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Granger causality among house price and macroeconomic variables in Victoria

Luo, Zhenqiang, Liu, Chunlu and Picken, David 2007, Granger causality among house price and macroeconomic variables in Victoria, Pacific rim property research journal, vol. 13, no. 2, pp. 234-256.

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Title Granger causality among house price and macroeconomic variables in Victoria
Author(s) Luo, Zhenqiang
Liu, Chunlu
Picken, David
Journal name Pacific rim property research journal
Volume number 13
Issue number 2
Start page 234
End page 256
Publisher Pacific Rim Real Estate Society (PPRES)
Place of publication Penrith South, N.S.W.
Publication date 2007-06
ISSN 1444-5921
Keyword(s) house price index
unit root
Granger causality
cointegration
vector error correction
Summary This study analyses the dynamic causality of four macroeconomic variables on house prices. The four macroeconomic variables have interrelationships with house prices in certain lagged terms, but these relationships are not always the same as the notions put forward in prior research. The relationships are detected to be unstable in the three observation periods. The instability of these relationships would cause difficulty in predicting house prices in the market, especially for policy makers and market participants.
Notes Reproduced with the specific permission of the copyright owner.
Language eng
Field of Research 150403 Real Estate and Valuation Services
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2007, Pacific Rim Real Estate Society
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007299

Document type: Journal Article
Collections: School of Architecture and Built Environment
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