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•• denotes the differencing operator that takes the difference of
the variables over time period t and t-1 . During this process, unobserved
economy-specific heterogeneity •• that may correlate with other economy
••
characteristics that are included in the controls vector X is removed. Empir-
ically, we are interested in the sign and statistical significance associated
with •••• .

Data

Our data is a set of annual statistics pertaining to 33 economies
over the period 2004 (or whichever earliest year) to 2015, with a total number
of observations of 310. The definitions and sources of each non-binary vari-
able is summarised below.

The dependent variable is:
· Home Price Index (HPI) : Measures the percentage changes of

residential property prices in a given economy in a given year.
Data is retrieved from Eurostat and CEIC for overseas econo-
mies, and Rating and Valuation Department for that pertain-
ing to Hong Kong.

The independent variables are:
· Homeownership Rate (HOR ): Measures the ratio of owner-oc-

cupied units to total residential units in a given economy in a
given year. Data is retrieved from Eurostat and CEIC for over-
seas economies, and Census and Statistics Department for
that pertaining to Hong Kong.

· Inflation rate (included in the vector X) : Measures the percent-
age change of the consumer price level of a given economy
in a given year. Data is retrieved from Eurostat and CEIC for
overseas economies, and Census and Statistics Department
for that pertaining to Hong Kong.

· GDP growth rate (included in the vector X) : Measures the per-

centage growth of GDP of a given economy in a given year.
Data is retrieved from Eurostat and CEIC for overseas econo-
mies, and Census and Statistics Department for that pertain-
ing to Hong Kong.

· Nominal Interest Rate (included in the vector X) : Measures the
short-term base nominal interest rate or interbank interest
rate of a given economy in a given year. Data is retrieved from
CEIC. Table 14 describes the proxy used for nominal interest
rate in different economies.

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