007. "Spillovers from tax increment financing districts: Implications for housing price appreciation," Regional Science and Urban Economics, Elsevier, vol. 37(2), pages 259-281, March.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Masih, Mansur & Algahtani, Ibrahim, 2008. "Estimation of Long-run Demand for Money: An Application of Long-run Structural Modelling to Saudi Arabia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 61(1), pages 81-99.
    5. Mansur Masih & Ali Al-Elg & Haider Madani, 2009. "Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1691-1699.
    6. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
    7. Xiao, Qin, 2007. "What drives Hong Kong's residential property market—A Markov switching present value model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 108-114.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    property prices; macrovariables; lead-lag; Malaysia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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