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A Periodic Time Series Application in Housing Price Analysis (Case Study of Tehran)

Shahhosseini, Mehrnoush | 2010

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 41108 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Souri, Davoud
  7. Abstract:
  8. The seasonal fluctuations in economics variables relate to the different behavior of economic agents across different seasons. In past, seasonality has been viewed as a redundant feature that needs to be removed from data before economic analysis. From 1988, modeling seasonality has become the major concern of many economists; moreover, it was seen that many economic analysis and forecasts could be flawed if seasonality is ignored. In the present research, periodic times series approach is used for the first time in modeling the seasonality feature of the housing market. Regarding the importance of the housing sector in economy from micro and macroeconomic points of view, using a more precise tool to model this sector appears to be useful in forecasting the future behavior of this market and choosing an appropriate policy. The case study of this research carried out in the city of Tehran and with seasonal data of 1990 till 2008. In this study, GDP, liquidity, private investment in newly housing units, housing price and land price were selected as variables. The presence of periodicity in the three variables named liquidity, land price and housing price was accepted. In the long run horizon, there was a positive relationship between each of these variables and housing price. Based on statistical inference, the model of summer and winter seasons between GDP and housing price and also the model between investment and housing price in the summer season were significantly different from the non periodic one
  9. Keywords:
  10. Gross Domestic Product ; Housing Price ; Periodic Time Series ; Liquidity

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