THE POWER OF A LEADING INDICATOR’S FLUCTUATION TREND FOR FORECASTING TAIWAN'S REAL ESTATE BUSINESS CYCLE: AN APPLICATION OF A HIDDEN MARKOV MODEL
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 1
Abstract
This paper employ the discrete hidden Markov model (HMM) in order to capture information about the Markov switching model?s inner states that is not directly observable, and to pre-detect the real estate business cycle?s volatility trend. The empirical results show that this HMM can capture the asymmetry in the duration of states. Compared with the real estate leading indicator announced by the Taiwan Real Estate Research Center, this HMM yields the same results in terms of forecasting the trends of cycle fluctuations. The explanatory power of the HMM in 4-steps out-of-sample forecasting is supported both conceptually and methodologically.
Authors and Affiliations
Yun-Ling Wu| Lecturer, Department of Real Estate Management, National Pingtung University, Taiwan, Cheng-Huang Tung| Associate Professor, Department of Computer Science and Information Engineering National Pingtung University, Taiwan, Chun-Chang Lee*| Professor, Department of Real Estate Management, National Pingtung University, Taiwan
IMPACT OF ISLAMIC BELIEF ON THE DEMAND FOR LIFE ASSURANCE POLICIES IN LAGOS STATE, NIGERIA
Religion has been identified as an important factor that shapes people’s perception about life. Particularly issues relating to safety and security, arising from this, the challenge lies on the insurance practitioners in...
ECONOMIC FREEDOM AND ECONOMIC GROWTH IN MENA COUNTRIES
Most studies of the relationship between economic freedom and growth of GDP have found a positive correlation. One problem in this area is the choice of measure of economic freedom. A single measurement does not reflect...
THE IMPACT OF DEBT STRUCTURE ON FIRM PERFORMANCE: EMPIRICAL EVIDENCE FROM NIGERIAN QUOTED FIRMS
This paper provides an empirical investigation of the impact of debt structure on the performance of Nigerian quoted firms. It was conducted using 12-year annualized panel data spanning the period 2001-2012 for cross sec...
AN ANTI-AUSTERITY POLICY RECIPE AGAINST DEBT ACCUMULATION IN THE PRESENCE OF HIDDEN ECONOMY
Contrary to what the literature on the linkage between debt accumulation and hidden economy suggests, this paper advocates that the two relationships, tax-hidden economy size and inflation-hidden economy size, have to be...
MUSLIM WOMEN ENTREPRENEURS’ MOTIVATION IN SMES: A QUANTITATIVE STUDY IN ASIA PACIFIC COUNTRIES
Women occupy nearly half of the working population. However, there are too many challenges for them to get engaged into a job as they have to sacrifice their time with their family. It is a norm and tradition for Asian P...