Dynamic asymmetric estimates – dependent variable: Δhouse prices
| Variables | Coefficients/t-statistics |
|---|---|
| LogHouse prices(t−1) | −0.094***(−4.19) |
| LogIncomepos | 0.101***(3.72) |
| LogIncomeneg | 0.409***(3.68) |
| CPIpos | 0.001***(2.09) |
| CPIneg | −0.002***(−3.31) |
| LogBuilding plan completedpos | 0.017(1.02) |
| LogBuilding plan completedneg | 0.073***(7.28) |
| Mortgagepos | −0.002***(−4.14) |
| Mortgageneg | 0.001(1.35) |
| ΔLog house prices(t−1) | 0.667***(8.21) |
| ΔLog house prices(t−2) | −0.534***(−5.44) |
| ΔLog house prices(t−3) | 0.229**(2.43) |
| ΔLog house prices(t−4) | −0.350***(−5.08) |
| ΔLogIncomepos | 0.089(1.37) |
| ΔLogIncomepos(t−1) | −0.047(−0.82) |
| ΔLogIncomepos(t−2) | 0.053(0.91) |
| ΔLogIncomeneg | 0.249(0.97) |
| ΔLogIncomeneg(t−1) | −0.190(0.79) |
| ΔLogIncomeneg(t−2) | −0.333(−1.43) |
| ΔCPI-pos | 0.001(0.93) |
| ΔCPI-pos(t−1) | 0.001(0.52) |
| ΔCPI-pos(t−2) | −0.001(−0.67) |
| ΔCPI-neg | −0.002*(−1.77) |
| ΔCPI-neg(t−1) | 0.001(1.33) |
| ΔCPI-neg(t−2) | 0.003***(3.33) |
| ΔLogbuilding plan completed-pos | −0.016(−0.65) |
| ΔLogbuilding plan completed-pos(t−1) | 0.005(0.17) |
| ΔLogbuilding plan completed-pos(t−2) | 0.018(0.600) |
| ΔLogbuilding plan completed-neg | 0.043(1.61) |
| ΔLogbuilding plan completed-neg(t−1) | −0.012(−0.43) |
| ΔLogbuilding plan completed-neg(t−2) | −0.040*(−1.67) |
| ΔMortgage-pos | −0.004***(3.11) |
| ΔMortgage-neg(t−1) | 0.002*(1.76) |
| ΔMortgage-pos(t−2) | 0.004***(2.85) |
| ΔMortgage-neg | −0.002(−1.36) |
| ΔMortgage-neg(t−1) | −0.001(−0.42) |
| ΔMortgage-neg(t−2) | −0.003**(−2.33) |
| Constant | 0.438***(4.36) |
| Variables | Coefficients/t-statistics |
|---|---|
| LogHouse prices( | −0.094***(−4.19) |
| LogIncomepos | 0.101***(3.72) |
| LogIncomeneg | 0.409***(3.68) |
| CPIpos | 0.001***(2.09) |
| CPIneg | −0.002***(−3.31) |
| LogBuilding plan completedpos | 0.017(1.02) |
| LogBuilding plan completedneg | 0.073***(7.28) |
| Mortgagepos | −0.002***(−4.14) |
| Mortgageneg | 0.001(1.35) |
| ΔLog house prices( | 0.667***(8.21) |
| ΔLog house prices( | −0.534***(−5.44) |
| ΔLog house prices( | 0.229**(2.43) |
| ΔLog house prices( | −0.350***(−5.08) |
| ΔLogIncomepos | 0.089(1.37) |
| ΔLogIncomepos( | −0.047(−0.82) |
| ΔLogIncomepos( | 0.053(0.91) |
| ΔLogIncomeneg | 0.249(0.97) |
| ΔLogIncomeneg( | −0.190(0.79) |
| ΔLogIncomeneg( | −0.333(−1.43) |
| ΔCPI-pos | 0.001(0.93) |
| ΔCPI-pos( | 0.001(0.52) |
| ΔCPI-pos( | −0.001(−0.67) |
| ΔCPI-neg | −0.002 |
| ΔCPI-neg( | 0.001(1.33) |
| ΔCPI-neg( | 0.003***(3.33) |
| ΔLogbuilding plan completed-pos | −0.016(−0.65) |
| ΔLogbuilding plan completed-pos( | 0.005(0.17) |
| ΔLogbuilding plan completed-pos( | 0.018(0.600) |
| ΔLogbuilding plan completed-neg | 0.043(1.61) |
| ΔLogbuilding plan completed-neg( | −0.012(−0.43) |
| ΔLogbuilding plan completed-neg( | −0.040 |
| ΔMortgage-pos | −0.004***(3.11) |
| ΔMortgage-neg( | 0.002 |
| ΔMortgage-pos( | 0.004***(2.85) |
| ΔMortgage-neg | −0.002(−1.36) |
| ΔMortgage-neg( | −0.001(−0.42) |
| ΔMortgage-neg( | −0.003**(−2.33) |
| Constant | 0.438***(4.36) |
Notes:
*, ** and *** denote 10, 5 and 1% level of significance, respectively