Price-Volume Correlation in the Housing Market ─ An Application of Markov-Switching Vector Autoregression Models

• Main Authors: LI,SHU-HUI, 李姝慧
• Other Authors: CHIANG,MING-CHU
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/q665r8

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === This research examines the correlation between house prices and trading volumes through real estate cycles using data of Taipei, New Taipei and Taoyuan from 2004Q1 to 2015Q4. Firstly, this research uses the vector autoregression (VAR) model to analyze the relationship between house prices and trading volumes and analyzes the effect of leading indicators of Taiwan real estate cycles on the relationship between house prices and trading volumes. In the second step, this research builds the Markov-switching vector autoregression (MSVAR) model to analyze the potential asymmetric correlation between house prices and trading volumes. The empirical evidence shows trading volume-caused components of prices and volume in Taoyuan finds real estate cycles. There is the asymmetric correlation in Taoyuan during real estate booms and busts. Morever, incorporating housing heterogeneity, this research combines regime transition probabilities and durations of regimes with housing supply elasticity. The conclusion suggests that cities with low supply elasticity (Taipei) are prone to external shocks. For example, shifts in demand can prolong the real estate cycles. However, cities with high supply elasticity (New Taipei, Taoyuan) may not easily be influenced by external shocks.