This paper investigates the dynamics of property prices and their interaction with output growth in a general equilibrium model. Closed form solutions and testable hypotheses are derived from a mildly restricted version of the model. The testable hypotheses are broadly supported empirically. In...

Tariff is probably one of the oldest form of taxation and there is a long history of tariff study. (For instance, see Irwin,1996), McCord (1970), and the reference therein.) Previous studies on tariff tend to ignore its impact on the housing market. Traditionally, the study of housing market and...

The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect...

This paper studies the relative volatility of commercial and residential property prices. Empirical evidence of commercial property prices being more volatile than that of residential property is presented. Models are built a la Lucas. Theoretical statements are derived to show the exact...

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers....

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...

A multi-period collateral-constrained model economy is built to study the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained entrepreneurs may need to liquidate their assets for debt repayment. This effect can spillover to the residential...

Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the...

We develop a general equilibrium model of residential choice and study the effects of two housing aid policies, public housing units and housing vouchers. Land is differentiated by both residential accessibility and local public goods, and the provision levels of local public goods are...

Housing prices in Hong Kong have gained international attention. This study suggests that the housing supply may be insufficient. Consistent with previous studies, we confirm that merely increasing the land supply may not increase the housing supply. We also find preliminary evidence for...