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Title: The determination of house prices in Taiwan : long-run equilibrium and short-run dynamics
Author: Chen, M. C.
Awarding Body: University of Cambridge
Current Institution: University of Cambridge
Date of Award: 1999
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The primary purpose of this thesis is to formulate long-run equilibrium and short-run dynamic models to explain house price behaviour in Taiwan. The dynamic causal relationships between house price and its determinants are also examined. There are three key elements in this study; the influence of economic growth and housing investment demand through money supply on house prices; the significance of the structural change in the late 1980s; the effect of short-run excess demand fuelling price expectations. The main contribution of this study is to use cointegration analysis to model house prices in Taiwan. The house price models basically follow the stock adjustment approach with the housing market as service and investment markets. Given the strong investment demand, particularly over the past thirty years, monetary variables are considered in the models to capture the impact of liquidity emanating both from domestic and foreign monetary expansion in the economy. In addition, both backward and forward looking concepts are introduced into the user cost term to capture the price expectations. This thesis also attempts to use the non-linear function to capture the rapid price adjustment. The long-run equilibrium model suggests that house price is a function of permanent income, housing completions and construction costs. The results find that housing completions having the largest elasticity coefficient appear to be the driving force behind fluctuation in Taiwanese house prices in the long-run. For the short-run analysis, all the dynamic house price models successfully capture the rapid adjustment behaviour of house price series and achieve satisfactory results. The investment demand variables represented by domestic and foreign monetary expansion are significant in the short-run models. The non-linear variable that captures the rapid adjustment behaviour in house price series is significant, but its improvement to model's explanation is limited.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available