Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223347
Title: SUBPRIME MORTGAGE CRISIS AND SINGAPORE PRIVATE RESIDENTIAL MARKET
Authors: LOKE WAI KEI
Keywords: Real Estate
De-lagging
Granger Causality/Block Exogeneity Wald test
Housing
Impulse response
Johansen cointegration
Singapore
Subprime mortgage crisis
Variance decomposition
Vector error correction model (VECM)
Issue Date: 1-Jun-2010
Citation: LOKE WAI KEI (2010-06-01T09:14:08Z). SUBPRIME MORTGAGE CRISIS AND SINGAPORE PRIVATE RESIDENTIAL MARKET. ScholarBank@NUS Repository.
Abstract: This study investigates the impact of the Subprime Mortgage Crisis on Singapore private residential market. The main objectives are to unravel short-term and long-term linkages amongst property markets and main economic indices between Singapore and U.S.; provide empirical evidences of possible impacts of Subprime Crisis on Singapore private housing market; and establish significance of the impacts between direct and indirect Singapore housing markets. The study period spans 20 years from 1Q1990 to 4Q2009. Preliminary results suggest low correlation and lead-lag correlation coefficients between Singapore and U.S., implying weak structural linkages. Zero-autocorrelation procedure is employed to de-lag and unsmooth the house price indices. Augmented Dickey Fuller and Johansen cointegration tests respectively reveal non-stationarity and contemporaneous long-run relationships within the indices which lead to the deployment of Vector Error Correction Model for further analyses. Granger causality tests, impulse response functions and variance decomposition test examine the short-term linkages of the indices. Results show Singapore private housing prices being granger caused by local prime rates, stock and property stock performances and U.S. private housing prices. Impulse response function reveals strong and perpetual response of Singapore housing prices towards U.S. housing prices. This is substantiated by results of the variance decomposition tests which indicate U.S. housing prices explaining most of Singapore housing prices variance by the seventh quarter.Overall, findings reveal the influential impact of the U.S. indices (especially U.S. housing prices) on Singapore direct housing market but not on indirect property stock market. In short, results affirm the impact of the subprime crisis on Singapore private housing market. This study also provides policy makers and investors with valuable insights into how variables influence one another through the structural linkages and forecasting elements. Investors can also benefit by recognizing patterns of information asymmetries depicted in the impulse responses.
URI: https://scholarbank.nus.edu.sg/handle/10635/223347
Appears in Collections:Bachelor's Theses

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