This paper studies the dynamics of housing returns in Singapore. We first extract the movements of Singapore's economic aggregates that are free from foreign (U.S. and rest of the world) factors, and then examine the determinants of its housing returns. We find that both the domestic variables (such as GDP growth rate,

We examine how fluctuations in financial and housing markets in U.S. affect asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching models indicate that the unexpected shock of US stock returns, followed by the TED spread, has the most significant effect on HK asset returns and GDP, typically in the regime with high return and low volatility. For the in-sample one-step-ahead forecasting, US Term spread stands out to be the best predictor.

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