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A nonlinear ARDL analysis on the relation between housing price and interest rate: the case of Malaysia
Tan, Chai-Thing1, Lee, Chin-Yu2, Tan, Yan-Teng3, Keh, Chia-Guan4.
The purpose of this study is to examine the effect of interest rate on housing price
index in Malaysia. A nonlinear Autoregressive Distributed Lags (NARDL) model has been
applied for the period 1980Q1-1998Q1 and 1998Q2-2017Q1 to uncover the short run and
long run effect of interest rate on Malaysia’s housing price index. Throughout the period of
1980Q1-1998Q1, the model of NARDL estimation indicated a significant long run positive
relationship of interest rate increases to housing price index, and an insignificant long run
negative relationship of interest rate decreases to housing price index. For the period of
1998Q2-2017Q1, the interest rate increases and the interest rate decreases are insignificant
to influence the housing price index. This suggests that the role plays by the interest rate to
explain the movement towards the housing price index in Malaysia is getting less influence
than before.
Affiliation:
- Universiti Tunku Abdul Rahman, Malaysia
- Universiti Tunku Abdul Rahman, Malaysia
- Universiti Tunku Abdul Rahman, Malaysia
- Universiti Tunku Abdul Rahman, Malaysia
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