An International Comparative Study on HousingPrice and Property Tax LiabilitiesSun-Tien Wu, Chun-Hao Yueh

The 17th ERES Annual Conference, June 23-26, 2010, Milano, Italy

Contents of presentationPurpose of this studyThe conceptual framework of the studyEmpirical resultsDiscussionsConcluding Remarks

MotivationThe increasing house price trend in U.S., U.K., Taiwan and H.K. is concomitant with decreasing interest rates and financial deregulation since 1990s up to the eruption of financial catastrophe two years ago. Does growing financial integration contribute to a common trend among the housing markets?

The house price index of selected countries

Chart2

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99.4678881634101.7976303963105.492899.703264095100.678913738112.9032258065

98.1025838189102.3559852921107.80799.9670293439104.3530351438132.0564516129

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91.8791426589101.1848018521110.475599.3076162216101.7172523962160.4838709677

90.7848924838102.7917744791116.510599.7692054072102.4361022364175

90.1256830859102.6828271824116.9105100.0329706561107.4680511182178.8306451613

86.1741374105101.7840119842116.7642100.1318826245108.0670926518172.7822580645

86.6646758164101.4026964456116.9194100.3626772173108.8658146965171.5725806452

88.3574147917102.7917744791114.2857101.2528849324109.5846645367183.5349462366

87.8156034161103.5816423805120.9268101.4836795252111.0623003195197.3790322581

86.3283259222103.3773661991118.9256101.3517969008110.1038338658197.6478494624

86.6742157154104.1263788642121.7056101.2528849324110.7028753994227.6209677419

85.2330695756106.3053247991122.2412101.2858555885111.5015974441235.4166666667

85.7863464381106.5368378047117.5099101.3517969008113.2188498403233.7365591398

85.8859972189106.0738117935116.5358101.1210023079114.1773162939229.9059139785

83.4438132474105.8695356121116.0174100.8242664029115.6150159744225.6048387097

82.817295463107.9667710745112.2988100.3626772173116.9728434505222.4462365591

82.1179975505108.770257388109.974499.9670293439119.0095846645210.3494623656

81.3631700405108.2799945526106.37799.1757335971119.1693290735206.9220430108

81.6262489877108.4161786736106.089998.6811737554119.9680511182219.4220430108

83.2241807873110.4589404875105.591697.9887899769121.8849840256228.8978494624

84.5897577868111.2896636252104.692597.9228486647124.4808306709235.3494623656

85.903185384110.5542693722104.645198.1206726014125.7587859425259.1397849462

86.3825557096111.4258477462101.413598.582261787127.8354632588308.6021505376

89.2579873253113.7818330383104.359298.8789976921129.6725239617336.8951612903

91.9524265492114.8985428299102.870899.0108803165130.5910543131341.8010752688

92.8387335597115.4841345499100.875899.2746455654130.2715654952328.2258064516

94.1560132708116.7234100504102.5699.6373227827129.6325878594281.5860215054

95.8497289391120.250578782599.9499.8021760633123.6022364217251.6129032258

97.2146776434122.701892959390.1899.9670293439108.8658146965209.0053763441

96.7036236226123.668800217990.71100.0329706561105.7108626198201.9489247312

98.8228025847125.398338553788.4100.1648532806104.9121405751206.6532258065

101.4573960784129.034454582690.23100.3956478734109.8242811502206.4516129032

104.7818790337132.139452539890.64100.857237059114.8562300319201.0752688172

107.2777687816133.855372463689.99101.5496208375118.9297124601192.0698924731

111.2315885366136.184120931588.25102.0771513353122.6437699681195.0940860215

114.1355220336141.318262290688.86102.6706231454127.4760383387181.5860215054

113.5615987096144.804575786585.53103.2311242994132.268370607176.0752688172

113.8009647444146.942666485183.09103.9564787339134.5047923323169.6908602151

117.2109855586148.808388941881.63104.6488625124137.4201277955163.3064516129

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125.4757599809157.292659675981.91106.2314540059146.1261980831158.5349462366

127.6679096566158.286803758782.95106.7919551599153.3945686901148.8575268817

131.4871524211160.697262699282.83107.9788987801158.3067092652148.7231182796

141.0154686803166.471469426785.68109.7263435542166.2539936102145.564516129

150.4878754989171.769031730983.71110.6824925816172.803514377138.373655914

156.0128869875175.105542693784.87112.1332014507175.5191693291131.25

160.4920665011177.693040991488.87113.353115727175.8785942492126.4784946237

165.8333562558182.759090290192.47114.6060006594175.8785942492120.6317204301

171.1530153801188.492441781394.9116.0237388724176.7172523962119.5564516129

175.5539415351193.776385673490.68117.7382129904174.9874268971129.7715053763

181.3791295668199.182895274495.5119.0570392351173.9478973773148.3870967742

191.0899404296208.252757728496.9121.299043851171.8195955704155.6451612903

196.3913922006215.892686912794.82122.8816353445171.7168486671156.8548387097

193.2334552439222.061827590996.42124.0685789647167.9687019841168.0779569892

193.1359248786230.40991420497.95125.1566106166164.8883388178181.25

196.7994593878240.637341686102.15127.0359380152163.2877995001190.5913978495

196.2500163663249.3258886014102.45128.684470821164.6870090452188.6424731183

194.8384091213254.6234509056109.53130.9924167491165.7770801111181.7204301075

197.9568004703256.9249625494108.74133.9597757995168.2633832821184.4758064516

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213.197158205245.1450360888123.99153.3465215958182.2643363434209.7446236559

210.2568800959232.5343864905123.63154.5994065282182.8218579254228.2930107527

203.7416026305217.3498570067143.03156.3138806462183.9055442311252.0833333333

194.3669132118212.6923600708135.82156.7095285196185.0975527891253.8306451613

182.2027902746205.2022334196132.62156.9073524563187.6957141615248.4543010753

174.5058732272190.0994144083129.87155.9841740851189.1211459868217.7419354839

170.2184366859176.0724499523127.25153.7421694692188.7987543252217.8091397849

173.7714950874181.4244859049139.52151.7969007583186.8678083961236.0215053763

179.1267947347187.430205638145.05152.2255192878188.5523138804256.3172043011

179.2261947093185.3329701757151.7153.7091988131189.469433533267.8091397849

UK

US

TW

CAN

KOR

HK

original

UKHPUSHPTAIHPCANHPKORHPHKHPUKYUSYTAIYCANYKORYHKYUKIUSITAIICANIKORIHKIUKTUSTTAITCANTHKTTAIDPCANDPUSDPUKDPKORDPHKDPHKHPFTAIHPFKORHPFUSHPFUKHPFCANHPFOSTA

1991Q1100100100.001001001002569.500580517323460.153345268457855.462575736424411.36379703591221771.339991933620.267638286513.16679.1910.511.5833109.5000.76377853042.32485999270.17377867971.52195340810.35846929631632.2541000.3668935165.751887578690.72528633194.2042785031105.107770884784.525934747696.6802930308

1991Q299.4678881634101.7976303963105.4999.703264095100.678913738112.90322580652551.101464031223582.889373630859513.60612384524227.25811936821244179.1238970634083.111402782611.66678.6666710.4710.08331010.5000.75558189852.5041622560.16434309771.53590684350.3319361331491632.25-3700871.210.36196754156.151930585680.364888736385.655533809107.805924515988.161065051199.4188562975.1394268918

1991Q398.1025838189102.3559852921107.8199.9670293439104.3530351438132.05645161292560.027944113923616.99929535260014.566547310323973.28583294521278283.1466189435025.747203546610.83338.410.229.66667109.0000.76651843392.82063577130.17674185451.54930995890.2896779891-271632.25-6400-515.211.96344420160.697735463385.27078008189.7035649988108.344069135988.886088931699.9650605876.1644815439

1991Q494.9172019989101.6614462754108.7199.6373227827101.9568690096147.58064516132585.678997343823605.182902017960871.934728299723643.1672222641319046.2603002235524.006669109510.57.596679.548.41667108.5000.78857875562.64779892580.18324530551.56218353020.2698468333-61632.255100-1268.12-1.28235769167.076076131292.154367722395.3834660632108.487841898789.0797890682100.11098660186.4383390421

1992Q191.8791426589101.1848018521110.4899.3076162216101.7172523962160.48387096772593.603811171823753.925945723761967.245908888423570.32707952851327521.5659323535644.279074023710.56.59.147.75108.5000.81056553942.46504680880.17612758911.58107528530.2373710159373345000-1448.51-0.13417414170.054698667495.368935639898.0359241545108.104534030588.56337145999.72193801865.7082165083

1992Q290.7848924838102.7917744791116.5199.7692054072102.43610223641752572.826928673723894.363409091762332.265275087523560.36662442941344053.3646822835987.788396793410.16676.59.077.41667107.0000.80333065492.34442964340.17578359821.59967350090.2202395309163343800476.410.38307849173.372010643398.9490215757100.9899845918107.498212228187.746494787599.10653547214.5532983672

1992Q390.1256830859102.6828271824116.91100.0329706561107.4680511182178.83064516132566.607990679523998.865989219263485.207677349423613.20986741121352703.0465904636608.86159159539.666676.006679.26.5106.5000.80988723342.27773977450.18167674451.61798289550.217464057-73342700-419.982.69122740178.6426903505104.6372072105.6835155331107.282164933887.455421641398.88725248654.1417727739

1992Q486.1741374105101.7840119842116.76100.1318826245108.0670926518172.78225806452583.6005506624152.141786072564384.133699396323583.3543141581379631.7028027936705.70526647047.3333369.278.25106.5000.84348705592.2314641630.17822818221.63600856680.2255233618233341600-2074.970.32-41671181.7525851529107.993445843108.4528713449107.133685106987.255379837998.73654891093.8589492881

1993Q186.6646758164101.4026964456116.92100.3626772173108.8658146965171.57258064522598.510497449224073.507893098666091.777808893923639.31420642511401697.2937667137285.9981696808669.316.416678.833336.5000.86053233542.32991418430.1881652631.64717149610.2338400965-24760.75-4200-39.700.43-29006180.800863992106.9663360721107.6053653372106.586211352886.517787133498.18087576652.8161245571

1993Q288.3574147917102.7917744791114.29101.2528849324109.5846645367183.53494623662569.18693404924111.531959673166457.523343485123803.98686565291433626.8097178537498.7491807657669.3168.56.5000.84668025872.41937897830.18578301471.65805822110.209697504516760.75-23001789.760.38469200180.8442117183107.0131174983107.6439664107106.355277520686.206657862897.94648329072.3762431755

1993Q387.8156034161103.5816423805120.93101.4836795252111.0623003195197.37903225812605.682545714324191.245528610167783.367692165923776.10720214331461298.8299967338159.4185364808669.295.758.56.5000.86535782122.53773221330.19203078011.66867495350.207115228-12760.75-3000-171.880.79139719182.9184594389109.2516724326109.4910803309106.669793158986.630394048398.26570935842.9753306813

1993Q486.3283259222103.3773661991118.93101.3517969008110.1038338658197.64784946242632.784775923124411.84820449767641.16819933323900.93321714251477327.0104094637932.02043025985.6666769.125.583338.56.5000.89324412772.48747793160.1947964581.67902774660.202627288-2760.752100-696.39-0.51178203188.4471553211115.2183124459114.414374219106.882046192386.916355316398.48114125733.3796289893

1994Q186.6742157154104.1263788642121.71101.2528849324110.7028753994227.62096774192648.901259784924561.543603483668672.217952911224203.59635865451523204.1800826538978.73162737125.333336.029.125.758.56.7500.89671274082.29957073470.18186109681.6730546270.1768652373481253.257900276.830.32691454187.8383371197114.5612679785113.8722226893106.800554124386.806563834298.39842870113.2244033857

1994Q285.2330695756106.3053247991122.24101.2858555885111.5015974441235.41666666672659.950123989724797.641700959669825.37407636824510.03793190011555781.0452608538648.50469454725.256.896678.937.166678.57.2500.90437891282.59680172780.18084927581.6671147130.179981490671253.25-800035.200.4316788195.2354481337122.5443257373120.4593369419106.843134983786.863931572998.44164728443.3055111519

1994Q385.7863464381106.5368378047117.51101.3517969008113.2188498403233.73655913982684.585472140224826.272218834569176.099937299924997.75486075211587022.5759189538283.32289027295.416677.503338.877.258.57.7500.90614631062.55257150030.19314880031.66120813720.1823663575-401253.251400369.180.9232683197.7240351099125.2300409484122.6754192352106.910172885586.954249450198.50968919763.4332045461

1994Q485.8859972189106.0738117935116.54101.1210023079114.1773162939229.90591397852730.230934585925052.802644009571298.300619160825246.57025657091645422.5564540337914.53452413915.916678.133339.017.333338.58.5000.90765764512.48050341520.1892001741.65533501590.1950244689171253.252100382.440.51-223954196.7837446323124.2152673188121.8380922308107.032550569287.119124726798.63389970413.6663088257

1995Q183.4438132474105.8695356121116.02100.8242664029115.6150159744225.60483870972700.482752612624993.333151957570839.225810072125419.74608948411692655.9958113937438.22295666366.583338.8333399.599.0000.93799194162.29708066440.19418710031.68506630110.2030523014-9-1796.55000-1029.480.77-99450196.0045094599123.3743066549121.1441846903107.030225964987.115992866798.63154028473.6618809333

1995Q282.817295463107.9667710745112.30100.3626772173116.9728434505222.44623655912704.617867283624879.2485150671876.976682500925418.44180434851750028.1750261936960.77165281366.7598.959.2599.0000.93993367412.23796949030.19792435071.71542624010.2094057931-3-1796.52100548.970.73-59033195.44613682122.7717036891120.6469548437106.712631851286.688109156498.3091896363.056929566

1995Q382.1179975505108.770257388109.9799.9670293439119.0095846645210.34946236562726.943079048625037.928759344773148.918512447825369.28949795231797641.2848988336548.15735072076.758.766678.848.0833399.0000.95739095952.33674013930.215229461.7464379380.2265410173-41-1796.5-2700-298.921.09-263968194.1933318123121.4196603416119.531334204106.591683807886.525159985298.18643018122.8265484566

1995Q481.3631700405108.2799945526106.3899.1757335971119.1693290735206.92204301082746.251532664425160.72129231674517.822879542125355.39929143311793959.7545962236647.6480767026.666678.716678.747.7598.7500.97706697672.41154649880.22159246721.77812509930.2281211179-12-1796.5-2000-404.130.0937761191.656304221118.681667393117.2721156287106.463963862186.353087261398.05679740282.5832682683

1996Q181.6262489877108.4161786736106.0998.6811737554119.9680511182219.42204301082762.742140656625191.888030698174544.06488810125225.45767618231844275.5941875937135.41729199186.166678.333338.7798.5000.98384443012.27964987560.22294769291.77253430470.2156142751641.55400437.290.43283730189.8267702434116.7072106912115.642918863106.152964298785.934088163597.74114006951.9908781609

1996Q283.2241807873110.4589404875105.5997.9887899769121.8849840256228.89784946242807.525860811425415.242343190775915.094972446625345.22369386981863559.2623580137189.81151632585.916678.258.646.58.766678.5000.96758982682.32868458770.22147196811.7669798340.21225312631441.5-13001664.291.02111860192.6274353135119.7297246126118.136906146105.952469777485.663968737597.53764278731.6089773965

1996Q384.5897577868111.2896636252104.6997.9228486647124.4808306709235.34946236562845.747647101825522.692972975276471.761965627225574.74747762831881133.1876550537584.33891394665.758.258.55.9166711.08338.5000.9644616572.25340761210.23120277861.76146133330.208719813-1541.53500975.971.39118193195.376470625122.6965190315120.5849172205106.081161405385.837350575897.66826180051.8541084393

1996Q485.903185384110.5542693722104.6598.1206726014125.7587859425259.13978494622854.228743433225699.824044634876775.381312863325813.18021136561899676.7237001138330.045182594968.258.344.8333311.04678.5000.95820442072.32106473360.22858947461.75597845340.18003690471641.5-13001161.900.68792434197.6205951513125.1184072089122.5833061353106.35061374186.200374511697.94174966272.3673596359

1997Q186.3825557096111.4258477462101.4198.582261787127.8354632588308.60215053762887.899893373725828.848012023578793.337779033726000.95395622991881792.6305194838703.052186617268.266678.254.7511.388.7500.9628563532.17517567710.2362542681.75011314170.1481030105-179306400640.941.111235518203.2851331965131.2316498392127.6275672288106.593838738886.528063250398.18861738612.8306531564

1997Q289.2579873253113.7818330383104.3698.8789976921129.6725239617336.89516129032931.997847154626106.287403442979666.321977465826069.02338453271947227.0485602839450.88165659566.258.58.24.7511.418.7500.93507927592.17107840330.23582081391.7442866980.133892773539307002592.320.98771248213.9910104014142.7855708124137.1611319123106.917726956986.964426792798.51735640463.4475934961

1997Q391.9524265492114.8985428299102.8799.0108803165130.5910543131341.80107526882985.979231919926358.710042119580504.93503702526279.8046093051958043.8514232239155.90412539316.916678.58.234.7511.60338.7500.91327681282.22360940630.232565021.73849874040.14178976910930-13002350.980.49-362610222.107957148151.5454845923144.3892586095107.633490652187.928750791399.24383993034.8109758998

1997Q492.8387335597115.4841345499100.8899.2746455654130.2715654952328.22580645163023.760573090726491.33073762884617.197782190126379.89012737471994894.4862181138032.23466067957.166678.58.335.5833313.11339.5000.91151602282.26766447640.24872870621.73274889210.1378451158-37930-10001075.96-0.17258103223.479473069153.0256422908145.6105911072108.401368251988.9632860751100.02321785896.2736245572

1998Q194.1560132708116.7234100504102.5699.6373227827129.6325878594281.58602150543056.792151603326654.060397786383666.955046642526512.58837476761822834.3469020536365.76345020767.258.58.476.3333317.276710.0000.9159907612.3124406670.2580567271.75017066360.1666651124-14-560.25-19001073.87-0.34-1232160219.9537496038149.2206359835142.4709406079108.984440929889.7488399946100.6150230847.384257905

1998Q295.8497289391120.250578782599.9499.8021760633123.6022364217251.61290322583091.533607837926752.966956393184427.718774026326498.65132571361755960.8641118435517.60259218947.333338.58.526.516.926710.0000.90276348992.28468496070.24047866841.76765082150.198745340247-560.2512002317.74-3.22-956335210.0596147547138.5427578465133.6602310541109.587933034290.5619043106101.22755355278.5337860543

1998Q397.2146776434122.701892959390.1899.9670293439108.8658146965209.00537634413147.730410374927042.74754363285496.028973696826465.79615241721748734.0144591234681.52267968517.58.496678.526.7514.846710.0000.90617545822.15702694830.24873842541.7851903260.2338342908-13-560.2560001145.25-7.87-749148200.1206000485127.8164447879124.8095560671110.40778010691.6664562903102.059679288210.0954258509

1998Q496.7036236226123.668800217990.71100.0329706561105.7108626198201.94892473123198.329687401527435.948299402384661.919620797826785.13482873941769884.9628287434588.84215533076.757.928.416.8333312.06679.0000.9259139762.22512262420.25068810671.80279062650.25383184493-560.25-1900-53.62-1.69-323170182.1154977304108.3851057845108.7760443522111.213179589492.7515435273102.87714105711.6295459677

1999Q198.8228025847125.398338553788.4100.1648532806104.9121405751206.65322580653223.921267372427634.791011277187304.430397566327203.26854460561815558.677100634364.27786624175.666677.758.216.7510.70338.7500.92549281232.09965667530.2716663141.804637410.2279858123-43144560001164.71-0.43127769178.6688095148104.6653953395105.7067746026111.673442693.3716401733103.344297322312.5062521961

1999Q2101.4573960784129.034454582690.23100.3956478734109.8242811502206.45161290323250.180501457827617.832789583888546.57529189727656.87378597711873358.0738365135242.20587103275.166677.758.076.333339.383338.2500.90701479752.21041562870.25133291221.80632595720.2103585979471445-42002532.322.622975178.5354877225104.5215127391105.5880517828112.302012878894.2184914579103.982281555713.7035491021

1999Q3104.7818790337132.139452539890.64100.857237059114.8562300319201.07526881723300.744531053327837.178403088487631.863127400128178.69180010131946298.5056001735837.93113472385.083338.103337.976.258.873338.5000.8920405752.41270802140.26279826641.80786186680.2052720802-231445-68002352.302.69-242108180.8820172201107.0539176842107.677632143113.251820705595.4981351273104.946314438815.512737367

1999Q4107.2777687816133.855372463689.99101.5496208375118.9297124601192.06989247313328.829312441728199.146877427487713.00227245828548.74586265431984092.8779669236505.21343311685.416678.373337.866.416678.623338.5000.87891354442.48551307410.26807309871.80925051680.1889671355-81445-9002275.422.18-17142181.8839960734108.1352662058108.5698925367114.430267838397.0858167307106.14241090717.7574364139

2000Q1111.2315885366136.184120931588.25102.0771513353122.6437699681195.09408602153361.247253718627975.995824693289225.682975512829061.67873255522018203.7314237638026.4289584845.916678.686677.736.758.673339.0000.85749016622.46465025660.26909639071.80059647720.193826369561461.7515003060.081.98-24310181.3751046931107.5860640546108.1167256642115.558187284898.6054241068107.287222947219.9058906264

2000Q2114.1355220336141.318262290688.86102.6706231454127.4760383387181.58602150543370.26237947828124.255145033190632.22130323329569.50437575352024126.9838898737672.024284476969.246677.647.333338.573339.5000.83311090982.26254252240.29423990241.79204757180.209411001991461.7584003503.992.58-226780182.91056858109.2431565158109.4840535351116.8374746845100.3289643603108.585669944222.3426696104

2000Q3113.5615987096144.804575786585.53103.2311242994132.268370607176.07526881723390.934300420227856.705758350592003.877313847229901.11855958652032895.6930571138080.673685292469.57.577.58.459.5000.84851589972.39685789810.34850309241.78360132010.2220334468-411461.75-4500-266.242.56-149685182.1172723622108.3870209901108.7776246587118.3401612094102.3534826309110.110861864425.2049779114

2000Q4113.8009647444146.942666485183.09103.9564787339134.5047923323169.69086021513402.996879252327783.251765395691402.370017660229936.00667070672029972.5265656237873.19236554269.57.487.58.483339.5000.85387296742.29734979010.38442981251.77525547840.2308720584-71461.754600692.641.19-78427181.7700993019108.0123473387108.4684676635119.4522928118103.8518195835111.239649609627.3233595329

2001Q1117.2109855586148.808388941881.63104.6488625124137.4201277955163.30645161293504.527720405927544.105265895888992.482099798330005.54853390142066039.654636138142.80927064385.833338.623337.367.083338.358.0000.84309527942.35826171260.36285455371.75033613720.2299868778-111937.75-22002348.211.56-141893180.5405996778106.6854554624107.3736004266120.3544391589105.0672505682112.15530719829.0417624968

2001Q2120.8444868725153.465885877781.38105.4731289153139.6166134185163.70967741943511.157825162827553.556972706187175.168710545729775.25367707222081468.1755272437675.72560627985.333337.347.166.333337.993337.0000.82042208672.33812896540.34374823661.72602120120.21119849-161937.7517003661.541.17135462179.8074175884105.8941958805106.7207030749121.4459414087106.537794298113.263156629431.120849451

2001Q3125.4757599809157.292659675981.91106.2314540059146.1261980831158.53494623663533.037254332727456.921469339986655.705300739429131.75701023532085727.2041896937389.096732812556.566676.935.666677.516676.0000.80176788072.44364922690.30581511941.70228952860.2237405105121937.75-22003410.983.48-346885180.6219767794106.7732786816107.4460665914122.9212440141108.5254191485114.760554507433.930997026

2001Q4127.6679096566158.286803758782.95106.7919551599153.3945686901148.85752688173593.531132185627644.567955521988789.598449452228770.54378898652080035.991533537330.287829944.166675.156676.494.166676.973335.1250.80079653012.32465700350.2673374761.67912137520.2211302679171937.7560001484.073.88-110585182.1884368725108.4638226489108.840996529124.6170256195110.8100878309116.481733449237.1611116807

2002Q1131.4871524211160.697262699282.83107.9788987801158.3067092652148.72311827963661.868630952927810.25838962790448.824499058129066.84628049172181579.1776651637292.63924860344.755.973.756.823335.1250.79360428982.30308886660.26342117081.6474209190.208119542344105.2524002823.222.62-93670183.2659366683109.6266743471109.8005081881125.8996024777112.5380598597117.783519170239.6041564057

2002Q2141.0154686803166.471469426785.68109.7263435542166.2539936102145.5645161293683.32393088527712.68701245591967.850879359529523.94319666292210878.4741722837879.121739159644.755.724.083336.85.1250.74636917812.1508415430.25028963991.61711611340.1844721498234105.2591008144.974.2566895185.1267702092111.6349099418111.4575771595127.3560365283114.5002637502119.261765903342.3783632704

2002Q3150.4878754989171.769031730983.71110.6824925816172.803514377138.3736559143720.56599355527785.776041829892405.677099871129660.06765460532210279.9703236338212.539093245544.755.44.56.745.1250.71122414521.99951825430.25471592151.58811381650.1778989792-144105.2598007328.983.50-202697188.3892181644115.155785918114.3627812836129.8713083315117.8890036082121.814708361847.1694379503

2002Q4156.0128869875175.105542693784.87112.1332014507175.5191693291131.253751.307077454927798.755372195992640.902427902729960.71506223472241191.3001173337993.46536308344.455.024.56.713335.0000.69346040292.07618219470.25826030241.56032940630.1614260752-124105.25-32005110.251.45-49498188.9435412275115.7540185282114.8564049892132.7662529898121.7892637464124.753009949752.683711213

2003Q1160.4920665011177.693040991488.87113.353115727175.8785942492126.47849462373784.329348492627764.525009108892738.89839067730309.2286520472223917.4967924737222.11973753293.833334.254.54.583336.465.0000.69202438032.29245772020.24903163871.52857938650.1768712328214562.5-63003997.680.19-113390188.8169796862115.6174316779114.7437021609135.3591821406125.2826286986127.384772812357.622707144

2003Q2165.8333562558182.759090290192.47114.6060006594175.8785942492120.63172043013849.22466547427901.405321748691405.152608832429757.3146668872226441.8423346435783.50960803893.754.244.2256.315.0000.68271421782.08456025880.2615681031.49826080930.1983633142-254562.5121005443.920.00-175752189.077207478115.8982728723114.9754345484137.5859839134128.2827227297129.644924890261.8643058362

2003Q3171.1530153801188.492441781394.9116.0237388724176.7172523962119.55645161293896.694143918828322.58561046395574.785869487129975.36874305422248143.7063041338182.71336903793.543.954.666676.066675.0000.67971214272.15310846320.24895094211.46927712620.1968414336284562.5-25004378.920.45129342188.875199699115.6802634677114.7955469791139.9308925322131.4419380837132.024952673766.330873742

2003Q4175.5539415351193.776385673490.68117.7382129904174.9874268971129.77150537633939.288356249228654.089541259597028.228689287730010.40988259562304871.6429235138036.42337019283.6666743.744.56.115.0000.67810420182.13705585710.24139944881.44154019790.182765006184562.524004141.91-0.92316908189.6527295376116.5193837133115.4879359229142.4186195352134.7935677725134.549937799771.0694812513

2004Q1181.3791295668199.182895274495.5119.0570392351173.9478973773148.38709677423960.166448698828781.200199481697764.56620976730360.95339287872304226.2032103938727.40868697693.9166743.794.166676.153335.0000.66372184312.06996331970.22841887161.42492788640.1476314964364791.7558005123.89-0.56799708190.0021120663116.8964418515115.7990604457144.8935013504138.1278915783137.061885358675.783621324

2004Q2191.0899404296208.252757728496.9121.299043851171.8195955704155.64516129033998.337596911828752.54165166899109.001560618530915.42745680762322455.1255290738882.97985567784.2543.693.756.016675.0000.63147399962.13098114380.23515523991.40893192090.1513808-144791.75-20009435.56-1.147820194.9829344701122.2718097297120.2344739718147.4572414452141.5819311114139.664022007380.6670181156

2004Q3196.3913922006215.892686912794.82122.8816353445171.7168486671156.85483870974011.31980870129003.881806043699001.945560247531181.05912010012328342.9709861238901.30559073074.666674.423.613.833335.836675.1250.62043147682.36879671630.23006571331.39351364170.14770238164791.75-111005019.73-0.05194423196.3707093702123.7695143285121.4702850616150.9301877638146.2609131602143.188981855487.2822654823

2004Q4193.2334552439222.061827590996.42124.0685789647167.9687019841168.07795698924051.575170285629233.990219349896947.021554036731278.79806304352355741.9982429239404.87764186054.754.943.564.255.615.0000.63424623742.23616048770.22362126881.37863731460.1376389276194791.758200-1017.45-2.00394853196.0612843631123.4355788638121.194742641154.1937353756150.6577794776146.501406879593.4986514449

2005Q1193.1359248786230.40991420497.95125.1566106166164.8883388178181.254069.624173483329543.985110469698031.709545505431353.10637240672295008.1800638939956.69855057654.755.443333.614.255.585.2500.63976613642.244317190.22162695941.35940449850.129513904185669700325.76-1.65331132197.4747142947124.9609707041122.453399491156.2856388857153.4761296834148.624640354197.4832967336

2005Q2196.7994593878240.637341686102.15127.0359380152163.2877995001190.59139784954095.360923725829409.498547983297927.186879804631567.08099507212314689.4409353941100.71161868454.755.916673.674.255.535.7500.62732550652.06673014090.21944919631.34098820440.128049878985669121004703.79-0.86112937199.6237594495127.2802479954124.3671203939158.2568945749156.1319351975150.6254190927101.2381327749

2005Q3196.2500163663249.3258886014102.45128.684470821164.6870090452188.64247311834052.299011448829509.893661965897900.526915844932164.9633738642351099.4372604341628.01962754134.583336.426673.74.333335.536677.0000.63345674071.86797638010.21493924541.32333240050.131408829715566916100133.190.75-64515202.3213791678130.1915540421126.7693459737160.8404642989159.6126905134153.2476823546106.1593009259

2005Q4194.8384091213254.6234509056109.53130.9924167491165.7770801111181.72043010754102.180272299229693.1320787392101139.94045241132633.05686376192420762.7989129441759.37800443274.56.973.694.833335.726677.7500.64109421.89972880140.20600598371.30638605390.1392267904295669-700-240.010.58-210743202.6576009338130.5544089151127.0687508606163.1382994822162.7084854343155.5799316943110.5362036334

2006Q1197.9568004703256.9249625494108.74133.9597757995168.2633832821184.47580645164178.125566263230074.8138129191100429.12450523832703.77741130462564144.1085842342461.98684297114.57.433333.635.333335.813338.0000.63666534811.80227092640.20491691631.28360963490.133368443656937.7595002931.751.33205813203.6441180536131.6190709342127.947242608165.0086251304165.2283113488157.4782687855114.0987887365

2006Q2200.273658051258.6545008852118.13138.5426969997170.0936508384187.97043010754145.962196430129871.7469089225100831.21946505432661.97218671152540637.6495066942479.40211811154.57.896673.525.916675.98.0000.62555845111.74347967150.18526978631.2619487570.128427378756937.7576004716.020.98189493205.0013470149133.0838099613129.1558525935166.9685391745167.8688366516159.4675360178117.8320212801

2006Q3202.6861630319256.1759498842120.46143.6201780415172.6255558576186.96236559144200.34876853829868.3887701217102957.66919152132701.78785830192568878.5413044542629.71354001644.666678.253.4266.138.0000.61978253441.69485827880.18944683881.24131817930.1325234536-156937.7573003424.961.35-142545209.2080525878137.6237409558132.9019164532169.0964258836170.7356657932161.6272916035121.8852071509

2006Q4204.8645570773253.9016750647123.95145.6313880646173.7735349298188.10483870974273.157522867230408.30235756103715.41238696432675.55020924552579153.5796554343553.41746237264.916678.253.3866.106677.7500.61359528341.73523135330.17785863291.22164112220.1337008298506937.75-14003604.660.61-33462210.8340972601139.3785893707134.3499063531171.0351792897173.3476820906163.5950812797125.5781330379

2007Q1207.37179443251.7091107177125.76147.0820969337178.2189052401194.69086021514308.256551377730435.0881655899103152.08508214433210.47603859742646801.2047231244498.84840288025.258.253.2966.343337.7500.60787120321.64575962210.18157207961.19612607940.1276745463-97453.5122003489.492.38316030212.597808471141.2820092923135.9204880616172.3877225237175.1699174295164.9678812469128.1544492967

2007Q2211.3267180291249.4484543102126.45150.2472799209180.8686771321202.15053763444298.256404008930226.2709152394104557.26933687433617.6932426932646843.9223498245137.96793937695.416678.253.2866.416677.7500.59320308871.53202416180.17542388641.17185981720.1246613674357453.5163006256.371.42216665216.3041660576145.2819582769139.220992926173.3883123766176.5179779897165.9834567071130.0603668611

2007Q3213.197158205245.1450360888123.99153.3465215958182.2643363434209.74462365594306.987906574130463.2116058952108111.86672082233502.29871263052667555.498447946156.70096123375.758.176673.46.256.556677.5000.59189826751.67014579570.17367993751.14874961520.1198585244157453.5-149002320.470.75308238219.287744814148.5018750112141.8778645226174.6184800753178.1753409464167.2320483485132.4035829327

2007Q4210.2568800959232.5343864905123.63154.5994065282182.8218579254228.29301075274277.237195771730512.1202260067105005.12891929133690.55040968512715632.5680319546821.69588876835.666677.523333.486.166676.896.7500.5986282551.75416164090.18377412111.12671168990.1030569757-407453.5-7800-171.970.301018130220.8821737687150.2226033353143.2977006819175.5658214443179.4516616416168.1935778343134.2080731038

2008Q1203.7416026305217.3498570067143.03156.3138806462183.9055442311252.08333333334274.150906190130173.3939995872103617.38704028133771.10727140812724791.5781594346557.67372187825.333336.213333.495.583337.016675.2500.62017637391.62705497280.15722861561.1411547850.0880386503135-55714200-4595.820.58359352225.0310278883154.7001002941146.992247925174.8608910629178.5019329969167.4780898704132.8653259313

2008Q2194.3669132118212.6923600708135.82156.7095285196185.0975527891253.83064516134111.453880341829709.612249965103456.25714713834297.40878917442717652.3857032745255.498813369655.083.514.756.963335.2500.64378895161.67913054090.15433743981.15554814220.083033766617-557-5400-4848.600.64-385078236.299964093166.8616818133157.0272156503172.7770312807175.6944198313165.3630205929128.8960022875

2008Q3182.2027902746205.2022334196132.62156.9073524563187.6957141615248.45430107534033.995969174929397.789682549796912.446709937634278.84055302462663695.8805054345279.6725795757553.534.757.295.2500.6868776111.83966903890.17202057251.16989275610.0762167653-98-557-15800-9326.041.39-284495235.614067387166.121453228156.4164258487170.3841891244172.4706252581162.9343413823124.3381308663

2008Q4174.5058732272190.0994144083129.87155.9841740851189.1211459868217.74193548394084.373328137129768.844381947395062.933499348532670.81879643452575715.0502689744088.45163895483.166674.056673.353.833337.403335.0000.73059852581.9567013580.1832180041.1841896080.0747487361-52-557-9700-8360.870.76-759078234.5026244902164.9219696967155.4266879183167.2665098652168.2702823938159.7699693479118.3995940688

2009Q1170.2184366859176.0724499523127.25153.7421694692188.7987543252217.80913978493966.732941191529547.155523358997025.039130429231458.24057144612568016.9555517442082.098816139313.252.412.833335.665.0000.77022855181.91537598360.17208547821.27438752890.0683861145220585100-7118.45-0.17130843227.6421709899157.518079659149.3174662308163.3983998819163.058909826155.8439275586111.0316413183

2009Q2173.7714950874181.4244859049139.52151.7969007583186.8678083961236.02150537633887.341087176229164.600152642497449.294972197831103.6634166662649530.9585068943712.15857855720.53.251.992.255.435.0000.75319973031.97868189590.14576821431.37798053990.05681818051542058-48004356.91-1.03690143226.442146985156.2229982515148.2488469806159.3779134782157.6422457073151.7632272419103.3734428741

2009Q3179.1267947347187.430205638145.05152.2255192878188.5523138804256.31720430113885.563334379329136.685610369498691.215294251931304.86416338692718028.687091644349.72460317140.53.251.962.255.653335.0000.72911912072.09268017660.15468261861.27169714640.0489413258-592058-72006092.630.90490223233.0599677446163.3650359012154.1420046422157.810619422155.5306839148150.1724601781100.3880705342

2009Q4179.2261947093185.3329701757151.7153.7091988131189.469433533267.80913978493881.362768834729508.8404602004101855.59254200631910.27485652262639910.3470985944467.54802989650.53.251.952.255.853335.0000.72483236952.27172215930.14284848851.181602580.0435382484792058-116001957.430.49255623239.9508609548170.8017768672160.2783328375158.1349032099155.9675803949150.5016006907101.0057643529

first-order difference

UKHPUSHPTAIHPCANHPUKYUSYTAIYCANYUK expHPUS expHPTAI expHPCAN expHPUKIUSITAIICANIUKTUSTTAITCANT

1994Q10.00400667790.00724542220.0233759594-0.00097592710.00612145890.00613207970.01524293240.01266323530000-0.333340.0200.166670.0034686131-0.187907197-0.0129353611-0.0059731197

1994Q2-0.0166271610.02092597440.00440078350.00032562680.00417111210.00961251060.01679217820.01266099340000-0.083330.87667-0.191.416670.0076661720.2972309931-0.0010118211-0.005939914

1994Q30.00649134030.0021778119-0.03870462660.00065104170.00926158270.0011545662-0.00929854150.019898660700000.166670.60666-0.060.083330.0017673978-0.04423022750.0122995245-0.0059065757

1994Q40.0011616159-0.0043461588-0.0082895143-0.00227716330.01700279720.0091246250.03067823550.009953509700000.50.630.140.083330.0015113345-0.0720680852-0.0039486263-0.0058731213

1995Q1-0.0284351821-0.0019257928-0.0044484184-0.0029344636-0.0108958483-0.002373766-0.00643879030.006859380500000.666660.7-0.012.166670.0303342964-0.18342275070.00498692630.0297312851

1995Q2-0.00750825930.0198096218-0.0320520887-0.00457815570.0015312502-0.00456460270.0146493819-0.000051309900000.166670.16667-0.05-0.250.0019417325-0.05911117420.00373725040.0303599391

1995Q3-0.00844386320.0074419778-0.0206983512-0.00394218130.00825447910.0063780160.0176960953-0.001933726200000-0.23333-0.11-1.166670.01745728540.0987706490.01730510930.0310116979

1995Q4-0.0091919863-0.0045073244-0.0327112492-0.00791556730.00708062220.00490426080.0187139386-0.00054752050000-0.08333-0.05-0.1-0.333330.01967601720.07480635950.00636300720.0316871613

1996Q10.00323339110.0012577034-0.0026988917-0.00498670210.00600476970.00123870610.0003521575-0.00512481040000-0.5-0.38334-0.04-0.750.0067774534-0.13189662320.0013552257-0.0055907947

1996Q20.01957620030.018841854-0.0046969598-0.00701637150.01620988060.00886612040.01839220980.00474782340000-0.25-0.08333-0.06-0.5-0.01625460320.0490347121-0.0014757248-0.0055544707

1996Q30.01640841620.007520651-0.0085148819-0.00067294750.0136140460.00422780270.00733275760.00905589890000-0.166670-0.14-0.58333-0.0031281699-0.07527697560.0097308105-0.0055185006

1996Q40.0155270287-0.0066079295-0.00045275450.0020202020.002980270.00694014040.00397034590.009322975100000.250-0.16-1.08334-0.00625723630.0676571215-0.002613304-0.00548288

1997Q10.00558035560.0078837152-0.03088152240.00470430110.01179693460.00502042220.02628390030.007274336000000.01667-0.09-0.083330.0046519323-0.14588905650.0076647933-0.0058653116

1997Q20.03328717920.02114397460.02904642870.00301003340.01526990390.01074145430.01107941640.002617958900000.250.23333-0.050-0.0277770771-0.0040972738-0.000433454-0.0058264438

1997Q30.03018709370.0098144823-0.01426227870.00133377790.0184111270.00966903620.01052656930.008085505200000.6666700.030-0.02180246310.052531003-0.0032557939-0.0057879576

1997Q40.00963875610.0050965983-0.01939325830.00266400270.01265291490.00503138030.05108087780.003808457500000.2500.10.83333-0.00176079010.04405507010.0161636862-0.0057498483

1998Q10.01418890220.01073113210.01669577840.00365327130.0109240060.0061427514-0.01122990080.005030280500000.0833300.140.750.00447473830.04477619060.00932802080.0174217715

1998Q20.01798839620.0302181776-0.02554602180.00165453340.01136533150.00371075010.0090927622-0.000525676700000.0833300.050.16667-0.0132272712-0.0277557063-0.01757805850.0174801579

1998Q30.01424050670.020385051-0.09765859520.00165180050.01817764570.01083171780.0126535481-0.00123988100000.16667-0.0033300.250.0034119683-0.12765801240.0082597570.0175395045

1998Q4-0.00525696360.00788013320.00587713460.00065963060.01607484450.0145399707-0.00975611810.01206608990000-0.75-0.57667-0.110.083330.01973851780.06809567590.00194968130.0176003005

1999Q10.02191416290.0139852439-0.025465770.00131839160.00800154530.00724752470.03121250720.01561066310000-1.08333-0.17-0.2-0.08333-0.0004211637-0.1254659490.02097820730.0018467835

1999Q20.02665977310.02899652480.02070135750.00230414750.0081451226-0.00061365480.01422774180.01667465950000-0.50-0.14-0.41667-0.01847801480.1107589534-0.02033340190.0016885472

1999Q30.03276728050.02406332450.00454394330.00459770110.01555729890.0079421733-0.01033029410.01886757040000-0.083340.35333-0.1-0.08333-0.01497422250.20229239270.01146535430.0015359096

1999Q40.02381986060.0129856745-0.00717122680.00686498860.00850862010.0130030590.00092590920.013132407500000.333340.27-0.110.16667-0.01312703070.07280505270.00527483230.00138865

2000Q10.03685590970.0173974972-0.01933548170.00519480520.0097385412-0.00791339730.01724579780.017966914300000.50.31334-0.130.33333-0.0214233781-0.02086281740.0010232919-0.0086540396

2000Q20.02610709360.03770.00691218130.00581395350.00268207750.0052995190.01576382810.017474064300000.083330.56-0.090.58333-0.0243792565-0.20210773430.0251435117-0.0085489054

2000Q3-0.00502843740.0246699431-0.03747467930.00545921640.0061336236-0.0095131190.01513430860.011214736000000.25333-0.070.166670.01540498990.13431537570.05426319-0.0084462517

2000Q40.00210780790.0147653531-0.02852800190.00702650910.0035573024-0.0026368514-0.00653784720.0011667828000000-0.0900.0053570677-0.0995081080.0359267201-0.0083458416

2001Q10.02996477950.0126969416-0.01757130820.00666032350.0298357139-0.0086075777-0.02636570490.00232301740000-0.16667-0.87667-0.12-0.41667-0.0107776880.0609119225-0.0215752587-0.0249193412

2001Q20.03099966520.0312986181-0.00306259950.00787649650.00189186830.0003431481-0.0204209765-0.00767507570000-0.5-1.28333-0.2-0.75-0.0226731927-0.0201327472-0.0191063171-0.024314936

2001Q30.03832423990.02493566420.00651265670.00718974680.0062314001-0.003507188-0.0059588461-0.02161179460000-0.33333-0.77333-0.23-0.66666-0.0186542060.1055202615-0.0379331173-0.0237316725

2001Q40.01747070250.00632034630.01269686240.00527622590.01712234360.00683421430.0246249585-0.0123992940000-0.83333-1.41-0.44-1.5-0.0009713506-0.1189922234-0.0384776434-0.0231681534

2002Q10.02991544840.0152284264-0.00144665460.01111454150.019016810.00599359820.01868716690.01029881440000-0.16667-0.40667-0.52-0.41667-0.0071922403-0.0215681369-0.0039163052-0.0317004561

2002Q20.07246575870.03593220340.03440782330.01618320610.0058591124-0.00350846710.01679431870.0157257142000000-0.250.33333-0.0472351117-0.1522473237-0.0131315309-0.0303048056

2002Q30.06717282090.031822644-0.02299253030.00871394230.01011099310.00263738520.00476064430.0046106462000000-0.320.41667-0.0351450329-0.15132328860.0044262816-0.0290022969

2002Q40.03671399750.01942440340.01385736470.01310694070.00826247510.00046712140.00254557230.01013643700000-0.3-0.380-0.01776374230.07666394030.0035443809-0.0277844102

2003Q10.02871031750.01477679270.04713090610.01087915320.0088028707-0.00123136320.00105780450.01163235220000-0.16667-0.2-0.520.08333-0.00143602260.2162755255-0.0092286636-0.0317500198

2003Q20.0332807090.02851011650.04050860810.01105293780.01714843270.0049300434-0.0143817298-0.01820943690000-0.08333-0.01-0.280.41667-0.0093101625-0.20789746130.0125364643-0.0303185772

2003Q30.0320783420.03137108790.02627879310.01237054090.01233221820.01509530730.04561704830.00732774710000-0.25-0.24-0.27-0.33333-0.00300207510.0685482044-0.0126171609-0.0289836831

2003Q40.02571340120.0280326566-0.04446786090.01477692530.01093085850.01170457860.01520738770.001168997800000.166670-0.21-0.16667-0.0016079408-0.0160526061-0.0075514933-0.0277369283

2004Q10.03318175590.0279007660.05315394790.01120134420.00529996550.0044360390.00758890.011680730500000.2500.05-0.33333-0.0143823587-0.0670925374-0.0129805772-0.0166123115

2004Q20.05353874440.0455353480.01465968590.01883134870.0096387737-0.00099573850.01375176510.018262735600000.333330-0.1-0.41667-0.03224784350.06101782410.0067363683-0.0159959655

2004Q30.02774322790.0366858488-0.02146542830.01304702360.00324690240.0087414934-0.00108018440.008592204100000.416670.42-0.080.08333-0.01104252280.2378155725-0.0050895267-0.0154182792

2004Q4-0.01607981350.02857503310.01687407720.00965924340.01003544060.0079337109-0.02075640020.003134561400000.083330.52-0.050.416670.0138147606-0.1326362286-0.0064444444-0.0148763272

2005Q1-0.00050472820.03759352390.01586807720.00876959870.00445481140.01060391990.01118846120.0023756766000000.503330.0500.0055198990.0081567023-0.0019943095-0.019232816

2005Q20.01896868490.04438796620.04287901990.01501580610.0063241098-0.0045520793-0.00106621280.0068246706000000.473340.060-0.01244063-0.1775870491-0.002177763-0.0184162942

2005Q3-0.00279189290.0361063950.00293685760.0129769011-0.01051480270.0034136969-0.00027224270.01894005910000-0.166670.510.030.083330.0061312343-0.1987537608-0.0045099509-0.0176558039

2005Q4-0.00719290260.02124754210.06910688140.01793492190.01230937320.00620938930.03308882640.01455289980000-0.083330.54333-0.010.50.00763745920.0317524213-0.0089332617-0.0169463466

2006Q10.01600501340.0090388832-0.00721263580.02265290710.01851339750.0128542093-0.0070280440.0021671444000000.46333-0.060.5-0.0044288518-0.097457875-0.0010890674-0.022776419

2006Q20.01170385450.00673168660.08635276810.034211174-0.0076980381-0.00675205860.0040037684-0.0012782996000000.46334-0.110.58334-0.011106897-0.0587912549-0.01964713-0.0216608779

2006Q30.0120460424-0.00958247780.01972403280.03664921470.0131179614-0.00011241860.02108919970.001219022300000.166670.35333-0.10.08333-0.0057759167-0.04862139270.0041770525-0.0206305777

2006Q40.0107476209-0.00887778430.0289722730.01400367310.01733397830.01807642160.0073597548-0.000802330700000.250-0.040-0.0061872510.0403730745-0.0115882059-0.0196770571

2007Q10.0122385121-0.00863548590.01460266240.00996151230.00821383910.0008808715-0.00543147150.016370828500000.333330-0.090-0.0057240802-0.08947173120.0037134467-0.0255150428

2007Q20.0190716563-0.0089812260.00548664120.0215198386-0.0023211587-0.00686106930.01362245130.012261709300000.166670-0.010-0.0146681145-0.1137354603-0.0061481932-0.0242662622

2007Q30.0088509404-0.0172517334-0.01945432980.02062760590.00203140570.00783889920.0339966547-0.003432553500000.33333-0.073330.120.25-0.00130482120.1381216339-0.0017439489-0.023110202

2007Q4-0.0137913569-0.0514415866-0.002903460.008170286-0.00690754450.0016054978-0.02873632560.00561906810000-0.08333-0.653340.08-0.083330.00672998750.08401584520.0100941836-0.0220379254

2008Q1-0.030987226-0.06530014640.15691984150.0110897846-0.0007215615-0.0111013664-0.01321594380.00239108180000-0.33334-1.310.01-0.583340.0215481189-0.1271066681-0.02654550550.0144430952

2008Q2-0.046012642-0.0214285714-0.05040900510.0025311116-0.0380653443-0.0153705529-0.00155504690.01558437260000-0.33333-1.133330.02-0.833330.02361257770.052075568-0.00289117580.0143933572

2008Q3-0.0625833005-0.0352157767-0.02356059490.0012623606-0.0188395428-0.0104956795-0.0632519542-0.000541388900000-0.080.0200.04308865940.1605384980.01768313270.0143446139

2008Q4-0.0422436837-0.0735996814-0.0207359373-0.0058835890.01248820260.0126218571-0.0190843723-0.04691003930000-1.83333-0.94333-0.18-0.916670.04372091480.11703231910.01119743150.0142968519

2009Q1-0.02456901-0.0737875206-0.0201740202-0.0143732826-0.0288025549-0.00744700920.0206400703-0.0371150240000-2.16667-0.80667-0.94-10.039630026-0.0413253744-0.01113252570.0901979209

2009Q20.02087352270.03039678240.0964243615-0.0126527986-0.0200144187-0.01294728250.0043726428-0.011271360000-0.50-0.42-0.58333-0.01702882150.0633059123-0.0263172640.103593011

2009Q30.03081805590.03310313770.03963589450.0028236316-0.0004573184-0.00095713780.0127442720.0064687154000000-0.030-0.02408060960.11399828070.0089144043-0.1062833935

figure

UKUSTWCANKORHK

1991Q1100100100.00100100100

1991Q299.4678881634101.7976303963105.4999.703264095100.678913738112.9032258065

1991Q398.1025838189102.3559852921107.8199.9670293439104.3530351438132.0564516129

1991Q494.9172019989101.6614462754108.7199.6373227827101.9568690096147.5806451613

1992Q191.8791426589101.1848018521110.4899.3076162216101.7172523962160.4838709677

1992Q290.7848924838102.7917744791116.5199.7692054072102.4361022364175

1992Q390.1256830859102.6828271824116.91100.0329706561107.4680511182178.8306451613

1992Q486.1741374105101.7840119842116.76100.1318826245108.0670926518172.7822580645

1993Q186.6646758164101.4026964456116.92100.3626772173108.8658146965171.5725806452

1993Q288.3574147917102.7917744791114.29101.2528849324109.5846645367183.5349462366

1993Q387.8156034161103.5816423805120.93101.4836795252111.0623003195197.3790322581

1993Q486.3283259222103.3773661991118.93101.3517969008110.1038338658197.6478494624

1994Q186.6742157154104.1263788642121.71101.2528849324110.7028753994227.6209677419

1994Q285.2330695756106.3053247991122.24101.2858555885111.5015974441235.4166666667

1994Q385.7863464381106.5368378047117.51101.3517969008113.2188498403233.7365591398

1994Q485.8859972189106.0738117935116.54101.1210023079114.1773162939229.9059139785

1995Q183.4438132474105.8695356121116.02100.8242664029115.6150159744225.6048387097

1995Q282.817295463107.9667710745112.30100.3626772173116.9728434505222.4462365591

1995Q382.1179975505108.770257388109.9799.9670293439119.0095846645210.3494623656

1995Q481.3631700405108.2799945526106.3899.1757335971119.1693290735206.9220430108

1996Q181.6262489877108.4161786736106.0998.6811737554119.9680511182219.4220430108

1996Q283.2241807873110.4589404875105.5997.9887899769121.8849840256228.8978494624

1996Q384.5897577868111.2896636252104.6997.9228486647124.4808306709235.3494623656

1996Q485.903185384110.5542693722104.6598.1206726014125.7587859425259.1397849462

1997Q186.3825557096111.4258477462101.4198.582261787127.8354632588308.6021505376

1997Q289.2579873253113.7818330383104.3698.8789976921129.6725239617336.8951612903

1997Q391.9524265492114.8985428299102.8799.0108803165130.5910543131341.8010752688

1997Q492.8387335597115.4841345499100.8899.2746455654130.2715654952328.2258064516

1998Q194.1560132708116.7234100504102.5699.6373227827129.6325878594281.5860215054

1998Q295.8497289391120.250578782599.9499.8021760633123.6022364217251.6129032258

1998Q397.2146776434122.701892959390.1899.9670293439108.8658146965209.0053763441

1998Q496.7036236226123.668800217990.71100.0329706561105.7108626198201.9489247312

1999Q198.8228025847125.398338553788.4100.1648532806104.9121405751206.6532258065

1999Q2101.4573960784129.034454582690.23100.3956478734109.8242811502206.4516129032

1999Q3104.7818790337132.139452539890.64100.857237059114.8562300319201.0752688172

1999Q4107.2777687816133.855372463689.99101.5496208375118.9297124601192.0698924731

2000Q1111.2315885366136.184120931588.25102.0771513353122.6437699681195.0940860215

2000Q2114.1355220336141.318262290688.86102.6706231454127.4760383387181.5860215054

2000Q3113.5615987096144.804575786585.53103.2311242994132.268370607176.0752688172

2000Q4113.8009647444146.942666485183.09103.9564787339134.5047923323169.6908602151

2001Q1117.2109855586148.808388941881.63104.6488625124137.4201277955163.3064516129

2001Q2120.8444868725153.465885877781.38105.4731289153139.6166134185163.7096774194

2001Q3125.4757599809157.292659675981.91106.2314540059146.1261980831158.5349462366

2001Q4127.6679096566158.286803758782.95106.7919551599153.3945686901148.8575268817

2002Q1131.4871524211160.697262699282.83107.9788987801158.3067092652148.7231182796

2002Q2141.0154686803166.471469426785.68109.7263435542166.2539936102145.564516129

2002Q3150.4878754989171.769031730983.71110.6824925816172.803514377138.373655914

2002Q4156.0128869875175.105542693784.87112.1332014507175.5191693291131.25

2003Q1160.4920665011177.693040991488.87113.353115727175.8785942492126.4784946237

2003Q2165.8333562558182.759090290192.47114.6060006594175.8785942492120.6317204301

2003Q3171.1530153801188.492441781394.9116.0237388724176.7172523962119.5564516129

2003Q4175.5539415351193.776385673490.68117.7382129904174.9874268971129.7715053763

2004Q1181.3791295668199.182895274495.5119.0570392351173.9478973773148.3870967742

2004Q2191.0899404296208.252757728496.9121.299043851171.8195955704155.6451612903

2004Q3196.3913922006215.892686912794.82122.8816353445171.7168486671156.8548387097

2004Q4193.2334552439222.061827590996.42124.0685789647167.9687019841168.0779569892

2005Q1193.1359248786230.40991420497.95125.1566106166164.8883388178181.25

2005Q2196.7994593878240.637341686102.15127.0359380152163.2877995001190.5913978495

2005Q3196.2500163663249.3258886014102.45128.684470821164.6870090452188.6424731183

2005Q4194.8384091213254.6234509056109.53130.9924167491165.7770801111181.7204301075

2006Q1197.9568004703256.9249625494108.74133.9597757995168.2633832821184.4758064516

2006Q2200.273658051258.6545008852118.13138.5426969997170.0936508384187.9704301075

2006Q3202.6861630319256.1759498842120.46143.6201780415172.6255558576186.9623655914

2006Q4204.8645570773253.9016750647123.95145.6313880646173.7735349298188.1048387097

2007Q1207.37179443251.7091107177125.76147.0820969337178.2189052401194.6908602151

2007Q2211.3267180291249.4484543102126.45150.2472799209180.8686771321202.1505376344

2007Q3213.197158205245.1450360888123.99153.3465215958182.2643363434209.7446236559

2007Q4210.2568800959232.5343864905123.63154.5994065282182.8218579254228.2930107527

2008Q1203.7416026305217.3498570067143.03156.3138806462183.9055442311252.0833333333

2008Q2194.3669132118212.6923600708135.82156.7095285196185.0975527891253.8306451613

2008Q3182.2027902746205.2022334196132.62156.9073524563187.6957141615248.4543010753

2008Q4174.5058732272190.0994144083129.87155.9841740851189.1211459868217.7419354839

2009Q1170.2184366859176.0724499523127.25153.7421694692188.7987543252217.8091397849

2009Q2173.7714950874181.4244859049139.52151.7969007583186.8678083961236.0215053763

2009Q3179.1267947347187.430205638145.05152.2255192878188.5523138804256.3172043011

2009Q4179.2261947093185.3329701757151.7153.7091988131189.469433533267.8091397849

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UK

US

TW

CAN

KOR

HK

The figures above indicate that, the selected countries share a common upward trend of the housing price since 1999. However, each country has respective high or low upward trend and variation itself. Question: what factors other than the above common trend might influence the housing price?

Purpose of the StudyTo investigate whether there is a common trend of housing price index among the selected countries.To find out other factors such as property tax and interest rate which might have influences on the housing price index.

The Conceptual Framework of the StudyWe follow Otrok and Terrones (2005) to construct a dynamic factor model (DFM) comprising one common state variable world common trend, and other independent country-specific factors to capture the house price trend of selected countries.

The independent country-specific factors include per-capita output, mortgage interest rate and effective tax rate which was measured as the property tax burden of each housing unit for our selected countries.

The reason for including property tax burdenAs well documented in housing research literature, property values are negatively affected by their related tax liabilities, a phenomenon that is often termed as capitalization in the literature. (e.g. Palm and smith, 1998; Krantz et al., 1982; and Lea, 1982)

The model is defined as follows:

where represents a idiosyncratic component, which is distributed as i.i.d

The common factor evolves as an independent AR(p) process:

Following Otrok and Terrones2005, we fix the variance of this innovation to unity as a normalization of the model:

Figure 1: The original series for selected OECD countries

The Figure shows that the trend for house prices in U.S., U.K. and Canada are pretty resembling to each other.The movements of per capita GDP and mortgage interest rate also look similar.This indicates that there must be a common trend among these selected OECD countries.

The effective property tax rate, on the contrary, are quite different for those countries, with U.S. and U.K. having the highest and lowest value, while Canadas was in between.

However, during our observation period, the movement of this variable, by and large exhibits a huntchbacked pattern except for the last two years.

Estimation Result(I):

Model results for selected OECD countries

U.S.

U.K.

Canada

restricted model

full

model

restricted model

full

model

restricted model

full

model

Common Factor

0.525***

(0.006)

0.680***

(0.011)

0.707***

(0.010)

0.809***

(0.014)

0.533***

(0.007)

0.635***

(0.014)

GDP per capita

110.360***

(1.385)

-1.086

(1.219)

-7.730***

(1.286)

Interest Rate

-1.514***

(0.039)

-1.596***

(0.063)

-0.605***

(0.039)

Dewelling Tax

-2.381***

(0.176)

-34.261***

(1.567)

-25.692***

(1.099)

without country-specific factors

with country-specific factors

State space model

Note 1: Dependent variables are the house price index of selected countries.

Note 2: Constant terms are not reported.

Note 3:*, **, ***represents 10%, 5%, and 1% significance level, respectively.

_1307262199.unknown

_1307262248.unknown

_1335171511.unknown

_1337517772.unknown

_1307262206.unknown

_1307262099.unknown

Estimation begins with the restricted model where the model is simplified that only unobservable common trend is considered:

The results show that the common trend is highly persistent and significant. Besides, the estimated for each selected OECD countries is also significantly positive.

This result mimics the finding of Chirinko et al. (2004) and that of Otrok and Terrones (2005) and may be interpreted as the fact that the U.S., U.K. and Canada have relative high level of financial openness so that there exists an evident common trend even though real estates are quintessential non-tradable goods.

Then, we add the country- specific factors to the selected countries that might have affected each countrys house price index besides their common trend.The result shows that house prices in selected OECD countries moved significant negatively with mortgage interest rate and property tax liabilities, implying that the capitalization effect works.

The actual and fitted house price for selected OECD countries

The figure shows the common trends of the house price in U.S., U.K. and Canada do not make significant difference whether the country-specific factors are included in the estimation or not.This implies that country-specific factors in those countries might have been affected by their international counterparts, as Otrok and Terrones (2005) asserted.

Figure 2: The original series for selected East Asia countries

Observation points-case of East Asia country House price moved quite differently for East Asia Countries.The discernible common trend for house prices is Less obvious than the case of the selected OECD countries.

Unlike the OECD case, the different movement patterns here implies that house price in these countries had been affected mainly by domestic factors.Income and interest rate series, however, exhibit somewhat similar trend as OECD countries, although different in patterns.

Estimation Result(II):

Model results for selected East-asia countries

H.K.

Taiwan

Korea

restricted model

full

model

restricted model

full

model

restricted model

full

model

Common Factor

1.977***

(0.021)

0.733***

(0.004)

1.899***

(0.018)

0.732***

(0.004)

1.682***

(0.017)

-0.869***

(0.003)

GDP per capita

-3.663***

(0.420)

1.382***

(1.463)

17.773***

(0.309)

Interest Rate

-0.372***

(0.011)

-0.692***

(0.064)

-0.488***

(0.017)

Dewelling Tax

-1.688***

(0.546)

-0.995*

(0.586)

without country-specific factors

with country-specific factors

State space model

Note 1: Dependent variables are the house price index of selected countries.

Note 2: Constant terms are not reported.

Note 3:*, **, ***represents 10%, 5%, and 1% significance level, respectively.

_1307262199.unknown

_1307262248.unknown

_1337587032.unknown

_1337587170.unknown

_1307262206.unknown

_1307262099.unknown

Points to note:Coefficients for the common factor are all positive and significant, implying that house price in each country had been affected by their common trend.2.The extent of influence of the trend here is much lower than the OECD case.Like the OECF Case, the influences of interest rate and tax burden are obvious and consistent with our expectation.

Points to note:The influence of per capita GDP on house price is undecided--positive in Taiwan and Korea but negative in H.K.Result looks better when country-specific factors are included in the estimation.

The actual and fitted house price for selected East Asia countries

Three points to makeFitted values deviate more from the actual values than the OECD case.Fitted value failed to resemble the actual value in Korea.Inclusion of country specific factors improves the predictions in these Asian countries.

Concluding Remarks The common trend do affect house price movements in both cases.The empirical result of this study attests more or less that of Chirinko et al.(2004)and Otrok and Terrones(2005) and succeeds only limited in attaining its object due to the ambiguous performance of the income variable.Wish the problem of the income variable can be solved in future.

Thank You