Have a personal or library account? Click to login
Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test Cover

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Open Access
|Dec 2019

References

  1. Baumohl B., 2007, Secrets of Economic Indicators, The: Hidden Clues to Future Economic Trends and Investment Opportunities (3rd Edition), Pearson Prentice Hall.
  2. Bełej M., Cellmer R., 2014 The effect of macroeconomic factors on changes in real estate prices on unstable markets – response and interaction, Acta Scientiarum Polonorum. Seria: Oeconomia 13 (2), pp. 5-16.
  3. Bełej M., 2016, Ekonomia złożoności w badaniach rynków nieruchomości (Economics of complexity in real estate market research), Studia Ekonomiczne, 3, 462-482.
  4. Belniak S., 2001, Rozwój rynku nieruchomości w Polsce na tle krajów wysoko rozwiniętych (Development of the real estate market in Poland on the background of highly developed countries), Zeszyty Naukowe/Akademia Ekonomiczna w Krakowie. Seria Specjalna, Monografie (148).
  5. Bryx M., 2006, Rynek nieruchomości - system i funkcjonowanie (Real estate market - system and functioning, Poltext, Warszawa.
  6. Brzezicka J., Wiśniewski R., Figurska M., 2018, Disequilibrium in the real estate market: Evidence from Poland. Land use policy, 78, 515-531.10.1016/j.landusepol.2018.06.013
  7. Canova F., 1999, Vector Autoregressive Models: Specification, estimation, inference and Forecasting, (in) Pesaran M. H., Wickens M. (eds.), Handbook of Applied Econometrics, Volume 1: Macroeconomics, Blackwell Publishing, Oxford.
  8. Charemza W. W., Deadman D. A., 1992, New Directions in Econometric Practise, Edward Elgar, Hants.
  9. Chen M. C., Patel K., 1998, House price dynamics and Granger causality: an analysis of Taipei new dwelling market, Journal of the Asian Real Estate Society, 1(1), 101-126.
  10. Chen N. K., 2001, Asset price fluctuations in Taiwan: evidence from stock and real estate prices 1973 to 1992, Journal of Asian Economics, 12(2), 215-232.10.1016/S1049-0078(01)00083-5
  11. Clayton J., Miller N., Peng L., 2010, Price-volume correlation in the housing market: causality and co-movements, The Journal of Real Estate Finance and Economics, 40(1), 14-40.10.1007/s11146-008-9128-0
  12. Davis M. A., Heathcote J., 2005, Housing and the business cycle, International Economic Review, 46(3), 751-784,10.1111/j.1468-2354.2005.00345.x
  13. Dickey D. A., Fuller W. A., 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, vol 49, pp. 1057-1072.10.2307/1912517
  14. Ding H., Chong T. T. L., Park S. Y., 2014, Nonlinear dependence between stock and real estate markets in China, Economics Letters, 124(3), 526-529.10.1016/j.econlet.2014.05.035
  15. Drachal K., 2018, Causality in the Polish Housing Market: Evidence from Biggest Cities, Financial Assets and Investing, 9 (1), 5-20.10.5817/FAI2018-1-1
  16. Enders W., 1995, Applied Econometric Time Series, John Wiley&Sons, New York
  17. Eng O.S., 1994, Structural and Vector Autoregressive Approaches to Modelling Real Estate and Property Stock Prices in Singapore, Journal of Property Finance, Vol. 5 Issue: 4, pp.4-18, https://doi.org/10.1108/09588689410080257.10.1108/09588689410080257
  18. Engle R. F., Granger C. W. J., 1987, Co-integration and Error Correction, Econometrica, 55, 251-276.10.2307/1913236
  19. Fisher J.D.M., Gervais M., 2007, First-time homebuyers and residential investment volatility, Working Paper, No. 2007-15, Federal Reserve Bank of Chicago, Chicago, IL.10.2139/ssrn.1083724
  20. Foryś I., 2011, Społeczno-gospodarcze determinanty rozwoju rynku mieszkaniowego w Polsce (Socio-economic determinants of the development of the housing market in Poland), Wydawnictwo Naukowe Uniwersytetu Szczecińskiego, Szczecin.
  21. Granger C.W.J., 1969, Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica. 37 (3): 424–438. doi:10.2307/1912791.10.2307/1912791
  22. Granger C.W.J., Newbold P., 1974, Spurious Regression in Econometrics, Journal of Econometrics, 2, 111-120.10.1016/0304-4076(74)90034-7
  23. Guo F., Huang Y. S., 2010, Does “hot money” drive China’s real estate and stock markets? International Review of Economics & Finance, 19(3), 452-466.10.1016/j.iref.2009.10.014
  24. Harvey A.C., Collier P., 1997, Testing for Functional Misspecification in Regression Analysis, Journal of Econometrics, 6, 103–119.10.1016/0304-4076(77)90057-4
  25. Janiga-Ćmiel A., 2013, Analiza zależności przyczynowych rozwoju gospodarczego Polski i wybranych państw Unii Europejskiej (Analysis of causal dependencies of economic development in Poland and selected countries of the European Union), Studia Ekonomiczne, (159), 51-72.
  26. Jinjarak Y., Sheffrin S. M., 2011, Causality, real estate prices, and the current account, Journal of Macroeconomics, 33(2), 233-246.10.1016/j.jmacro.2010.11.001
  27. Kałkowski L. (ed.), 2003, Rynek nieruchomości w Polsce (Real estate market in Poland), Twigger, Warszawa.
  28. Kilian L., Lütkepohl H., 2017, Structural Vector Autoregressive Analysis (Themes in Modern Econometrics), Cambridge Univeristy Press10.1017/9781108164818
  29. Kucharska-Stasiak E., 2016, Ekonomiczny wymiar nieruchomości (The economic dimension of real estate), PWN, Warszawa.
  30. Kuethe T. H., Pede V. O., 2011, Regional housing price cycles: a spatio-temporal analysis using US state-level data, Regional studies, 45(5), 563-574.10.1080/00343400903497897
  31. Leamer E., 2007, Housing is the business cycle, The National Bureau of Economic Research, Working Paper No. 1342810.3386/w13428
  32. Lis P., 2012, Wahania cykliczne rynków mieszkaniowych. Aspekty teoretyczne i praktyczne (Cyclical fluctuations of housing markets. Theoretical and practical aspects), Wydawnictwo Adam Marszałek, Toruń.
  33. Liu Z., Miao J., Zha T., 2016, Land prices and unemployment, Journal of Monetary Economics, vol. 80, pp. 86-105, https://doi.org/10.1016/j.jmoneco.2016.05.00110.1016/j.jmoneco.2016.05.001
  34. Lu C., So R.W., 2005, Return relationships between listed banks and real estate firms: evidence from seven Asian economies. Journal of Real Estate Finance and Economics 31 (2), pp. 189–206.10.1007/s11146-005-1371-z
  35. Nowak K., 2014, Ceny mieszkań a wynagrodzenie i bezrobocie - analiza z wykorzystaniem modeli wektorowoautoregresyjnych na przykładzie Krakowa (Housing prices vs. wages and unemployment - analysis using vector-autoregressive models on the example of Krakow), Problemy Rozwoju Miast, (4), 20-33.
  36. Ooms M., 1994, Empirical vector autoregressive modeling, Springer-Verlag, Berlin10.1007/978-3-642-48792-7
  37. Ott E., 1997, Chaos w układach dynamicznych (Chaos in dynamic systems), Wydawnictwo Naukowo-Techniczne, Warszawa
  38. Sims C. A., 1980, Macroeconomics and Reality, Econometrica, 48, pp. 1-4810.2307/1912017
  39. Trojanek R., 2008, Wahania cen na rynku mieszkaniowym (Price fluctuations in the housing market), Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznań.
  40. Urbanovský T., 2017, Granger Causalities Between Interest Rate, Price Level, Money Supply and Real GDP in the Czech Republic, Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 65(2), 745-757.10.11118/actaun201765020745
Language: English
Page range: 85 - 95
Published on: Dec 16, 2019
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2019 Radosław Cellmer, Mirosław Bełej, Aneta Cichulska, published by Real Estate Management and Valuation
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.