A cointegration approach to the price dynamics of private housing. A Singapore case study

Abstract

This paper looks into the dynamics of private housing prices in Singapore from the first quarter of 1985 to the fourth quarter of 1995. Employing the cointegration analysis, the paper shows that overall private housing price is cointegrated with real gross domestic product, prime lending rate and private housing starts. An error‐correction mechanism is also incorporated in the estimation of changes in the overall private housing price to account for the short‐run deviations from the equilibrium relationship among these variables.

Citation

Ho Kim Hin, D. and Calero Cuervo, J. (1999), "A cointegration approach to the price dynamics of private housing. A Singapore case study", Journal of Property Investment & Finance, Vol. 17 No. 1, pp. 35-60. https://doi.org/10.1108/14635789910252891