Rental Price Convergence in a Developing Economy: New Evidence From Nonlinear Panel Unit Root Test

Bilgin, Mehmet Hüseyin; Lau, Chi Keung Marco; Demir, Ender; Astrauskiene, Nijole

doi:10.3846/ijspm.2010.18

Cited by 9 publications

(7 citation statements)

References 44 publications

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“…Some recent examples of the convergence studies are Dreher and Krieger (2010) for consumer prices for diesel in EU, Gil-Pareja and Sosvilla-Rivero (2008) for car prices in EU, Robinson (2007) for electricity prices in EU, Kasman, Kirbas-Kasman, and Turgutlu (2005) for inflation and interest rates in six transition countries, Lau, Fung, and Pugalis (2014) for health care expenditure across Europe, and Bilgin et al (2010) for the rental price convergence in Turkey. Most recent studies on price convergence prefer to use 'nonlinear unit root test' as their empirical strategy for two concerns.…”

Section: Nonlinear Price Convergencementioning

confidence: 98%

“…First, the nonlinear model provides economic rationale. The Exponential Smooth Transition Autoregressive (ESTAR) model incorporates transaction cost of arbitrage mechanism in the Turkish property market (Bilgin et al 2010). The authors emphasize that the nonlinear model can take into account the sum of transaction cost involved in rental market including property stamp duty and forgone investment returns.…”

Section: Nonlinear Price Convergencementioning

confidence: 99%

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A Nonlinear Model of Military Expenditure Convergence: Evidence From Estar Nonlinear Unit Root Test

Lau

Demir

Bilgin

2015

Defence and Peace Economics

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The paper builds a model to empirically test military expenditure convergence in a nonlinear set up. We assert that country A chooses a military strategy of catching up with the military expenditure of its rivals, subject to public spending constraints on public investments, including health and education, leading to decrease in long-term economic welfare. This implies nonlinear convergence path: only when the military expenditure gap between countries reaches the threshold level, will it provide incentives to catch up with rival's military expenditures. We test this nonlinear catching up hypothesis for 37 countries spanning from 1988 to 2012. Results from individual nonlinear cross-sectionally augmented Dickey-Fuller (NCADF) regression indicate that 53% of countries converge to world's average military expenditure: where 39% of countries converge to Germany; 33% of countries converge to China; 22% of countries converge to the USA, and 11% of countries converge to Russia. Interestingly, USA does not exhibit nonlinear military expenditure convergence toward world's average level. For panel NCADF regression, the result suggests that on average, there is evidence for countries converging to USA's military expenditure at 10% significance level. For the convergence to the world's average, the statistical significance is at the 1% significance level.

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Section: Nonlinear Price Convergencementioning

confidence: 98%

Section: Nonlinear Price Convergencementioning

confidence: 99%

A Nonlinear Model of Military Expenditure Convergence: Evidence From Estar Nonlinear Unit Root Test

Lau

Demir

Bilgin

2015

Defence and Peace Economics

Self Cite

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“…In general, residential rents are extremely poorly examined in terms of convergence. One of the very few studies on the subject was carried out by Bilgin et al ( 2010 ), who analysed the stochastic convergence of housing rents between cities in Turkey.…”

Section: Introductionmentioning

confidence: 99%

Testing for overall and cluster convergence of housing rents using robust methodology: evidence from Polish provincial capitals

Tomal

2021

Empir Econ

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The aim of this paper is to test for overall and cluster convergence of housing rents across Polish provincial capitals and to identify drivers of convergence club formation. In order to achieve the goal of the study, several novel convergence tests were used, including the Kong et al. (J Econom 209:185–207, 2019. https://doi.org/10.1016/j.jeconom.2018.12.022) and Phillips and Sul (Econometrica 75:1771–1855, 2007. https://doi.org/10.1111/j.1468-0262.2007.00811.x) approaches. Moreover, club convergence analysis was carried out in four different configurations, varying in the technique of trend component extraction from the data. In particular, three well-known methods of time series decomposition were used, i.e. the Hodrick–Prescott, Butterworth and Christiano–Fitzgerald filters, as well as the most recent boosted Hodrick–Prescott filter. The results indicated that rental prices across the studied cities do not share a common path in the long run. It is possible, however, to identify convergence clubs where rents are moving towards a club-specific steady state. Detailed analysis of the structure of estimated clusters showed that data filtering using the boosted Hodrick–Prescott method leads to the most reliable allocation of cities to convergence clubs. Moreover, the estimation of logit models revealed that the likelihood of any two cities belonging to the same convergence club depends mainly on similar levels in terms of the unemployment rate, housing stock, city area, and the number of students. Finally, recommendations for local and national policy-makers concerning the development of the rental market have been formulated, particularly in the areas of urban land-use planning policy, housing legislation and public–private partnerships.

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“… 5. Bilgin et al (2010) use the same panel approach in the context of rental values in three Turkish cities. In this case however no evidence of convergence is noted. …”

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confidence: 99%

Synchronisation and commonalities in metropolitan housing market cycles

2014

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This paper examines the degree of commonalities present in the cyclical behavior of the eight largest metropolitan housing markets in Australia. Using two techniques originally in the business cycle literature we consider the degree of synchronization present and secondly decompose the series' into their permanent and cyclical components. Both empirical approaches reveal similar results. Sydney and Melbourne are closely related to each other and are relatively segmented from the smaller metropolitan areas. In contrast, there is substantial evidence of commonalities in the cyclical behavior of the remaining cities, especially those on the Eastern and Southern coasts of Australia.

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Rental Price Convergence in a Developing Economy: New Evidence From Nonlinear Panel Unit Root Test

Cited by 9 publications

References 44 publications

A Nonlinear Model of Military Expenditure Convergence: Evidence From Estar Nonlinear Unit Root Test

A Nonlinear Model of Military Expenditure Convergence: Evidence From Estar Nonlinear Unit Root Test

Testing for overall and cluster convergence of housing rents using robust methodology: evidence from Polish provincial capitals

Synchronisation and commonalities in metropolitan housing market cycles

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