Rental price convergence in a developing economy: New evidence from nonlinear panel unit root test

References

• Akin , C. 2008 . Housing market characteristics and estimation of housing wealth in Turkey Available at: http://papers.ssrn.com/sol3/papers. cfm?abstract_id=1331324
   Google Scholar
• Akkoyunlu , S. and Siliverstovs , B. 2010 . Does the law of one price hold in a high‐inflation environment? A tale of two cities in Turkey . KOF Working Paper , 248
   Google Scholar
• Alexander , C. and Barrow , M. 1994 . Seasonality and cointegration of regional house prices in the UK . Urban Studies , 31 (10) : 1667 – 1689 . doi:10.1080/00420989420081571
   Web of Science ®Google Scholar
• Andre , C. 2010 . A bird's eye view of OECD housing markets . OECD Economics Department Working Paper , 746
   Google Scholar
• Ashworth , J. and Parker , S. 1997 . Modelling regional house prices in the UK . Scottish Journal of Political Economy , 44 (3) : 225 – 246 . doi:10. 111 1/1467–9485.00055
   Web of Science ®Google Scholar
• Bektas , E. 2007 . The persistence of profits in the Turkish banking system . Applied Economics Letters , 14 (3) : 187 – 190 . doi:10.1080/13504850500426178
   Google Scholar
• Berg , L. 2002 . Prices on the second‐hand market for swedish family houses: correlation, causation and determinants . International Journal of Housing Policy , 2 (1) : 1 – 24 . doi:10.1080/14616710110120568
   Google Scholar
• Bilgin , M. H. , Lau , C. K. M. and Tvaronavičiene , M. 2010 . Is China integrated with her major trading partners: evidence on financial and real integration . Technological and Economic Development of Economy , 16 (2) : 173 – 187 . doi:10.3846/tede.2010.11
   Google Scholar
• Burger , P. and Van rensburg , L. J. 2008 . Metropolitan house prices in South Africa: do they converge? . South African Journal of Economics , 76 (2) : 291 – 297 . doi:10.1111/j.1813–6982.2008.00190.x
   Google Scholar
• Carreras‐i‐Solanas , M. , Mascarilla‐i‐Miro , O. and Yegorov , Y. 2004 . The evolution and the relationship of house prices and rents in Barcelona, 1970–2002 . International Journal of Housing Policy , 4 (1) : 19 – 56 . doi:10.1080/1461671042000215442
   Google Scholar
• Cerrato , M. , Peretti , C. , Larsson , R. and Sarantis , N. 2009 . A non‐linear panel unit root test under cross section dependence , Working paper Department of Economics, University of Glasgow .
   Google Scholar
• Chien , M. 2010 . Structural breaks and the convergence of regional house prices . Journal of Real Estate Finance and Economics , 40 (1) : 77 – 88 . doi:10.1007/s11146–008–9138‐y
   Google Scholar
• Chien , M. and Lee , S. C. The convergence of regional house price: an application to taiwan . Proceedings of the 9th Joint Conference on Information Sciences . Edited by: Cheng , H. D. , Chen , S. S. and Lin , R. Y. 8–11 October . Kaohsiung, Taiwan : (JCIS), The Splendor Kaohsiung . ROC, 2006
   Google Scholar
• Clark , S. P. and Coggin , T. D. 2009 . Trends, cycles and convergence in U.S. regional house prices . Journal of Real Estate Finance and Economics , 39 (3) : 264 – 283 . doi:10.1007/s11146–009–9183–1
   Google Scholar
• Cook , S. 2003 . The convergence of regional house prices in the UK . Urban Studies , 40 (11) : 2285 – 2294 . doi:10.1080/0042098032000123295
   Google Scholar
• Cook , S. 2005 . Regional house price behaviour in the UK: application of a joint testing procedure . Physica A: Statistical Mechanics and its Applications , 345 (3–4) : 611 – 621 .
   Google Scholar
• Cook , S. and Thomas , C. 2003 . An alternative approach to examining the ripple effect in UK house prices . Applied Economics Letters , 10 (13) : 849 – 851 . doi:10.1080/1350485032000143119
   Google Scholar
• Drake , L. 1995 . Testing for convergence between UK regional house prices . Regional Studies , 29 (4) : 357 – 366 . doi:10.1080/00343409512331349023
   Google Scholar
• Elliott , G. , Rothenberg , T. J. and Stock , J. H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 (4) : 813 – 836 . doi:10.2307/2171846
   Web of Science ®Google Scholar
• Ferrara , L. and Koopman , S. J. 2009 . Common business and housing market cycles in the Euro area from a multivariate decomposition . Banque de France , 275
   Google Scholar
• Galin , J. 2008 . the long‐run relationship between house prices and rents . Real Estate Economics , 36 (4) : 635 – 658 . doi:10.1111/j.1540–6229.2008.00225.x
   Google Scholar
• Gros , D. 2007 . Bubbles in real estate? A longer‐term comparative analysis of housing prices in Europe and the US . CEPS Working Documents , 239
   Google Scholar
• Hargreaves , B. 2008 . What do rents tell us about house prices? . International Journal of Housing Markets and Analysis , 1 (1) : 7 – 18 . doi:10.1108/17538270810861120
   Google Scholar
• Holmes , M. J. 2007 . How convergent are regional house prices in the United Kingdom? Some new evidence from panel data unit root testing . Journal of Economic and Social Research , 9 (1) : 1 – 17 .
   Google Scholar
• Holmes , M. J. and Grimes , A. 2005 . Is there long‐run convergence of regional house prices in the UK? , motu working Paper 05–11 Motu Economic and Public Policy Research Trust .
   Google Scholar
• Im , K. S. , Pesaran , H. and Shin , Y. 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 (1) : 53 – 74 . doi:10.1016/s0304–4076(03)00092–7
   Web of Science ®Google Scholar
• ISPAT . 2010 . “ Real estate industry report ” . In Investment Support and Promotion Agency of Turkey, Republic of Turkey Prime Ministry Available at: http://www.invest.gov.tr/en‐US/infocenter/ publications/Documents/REAL.EsTATE.IN‐DUSTRY.PDF
   Google Scholar
• Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 (2) : 359 – 379 . doi:10.1016/S0304–4076(02)00202–6
   Google Scholar
• Keskin , B. 2008 . Hedonic analysis of price in the Istanbul housing market . International Journal of Strategic Property Management , 12 (2) : 125 – 138 . doi:10.3846/1648–715X.2008.12.125–138
   Google Scholar
• Klyuev , V. 2008 . What goes up must come down? house price dynamics in the United States . IMF Working Paper , 187 International Monetary Fund
   Google Scholar
• Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 (1–3) : 159 – 178 . doi:10.1016/0304–4076(92)90104‐Y
   Web of Science ®Google Scholar
• Larraz‐Iribas , B. and Alfaro‐Navarro , J. L. 2008 . Asymmetric behaviour of Spanish regional house prices . International Advances in Economic Research , 14 (4) : 407 – 421 . doi:10.1007/s11294–008–9166–7
   Google Scholar
• Lau , C. K. M. 2009 . A more powerful panel unit root test with an application to PPP . Applied Economics Letters , 16 (1) : 75 – 80 . doi:10.1080/13504850701735815
   Google Scholar
• Lau , C. K. M. 2010 . New evidence about regional income divergence in China . China Economic Review , 21 (2) : 293 – 309 . doi:10.1016/j.chieco.2010.01.003
   Google Scholar
• Leybourne , S. J. 1995 . Testing for unit roots using forward and reverse Dickey‐Fuller regressions . Oxford Bulletin of Economics and Statistics , 57 (4) : 559 – 571 .
   Google Scholar
• Liu , C. , Luo , Z. Q. , Ma , L. and Picken , D. 2008 . Identifying house price diffusion patterns among Australian state capital cities . International Journal of Strategic Property Management , 12 (4) : 237 – 250 . doi:10.3846/1648–715X.2008.12.237–250
   Google Scholar
• Luo , Z. Q. , Liu , C. and Picken , D. 2007 . Housing price diffusion pattern of Australia's state capital cities . International Journal of Strategic Property Management , 11 (4) : 227 – 242 .
   Google Scholar
• Macdonald , R. and Taylor , M. P. 1993 . Regional house prices in Britain: long‐run relationships and short‐run dynamics . Scottish Journal of Political Economy , 40 (1) : 43 – 55 . doi:10.1111/j.1467–9485.1993.tb00636.x
   Web of Science ®Google Scholar
• Maddala , G. S. and Wu , S. 1999 . A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 652 . doi:10.1111/1468–0084.61.s1.13
   Web of Science ®Google Scholar
• Maddala , G. S. and Kim , I. M. 1998 . Unit roots, cointegration and structural change , Cambridge : Cambridge University Press .
   Google Scholar
• Michael , P. , Nobay , A. R. and Peel , D. A. 1997 . Transaction costs and nonlinear adjustment in real exchange rates: an empirical investigation . Journal of Political Economy , 105 (4) : 862 – 879 . doi:10.1086/262096
   Google Scholar
• Onder , Z. , Dokmeci , V. and Keskin , B. 2004 . The impact of public perception of earthquake risk on Istanbul's housing market . Journal of Real Estate Literature , 12 (2) : 181 – 194 .
   Google Scholar
• Otrok , C. and Terrones , M. E. 2005 . House prices, interest rates and macroeconomic fluctuations: international evidence Available at: http://www.frbatlanta.org/news/conferen/hous‐ing2005/otrok_terrones.pdf
   Google Scholar
• Ozcicek , O. 2007 . Price convergence among provinces in Turkey . Akdeniz I.I.B.F. Dergisi , 13 : 266 – 279 .
   Google Scholar
• Ozus , E. , Dokmeci , V. , Kiroglu , G. and Egdemir , G. 2007 . Spatial analysis of residential prices in Istanbul . European Planning Studies , 15 (5) : 707 – 721 . doi:10.1080/09654310701214085
   Web of Science ®Google Scholar
• Park , H. J. and Fuller , W. A. 1995 . Alternative estimators and unit root tests for the autoregressive process . Journal of Time Series Analysis , 16 (4) : 415 – 429 . doi:10.1111/j.1467–9892.1995.tb00243.x
   Google Scholar
• Pedroni , P. and Yao , J. Y. 2006 . Regional income divergence in China . Journal of Asian Economics , 17 (2) : 294 – 315 . doi:10.1016/j.asieco.2005.09.005
   Google Scholar
• Perron , P. and Ng , S. 1996 . Useful modifications to some unit root tests with dependent errors and their asymptotic properties . Review of Economic Studies , 63 (3) : 435 – 463 . doi:10.2307/2297890
   Google Scholar
• Pesaran , M. H. 2007 . A simple panel unit root test in the presence of cross‐section dependence . Journal of Applied Econometrics , 22 (2) : 265 – 312 . doi:10.1002/jae.951
   Web of Science ®Google Scholar
• Republic of Turkey Ministry of Finance . 2009 . Yillik Ekonomik Rapor (In Turkish)
   Google Scholar
• Selim , S. 2008 . Determinants of house prices in Turkey: a hedonic regression model . Doguş Universitesi Dergisi , 9 (1) : 65 – 76 .
   Google Scholar
• Standard and Poors . 2007 . Structured finance in Turkey: existing asset securitization market on track to develop in 2007 Available at: http:// www2.standardandpoors.com/spf/pdf/media/ turkey_sf_turkey_viewpoint.pdf
   Google Scholar
• Stevenson , S. 2004 . House price diffusion and inter‐regional and cross‐border house price dynamics . Journal of Property Research , 21 (4) : 301 – 320 . doi:10.1080/09599910500151228
   Google Scholar
• Taylor , A. M. and Taylor , M. P. 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 (4) : 135 – 158 . doi:10.1257/0895330042632744
   Web of Science ®Google Scholar
• Taylor , M. P. , Peel , D. A. and Sarno , L. 2001 . Nonlinear mean‐reversion in real exchange rates: toward a solution to the purchasing power parity puzzles . International Economic Review , 42 (4) : 1015 – 1042 . doi:10.1111/1468–2354.00144
   Google Scholar
• Tunay , B. K. and Silpagar , A. M. 2007 . Regional inflation convergence analysis in Turkey with dynamic space‐time panel data models . Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 9 (1) : 1 – 27 .
   Google Scholar
• Turhan , I. Housing sector in Turkey: challenges and opportunities . 17th Annual International Conference, the American Real Estate and Urban Economics Association . July 4 , Istanbul. Available at: http://www.tcmb.gov.tr/yeni/ iletisimgm/turhan_housingsector.pdf
   Google Scholar
• TurkStat . 2009 . Statistical indicators 1923–2008 , Ankara : Turkish Statistical Institute .
   Google Scholar
• Tvaronavičiene , M. , Grybaite , V. and Tvaronavičiene , A. 2009 . If institutional performance matters: development comparisons of Lithuania, Latvia and Estonia . Journal of Business Economics and Management , 10 (3) : 271 – 278 . doi:10.3846/1611–1699.2009.10.271–278
   Google Scholar
• Vansteenkiste , I. 2007 . Regional housing market spillovers in the US: lessons from regional divergences in a common monetary policy setting . European Central Bank Working Paper Series , 708
   Google Scholar
• Vansteenkiste , I. and Hiebert , P. 2009 . Do house price developments spill over across Euro area countries? Evidence from a global VAR . European Central Bank Working Paper Series , 1026
   Google Scholar
• Yilmazkuday , H. 2009 . Inflation targeting and inflation convergence within Turkey Available at: http://mpra.ub.uni‐muenchen.de/16770/
   Google Scholar
• Young , A. 2000 . The razor's edge: distortions and incremental reform in the People's Republic of China . Quarterly Journal of Economics , 115 (4) : 1091 – 1135 . doi:10.1162/003355300555024
   Google Scholar