Housing Market Risk and Liquidity: Evidence from Taiwan’s Metropolitan Housing Markets

This study examines the dynamic association between macroeconomic fundamentals, housing-market risk, seasonal conditions, selective credit controls, and housing-market liquidity across Taiwan’s six metropolitan housing markets. Using quarterly data from 2011Q1 to 2024Q4, three common ARDL–ECM specifications and supplementary city-specific refinements are evaluated. Housing price volatility (PVOL) and transaction volume volatility (QVOL) are measured by four-quarter moving sample standard deviations and enter the short-run equation as one-quarter-lagged first differences. The results provide limited and geographically concentrated evidence: PVOL is insignificant in every preferred specification, while QVOL is clearly significant only in Taichung and weakly significant in Taipei. An eight-quarter-window sensitivity analysis does not reproduce the same city-specific significance pattern, although PVOL remains insignificant throughout. The findings therefore describe market-specific patterns of dynamic association rather than proven cross-city coefficient differences or structural causal effects.