Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221339
Title: STRUCTURAL & PRICING DYNAMICS OF THE PRIVATE HOUSING SECTOR
Authors: YENNY
Keywords: Real Estate
Ho Kim Hin, David
Cointegration
Error Correction Model (ECM)
Lagged structure
Private housing dynamics
Issue Date: 1-Jun-2010
Citation: YENNY (2010-06-01T09:39:53Z). STRUCTURAL & PRICING DYNAMICS OF THE PRIVATE HOUSING SECTOR. ScholarBank@NUS Repository.
Abstract: This study looks into the structural and pricing dynamics of the private housing sector in Singapore from the period of 3Q 1993 to 3Q 2009. It is useful for households and investors to better evaluate their housing investment choices. This study develops unique structural, expectation-augmented and error corrected stock-flow adjustment models, under the Error Correction Model (ECM) framework to determine the short-run adjustment dynamics while keeping them consistent with the long-run equilibrium for both the private housing price and private housing demand. Prior to the ECM specification, the unit root tests such as Augmented Dickey-Fuller (ADF) test as well as the cointegration test are carried out. Important macroeconomics factors such as Gross Domestic Product (GDP), prime lending rate (PLR), Straits Times Index (STI) and private housing stock were chosen as the explanatory variables in establishing the private housing price as well as private housing demand. The results show that model estimation for the private housing price achieves a very good fit of 92 per cent. There is very little serial correction for both private housing price and private housing demand, as shown in Durbin-Watson statistics. The error correction terms are negatively signed and as expected in both short-run adjustment ECM models of private housing price and private housing demand. It is deduced from the model results that GDP per capita is a significant variable and has an impact on the long-run pricing performance of the Singapore’s private housing market. Wealth effect, as reflected by Straits Times Index (STI) growth, has also played a significant role in establishing private housing demand in Singapore.
URI: https://scholarbank.nus.edu.sg/handle/10635/221339
Appears in Collections:Bachelor's Theses

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