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Article: Negative Real Interest Rate and Housing Bubble Implosion: an Empirical Study in Hong Kong

TitleNegative Real Interest Rate and Housing Bubble Implosion: an Empirical Study in Hong Kong
Authors
KeywordsInterest rates
Housing
Hong Kong
Issue Date2009
PublisherEmerald Group Publishing Ltd. The Journal's web site is located at http://www.emeraldinsight.com/info/journals/jfmpc/jfmpc.jsp
Citation
Journal of Financial Management of Property and Construction, 2009, v. 14 n. 3, p. 257 - 270 How to Cite?
AbstractPurpose – The purpose of this paper to identify the asymmetric effect of real interest rate on housing return. Design/methodology/approach – It tests empirically the impacts of positive and negative real interest rate on housing return in Hong Kong by time series regression analyses on series from 1984Q1 to 2009Q2, keeping other macroeconomic factors constant. Findings – It shows that negative real interest rate imposes a much stronger, negative and significant effect on housing return than a positive one. Research limitations/implications – The results imply that the two housing bubbles in Hong Kong could be largely explained by the negative real interest rate. Although it is theoretically sound, empirical evidence on this asymmetric effect of real interest rate on housing return has seldom been found, because negative real interest rate is very rare in other countries in the past. Practical implications – It provides a good signal for housing bubbles in the future and helps understand the underlying causes of housing bubbles. Originality/value – The currency board arrangement in Hong Kong enables the first empirical study on this issue.
Persistent Identifierhttp://hdl.handle.net/10722/81854
ISSN
2015 SCImago Journal Rankings: 0.234
SSRN

 

DC FieldValueLanguage
dc.contributor.authorYiu, CYen_HK
dc.date.accessioned2010-09-06T08:22:43Z-
dc.date.available2010-09-06T08:22:43Z-
dc.date.issued2009en_HK
dc.identifier.citationJournal of Financial Management of Property and Construction, 2009, v. 14 n. 3, p. 257 - 270en_HK
dc.identifier.issn1366-4387en_HK
dc.identifier.urihttp://hdl.handle.net/10722/81854-
dc.description.abstractPurpose – The purpose of this paper to identify the asymmetric effect of real interest rate on housing return. Design/methodology/approach – It tests empirically the impacts of positive and negative real interest rate on housing return in Hong Kong by time series regression analyses on series from 1984Q1 to 2009Q2, keeping other macroeconomic factors constant. Findings – It shows that negative real interest rate imposes a much stronger, negative and significant effect on housing return than a positive one. Research limitations/implications – The results imply that the two housing bubbles in Hong Kong could be largely explained by the negative real interest rate. Although it is theoretically sound, empirical evidence on this asymmetric effect of real interest rate on housing return has seldom been found, because negative real interest rate is very rare in other countries in the past. Practical implications – It provides a good signal for housing bubbles in the future and helps understand the underlying causes of housing bubbles. Originality/value – The currency board arrangement in Hong Kong enables the first empirical study on this issue.-
dc.languageengen_HK
dc.publisherEmerald Group Publishing Ltd. The Journal's web site is located at http://www.emeraldinsight.com/info/journals/jfmpc/jfmpc.jspen_HK
dc.relation.ispartofJournal of Financial Management of Property and Constructionen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectInterest rates-
dc.subjectHousing-
dc.subjectHong Kong-
dc.titleNegative Real Interest Rate and Housing Bubble Implosion: an Empirical Study in Hong Kongen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1363-2175&volume=&spage=&epage=&date=2009&atitle=Negative+Real+Interest+Rate+and+Housing+Bubble+Implosion+–+an+Empirical+Study+in+Hong+Kongen_HK
dc.identifier.emailYiu, CY: ecyyiu@hkucc.hku.hken_HK
dc.identifier.authorityYiu, CY=rp01035en_HK
dc.description.naturepostprint-
dc.identifier.hkuros164423en_HK
dc.identifier.volume14-
dc.identifier.issue3-
dc.identifier.spage257-
dc.identifier.epage270-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn1434312-

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