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Risk and predictability of Singapore's private residential market

Xiao, Qin; Huang, Weihong

Authors

Weihong Huang



Abstract

This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present value framework, and propose an unconventional approach as a first-step to screen for structural break(s). We found that a rational speculative bubble is an important predictor of the short-run price growth, especially in volatile times. Furthermore, rent is the only fundamental having a non-negligible impact. The study suggests that the major risk facing market participants comes from unpredictable local policy shifts, and/or a potentially predictable systemic risk. © 2010 Taylor & Francis.

Journal Article Type Article
Publication Date 2010-05
Print ISSN 1469-7688
Electronic ISSN 1469-7696
Publisher Taylor & Francis (Routledge)
Peer Reviewed Peer Reviewed
Volume 10
Issue 5
Article Number PII 919191037
Pages 529-543
APA6 Citation Xiao, Q., & Huang, W. (2010). Risk and predictability of Singapore's private residential market. Quantitative finance, 10(5), (529-543). doi:10.1080/14697680903236113. ISSN 1469-7688
DOI https://doi.org/10.1080/14697680903236113
Keywords Financial econometrics; Modelling asset price dynamics; Kalman filters; Econometric methodology; Empirical time series analysis
Publisher URL https://www.tandfonline.com/doi/abs/10.1080/14697680903236113
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