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Relationship between Real Estate Prices Shocks and Financial Credit Loans in Singapore
这一实证研究将研究住房价格的非对称性效应，以及住房价格的非线性转换。此外，它将研究如何通过住房价格波动的公式计算的住房价格波动影响金融贷款。
Contents
Abstract iii
1. Introduction
2. Literature Review
3. Data and Methodology
3.1. Data Description
3.2. Unit root tests
3.3. Non-linear transformations of housing price
3.4. Housing price volatility
3.5. Methodology of VAR model
4. Predicted Results
4.1. Methodology of VAR model
4.2. Asymmetric effects of housing price shocks
4.3. Effects of housing price volatility
References
Abstract
This paper begins with the current situation of housing prices in Singapore. In addition, this paper analyses the interaction between housing prices and financial credit loans. Then, based on the monthly data in 2001:1- 2014:12, it uses multi-VAR model to study empirically how the real estate volatility affect the financial credit loans in Singapore. This empirical study will research the asymmetric effects of housing prices shocks with non-linear transformations of housing price. Moreover, it will study how the housing price volatility effect the financial loansby the formula of housing price volatility.
Key words: real estate prices shocks; financial loans; housing price volatility; VAR model
Introduction
Real estate has dual characteristics of physical assets and virtual assets (Gimeno & Martinez-Carrascal, 2010). When considering real estate as virtual assets, the discounted present value of future expected returns is the determinants factor of the volatility of housing price, which make the volatility of real estate prices higher than the physical assets.
Singapore is one of the most economically developed regions in the world. The population density of Singapore is high and the growing rate of population is rapid. According to Department of Statistics of Singapore, in 2004, density of population is 7615 people/ km2. In other words, Singapore is also one of the most populous cities in the world. Moreover, in Singapore, there are two kind of residences: HDB flats and private properties. However, recently, the housing prices and trading volume of Singaporecontinue downward. Therefore, researching the relationships between real estate prices shocks and financial credit loans of Singapore has a great significance.
The structure of the empirical study is shown as follow. In section 3, I will present a brief statement of previous theoretical and empirical researches of how the housing prices effect the financial loans. I will describe the data sample of the empirical study in section 3. Section 4 will show the predicted result of the empirical study.
References
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