An Analysis of the Relationship between Business Cycles and Real Estate Prices in Thailand
Abstract
Abstract
This research aimed to analyze the relationship between business cycles and real estate prices in Thailand by studying the states of the economic expansion and the economic depression. The information used was the monthly time series data: real estate prices, gross domestic products, and loan interest rates from January 2009 to December 2018. The total of the observation was 127 by using the Markov Switching Vector Autoregressive model.
The research findings were as follows.
- In the state of the economic expansion, the loan interest rates affected the real estate prices in the same direction, but the gross domestic products affected the real estate prices in the opposite direction. On the other hand, the real estate prices affected the loan interest rates and the gross domestic products in the same directions.
2. In the economic depression, the gross domestic products affected the real estate prices in the same directions, but the loan interest rates affected the real estate prices in the opposite direction. On the other hand, the real estate prices affected the gross domestic products in Thailand in the opposite direction, but affected the loan interest rates in the same directions.
Keywords: Business cycle, Real estate prices, Markov Switching
References
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