Intrinsic bubbles and Granger causality in the Hong Kong residential property market

Ting Lan

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Intrinsic bubbles and Granger causality in the Hong Kong residential property market

机译：香港住宅物业市场的内在泡沫和格兰杰因果关系

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机译：This study uses the intrinsic bubbles detection method to identify housing bubbles in the Hong Kong residential property market.By using sample period data from 1993 to 2019,the empirical results show evidence of intrinsic bubbles.Based on the unit root and co-integration tests,I found that there are no rational speculative bubbles in the Hong Kong residential property market.Furthermore,by using the Gran ger causality tests of the corresponding asymmetric VECM specification,there is no causality from lagged changes in the rental price returns to changes in the property price returns.However,there is strong evidence to show that changes in the property price index returns can Gran ger cause changes in the rental price index returns.

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来源
《中国工商管理研究前沿：英文版》 |2019年第3期|P.304-318|共15页
作者
Ting Lan;
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作者单位

Department of Accounting and Financial Management Institute of Accoun ting and Fin a nee Beiji ng Institute of Technology Room QC513 QiuShi Building Zhuhai 519088 China;

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原文格式 PDF
正文语种 chi
中图分类中国工业经济;
关键词
Intrinsic bubbles; Speculative bubbles; Housing bubbles; Granger causality; VECM;

机译：固有气泡;投机泡沫;房屋泡沫;格兰杰因果关系;VECM;

Intrinsic bubbles and Granger causality in the Hong Kong residential property market

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