Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/224077
Title: SINGAPORE PRIVATE RESIDENTIAL PROPERTY PRICES AND BUBBLES
Authors: TAN BEE QI ANGELINE
Keywords: Real Estate
Addae-Dapaah Kwame
2010/2011 RE
Augmented Dickey-Fuller
Bubbles
Johansen Cointegration Test
Private residential property
Wald Test
Issue Date: 20-Apr-2011
Citation: TAN BEE QI ANGELINE (2011-04-20). SINGAPORE PRIVATE RESIDENTIAL PROPERTY PRICES AND BUBBLES. ScholarBank@NUS Repository.
Abstract: This paper looks into the private residential property market in Singapore, in particular, to determine the presence of speculative bubbles. The objectives are to ascertain an appropriate statistical test for the presence of bubbles and to examine for any cointegration relationship between housing prices and selected macroeconomic specified variables. The study period would be between the periods of first quarter of 2000 and second quarter of 2010. From past literature, it is decided that cointegration analysis will be applied to a time-varying present value model to test for a long run relationship between the three variables identified i.e. constructed price-income ratio, real disposable income growth, and variance of housing market returns. Following which, the Wald test is conducted to test if fundamental prices and house prices are significantly different from zero. Given that the model is based on the assumption that house prices and real disposable income are each non-stationary but cointegrated, this assumption was also tested and proven. From the results from the cointegration analysis, the null hypothesis is rejected by both the trace and maximum eigenvalue test statistics at 5% significance level, thus suggesting that the variables of interest have a long-run stable relationship with one cointegrating equation. Finally, results of the Wald test showed that actual house prices do not deviate from their fundamental value and house bubbles are not present.
URI: https://scholarbank.nus.edu.sg/handle/10635/224077
Appears in Collections:Bachelor's Theses

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