The house price issue has become an issue that is enthusiastically discussed, especially when the occurrence of rising toward house price. Thus, the main objective of this study is to identify macroeconomic determinant which influences house price. The macroeconomic determinants that involved in this study are gross domestic product, real interest rate, inflation rate, money supply and household consumption and expenditure. This study also investigates the existence of long-run relationship between house price and the macroeconomic determinants. This study covers a period of seventeen years that starts from year 1998 to the year 2014. There are nine Asia countries that include in this study namely Hong Kong, Japan, South Korea, Singapore, China, Indonesia, Malaysia, Taiwan and Thailand. The results of this study showed that three from five macroeconomic determinants which is significant based on dynamic ordinary least squares estimation and fully modified ordinary least square estimation. The three macroeconomic determinants that are significant are real interest rate, inflation rate and household consumption and expenditure. In addition, panel cointegration test indicates the existence of long-run relationship between house price and macroeconomic determinants.

1.
Y.
Shen
,
E. C.
Hui
and
H.
Liu
,
Management Decision
43
,
611
627
(
2005
).
2.
J.
Cocco
,
Review of Financial Studies
18
,
535
567
(
2004
).
3.
R.
Yao
and
H.
Zhang
,
Review of Financial Studies
18
,
197
239
(
2005
).
4.
J.
Abraham
and
P.
Hendershott
,
Journal of Housing Research
7
,
191
208
(
1996
).
5.
M. J.
Roche
,
Economic Modelling
18
,
281
295
(
2001
).
6.
D. R.
Capozza
,
P. H.
Hendershott
,
C.
Mack
and
C. J.
Mayer
, NBER Working Paper
9262
,
1
35
(
2002
).
7.
A.
Barua
,
Asia Pacific Economic Outlook
Q2
,
27
35
(
2016
).
8.
J.
Muellbauer
and
R.
Lattimore
, “The consumption function: a theoretical and empirical overview”, in
Handbook of Applied Econometrics. Volume I: Macroeconomics
, edited by
M. H.
Pesaran
and
R. W.
Michael
(
Blackwell Publishing
,
Oxford and Cambridge
,
1999
), pp.
221
311
.
9.
Z.
Adam
and
R.
Fuss
,
Journal of Housing Economics
19
,
38
50
(
2010
).
10.
N.
Apergis
,
International Real Estate Review
6
,
63
74
(
2003
).
11.
R.
Sari
,
T. E.
Bradley
and
A.
Bahadir
,
Emerging Markets Finance and Trade
43
,
5
19
(
2007
).
12.
A.
Jadevicius
,
Journal of Baltic Studies
47
,
385
398
(
2016
).
13.
L.
Tupenaite
,
L.
Kanapeckiene
and
J.
Naimaviciene
,
Procedia Engineering
172
,
1169
1175
(
2017
).
14.
C.
Goodhart
and
B.
Hoffmann
,
Oxford Review Economic Policy
24
,
180
205
(
2008
).
15.
K.
Tatsaronis
and
H.
Zhu
,
BIS Quarterly Review
March
,
65
78
(
2004
).
16.
A.
Beltratti
and
C.
Morana
,
Journal of Banking & Finance
34
,
533
545
(
2010
).
17.
A.
Levin
,
C. F.
Lin
and
C. S.
Chu
,
Journal of Economics
108
,
1
24
(
2002
).
18.
J.
Breitung
, “The local power of some unit root tests for panel data,” in
Nonstationary Panels, Panel Cointegration and Dynamic Panels. Advances in Econometrics
edited by
B.
Baltagi
(
JAI Press
,
Amsterdam
,
2000
) pp.
161
178
.
19.
K. S.
Im
,
M. H.
Pesaran
and
Y.
Shin
,
Journal of Economics
115
,
53
74
(
2003
).
20.
G. S.
Maddala
and
S.
Wu
,
Oxford Bulletin of Economics and Statistics
61
,
631
652
(
1999
).
21.
I.
Choi
,
Journal of International Money and Finance
20
,
249
272
(
2001
).
22.
P.
Pedroni
,
Oxford Bulletin of Economics and Statistics
61
,
653
670
(
1999
).
23.
P.
Pedroni
,
Econometric Theory
20
,
597
625
(
2004
).
24.
C.
Kao
,
Journal of Econometrics
90
,
1
44
(
1999
).
25.
P.
Pedroni
,
Advances in Econometrics
15
,
93
130
(
2000
).
26.
P.
Pedroni
,
Review of Econometrics and Statistics
83
(
4
),
727
731
(
2001
).
27.
C.
Kao
and
M. H.
Chiang
,
Advances in Econometrics
15
,
179
222
(
2000
).
28.
N.C.
Mark
and
D.
Sul
,
Oxford Bulletin of Economics and Statistics
65
,
655
680
(
2003
).
29.
M.
Geffner
,
Do rising rates trigger lower house prices? WWW Document
, (http://www.bankrate.com/finance/mortgages/rising-rates-lower-house-prices.aspx).
30.
W.
Kuang
and
P.
Liu
,
International Real Estate Review
18
(
2
),
217
240
(
2015
).
31.
M.
Iacoviello
,
International Finance Discussion Papers
1027
,
1
15
(
2011
).
This content is only available via PDF.
You do not currently have access to this content.