LEUNG, K. Y. Charles and TANG, C. H. Edward (2011): Comparing two financial crises: the case of Hong Kong real estate markets.
Download (1MB) | Preview
Hong Kong is no stranger to bubbles or crisis. During the Asian Financial Crisis(AFC), the Hong Kong housing price index drops more than 50% in less than a year. The same market then experiences the Internet Bubble, the SARS attack, and recently the Global Financial Crisis (GFC). This paper attempts to provide some “stylized facts” of the real estate markets and the macroeconomy, and follow the event-study methodology to examine whether the markets behave differently in the AFC and GFC, and discuss the possible linkage to the change in government policies (“learning effect”) and the flow of Chinese consumers and investors to Hong Kong (“China factor”).
|Item Type:||MPRA Paper|
|Original Title:||Comparing two financial crises: the case of Hong Kong real estate markets|
|Keywords:||regime switching, structural change, small open economy, bounded rationality, banking policy|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R2 - Household Analysis > R20 - General
G - Financial Economics > G0 - General > G01 - Financial Crises
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E60 - General
|Depositing User:||Chi Ho TANG|
|Date Deposited:||15. Jun 2011 07:06|
|Last Modified:||30. Dec 2015 15:54|
1. Brown, G. W., and M. T. Cliff, 2004. Investor Sentiment and the Near‐term Stock Market. Journal of Empirical Finance, 11, 1-27.
2. Brown, G. W., and M. T. Cliff, 2005. Investor Sentiment and Asset Valuation. Journal of Business, 78(2), 405-440.
3. Canbas, S., and S. Y. Kandir, 2009. Investor Sentiment and Stock Returns: Evidence from Turkey. Emerging Markets Finance and Trade, 45(4), 36-52.
4. Case, K. E., J. M. Quigley, and R. J. Shiller, 2005. Comparing Wealth Effects: The Stock Market Versus the Housing Market. Advances in Macroeconomics, 5(1), 1-32.
5. Census and Statistics Department, http://censtatd.gov.hk.
6. Chan, K.; P. Yip, J. Au and D. Lee, 2005, Charcoal-burning suicide in post‐transition Hong Kong, British Journal of Psychiatry, 186, 67-73.
7. Chang, S. S.; D. Gunnell, J. Sterne, T. H. Lu and A. T.A. Cheng, 2009, Was the economic crisis 1997–1998 responsible for rising suicide rates in East/Southeast Asia? A time–trend analysis for Japan, Hong Kong, South Korea, Taiwan, Singapore and Thailand, Social Science and Medicine, 68(7), 1322-1331.
8. Chen, N. K., S. S. Chen and Y. H. Chou, 2010, House prices, collateral constraint, and the asymmetric effect on consumption, Journal of Housing Economics, 19, 26–37.
9. Chen, N. K. and C. K. Y. Leung, 2008, Asset Price Spillover, Collateral and Crises: with an Application to Property Market Policy, Journal of Real Estate Finance and Economics, 37, 351-385.
10. Choi, W. G. and D. Cook, 2004, Liability Dollarization and the Bank Balance Sheet Channel, Journal of International Economics, 64(2), 247-275.
11. Chow, Y. F., C. K. Y. Leung, N. Wong, E. H. F. Cheng and W. H. Yan, 2002, Hong Kong Real Estate Market: Facts and Policies, Hong Kong: Ming Pao Publisher (in Chinese).
12. Christian, L. and M. Eichenbaum, 1987, Temporal Aggregation and Structural Inference in Macroeconomics, Carnegie‐Rochester Conference Series on Public Policy, 26, 63-130.
13. Christian, L., M. Eichenbaum and D. Marshall, 1991, The Permanent Income Hypothesis Revisited,” Econometrica, 59, 397-424.
14. Chue, T. K. and D. Cook, 2008, Sudden Stops and Liability Dollarization: Evidence from Asia's Financial Intermediaries, Pacific‐Basin Finance Journal, 16(4), 436-452.
15. Commercial Radio, http://881903.com
16. Fu, Y., 2000. Hong Kong: Overcoming Financial Risks of Growing Real Estate Credit, in Asia’s Financial Crisis and the Role of Real Estate, eds., Koichi Mera and Bertrand Renaud, New York: M. E. Sharpe, 139-158.
17. Goodhart, C. and L. Dai, 2003. Intervention to Save Hong Kong, Oxford: Oxford University Press.
18. Gyourko, J. and D. Keim, 1992. What Does the Stock Market Tell Us About Real Estate Returns? Journal of the American Real Estate and Urban Economics Association, 20, 457-485.
19. Haldane, A. G., Executive Director, Financial Stability, Bank of England, 8 May 2009. Small Lessons From a Big Crisis.
20. Haldane, A. G., Executive Director, Financial Stability, Bank of England, 27 January 2010. The Debt Hangover.
21. He, L. T., F. C. N. Myer and J. R. Webb, 1996. The Sensitivity of Bank Stock Returns to Real Estate. Journal of Real Estate Finance and Economics, 12(2), 203-220.
22. Ho, L.S. and G. Wong, 2006. Privatization of public housing: did it cause the 1998 recession in Hong Kong? Contemporary Economic Policy, 24 (2), 262–273.
23. Ho, L.S. and G. Wong, 2008. Nexus between housing and the macro economy: the Hong Kong case. Pacific Economic Review, 13 (2), 223–239.
24. Ho, L.S. and G. Wong, 2009. The first step on the housing ladder: A natural experiment in Hong Kong, Journal of Housing Economics, 18, 59-67.
25. Ho, L.S., Y. Ma, and D. Haurin, 2008. Domino effects within a housing market: the transmission of house price changes across quality tiers. Journal of Real Estate Finance and Economics, 37 (4), 299–316.
26. Hoesli, M., and W. Camilo, 2007. Securitized Real Estate and Its Link with Financial Assets and Real Estate: An International Analysis. Journal of Real Estate Literature, 15(1), 59-84.
27. Hong Kong Monetary Authority, 5 September 1998. Strengthening of Currency Board Arrangements in Hong Kong.
28. Hong Kong Mortgage Corporation, Guaranteed Mortgage-Backed Pass‐Through Programme, http://www.hkmc.com.hk
29. Hong Kong Yearbook 1998, http://www.yearbook.gov.hk/1998
30. Housing Department, http://www.housingauthoriy.gov.hk
31. Jin, Y.; C. K. Y. Leung and Z. Zeng, 2010, Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis, forthcoming in Real Estate Economics.
32. Koop, G., M. H. Pesaran and S. M. Potter, 1996. Impulse Response Analysis in Nonlinear Multivariate Models. Journal of Econometrics, 74, 119-147.
33. Kothari, S. P., and J. B. Warner, 2007. Econometrics of Event Studies, Handbook of Corporate Finance, Volume 1, Elsevier.
34. Lands Department, http://www.landsd.gov.hk
35. Leeper, E. M., C. A. Sims, and T. Zha, 1996. What Does Monetary Policy Do? Brookings Papers on Economic Activity, No. 2, 1-78.
36. Leung, C. K. Y. and N. K. Chen, 2006. Intrinsic cycles of land price: a simple model, Journal of Real Estate Research, 28(3), 293-320.
37. Leung, C. K. Y. and N. K. Chen, 2010. Stock Price Volatility, Negative Auto‐correlation and consumption‐wealth ratio: the case of constant fundamentals, Pacific Economic Review, 15(2), 224-245.
38. Leung, C. K. Y., P. W. Y. Cheung and E. C. H. Tang, 2009. Financial Crisis and the Comovements of Housing Sub-markets: Do Relationships Change After a Crisis? Working Paper.
39. Leung, C. K. Y. and D. Feng, 2005. What drives the property price‐trading volume correlation: evidence from a commercial real estate market, Journal of Real Estate Finance and Economics, 31(2), 241-255.
40. Leung, C. K. Y., G. C. Lau and Y. C. F. Leong, 2002. Testing Alternative theories of the property price‐trading volume correlation, Journal of Real estate Research, 23(3), 253-263.
41. Leung, C. K. Y. and E. C. H. Tang, 2010. Speculating China economic growth through Hong Kong? Evidence from the stock market IPO and real estate markets, City University of Hong Kong, mimeo.
42. Leung, C. K. Y., P. Wei and S. K. Wong, 2006. Are the markets for factories and offices integrated? Evidence from Hong Kong, International Real Estate Review, 9, 62-94.
43. Leung, C. K. Y., S. K. Wong and P. W. Y. Cheung, 2007. On the Stability of the Implicit Prices of Housing Attributes: A Dynamic Theory and some Evidence. International Real Estate Review, 10(2), 65-91.
44. Liu, C. H., D. J. Hartzell, W. Greig and T. V. Grissom, 1990. The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence. Journal of Real Estate Finance and Economics, 3(3), 261-282.
45. Lutkepohl, H., 2005. New Introduction to Multiple Time Series Analysis, New York: Springer.
46. Ming Pao, http://www.mingpao.com.
47. Okunev, J., P. Wilson and R. Zurbruegg, 2000. The Causal Relationship between Real Estate and Stock Markets. Journal of Real Estate Finance and Economics, 21(3), 251-261.
48. Orosel, G. O., 1998, Participation costs, trend chasing, and volatility of stock prices, Review of Financial Studies, 11, 521-557.
49. Ortalo‐Magne, F. and S. Rady (2006), Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints, Review of Economic Studies, 73, 459–485.
50. Pesaran, M. H. and Y. Shin, 1998. Generalized Impulse Response Analysis in Linear Multivariate Models. Economics Letters, 58, 17-29.
51. Rating and Valuation Department, http://www.rvd.gov.hk
52. Renaud, B.; F. Pretorius and B. Pasadilla, 1997, Markets at work: dynamics of the residential real estate market in Hong Kong, Hong Kong: Hong Kong University Press.
53. Subrahmanyam, A., 2007. Liquidity, Return, and Order‐flow Linkages between REITs and the Stock Market. Real Estate Economics, 35(3), 383-408.
54. Tsang, J., Budget Speech 2010‐11, http://www.budget.gov.hk/2010
55. Tse, C. Y. and C. K. Y. Leung, 2002, Increasing Wealth and Increasing Instability: the role of collateral, Review of International Economics, 10(1), 45-52.
56. Wessel, D., 8 April 2010. Did ‘Great Recession’ Live Up to the Name? Wall Street Journal.
57. Wong, G., 2010, Three Essays on Housing Market in Hong Kong: Implications for Public Policy and Macro Economy,” Lingnan University, Hong Kong.
58. Yam, J., Chairman of Hong Kong Monetary Authority, 14 October 1998, “Defending Hong Kong’s Monetary Stability”, http://www.info.gov.hk/hkma.
59. Yiu, M., A. Ho, Y. Ma and S. K. Tsang, 2010, Hong Kong Linked Exchange Rate System and Hong Kong Dollar Exchange Rate Dynamics under Strong Capital Inflows, Hong Kong Monetary Authority, mimeo.