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An interdependence analysis of Australian house prices using variance decomposition

Liu, Chunlu, Ma, Le, Luo, Zhen Qiang and Picken, David 2009, An interdependence analysis of Australian house prices using variance decomposition, International journal of housing markets and analysis, vol. 2, no. 3, pp. 218-232.

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Title An interdependence analysis of Australian house prices using variance decomposition
Author(s) Liu, Chunlu
Ma, Le
Luo, Zhen Qiang
Picken, David
Journal name International journal of housing markets and analysis
Volume number 2
Issue number 3
Start page 218
End page 232
Total pages 15
Publisher Emerald Group Publishing
Place of publication Bingley, England
Publication date 2009
ISSN 1753-8270
1753-8289
Keyword(s) housing
prices
cities
vectors
variance
Australia
Summary Purpose - The purpose of this paper is to analyse the interdependencies of the house price growth rates in Australian capital cities.
Design/methodology/approach - A vector autoregression model and variance decomposition are introduced to estimate and interpret the interdependences among the growth rates of regional house prices in Australia.
Findings - The results suggest the eight capital cities can be divided into three groups: Sydney and Melbourne; Canberra, Adelaide and Brisbane; and Hobart, Perth and Darwin.
Originality/value - Based on the structural vector autoregression model, this research develops an innovative interdependence analysis approach of regional house prices based on a variance decomposition method.
Notes Reproduced with the kind permission of the copyright owner.
Language eng
Field of Research 120201 Building Construction Management and Project Planning
Socio Economic Objective 870501 Civil Building Management and Services
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2009
Copyright notice ©2009, Emerald Group Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30029282

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