An interdependence analysis of Australian house prices using variance decomposition

@article{Liu2009AnIA,
  title={An interdependence analysis of Australian house prices using variance decomposition},
  author={Chunlu Liu and Le Ma and Zhen Luo and David H. Picken},
  journal={International Journal of Housing Markets and Analysis},
  year={2009},
  volume={2},
  pages={218-232}
}
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… 

Is there Long-Run Equilibrium in the House Prices of Australian Capital Cities?

In order to explore the long-run equilibrium in the house prices of different cities, studies on house price convergence have been conducted by a number of researchers. However, the majority of

Is there Long-Run Equilibrium in the House Prices of Australian Capital Cities ?

In order to explore the long-run equilibrium in the house prices of different cities, studies on house price convergence have been conducted by a number of researchers. However, the majority of

‘Ripple’ Effects in South African House Prices

This paper analyses the ‘ripple’ effect of house prices in large-, medium- and small-sized houses of five major metropolitan areas of South Africa—namely, Cape Town, Durban Unicity, Greater

Ripple effects of house prices: considering spatial correlations in geography and demography

Purpose – Studies into ripple effects have previously focused on the interconnections between house price movements across cities over space and time. These interconnections were widely investigated

Convergence Among the Submarkets in Australian Regional Building and Construction Sector

Studies on market convergence are well considered in the literature. However, the majority of the previous research focused on housing markets and few studies have concentrated on construction

Do Spatial Effects Drive House Prices Away from the Long-run Equilibrium?

Abstract Long-run equilibrium of house prices has been investigated by researchers in multiple countries. The identification of this equilibrium not only provides references against contemporary

Identifying determinants of demand for construction using an econometric approach

Economic variation and its effects on construction demand have received a great deal of attention in construction economics studies. An understanding of future trends in demand for construction could

Reading house prices in Australian capital cities

House prices in the Australian capital cities have been increasing over the last two decades. An over 10% average annual increase arises in the capital cities. In Melbourne, Brisbane and Perth, the

READING HOUSE PRICES IN AUSTRALIAN CAPITAL CITIES

House prices in the Australian capital cities have been increasing over the last two decades. An over 10% average annual increase arises in the capital cities. In Melbourne, Brisbane and Perth, the

The effects of the late 2000s global financial crisis on Australia's construction demand

An accurate measurement of the impacts of external shocks on construction demand will enable construction industry policymakers and developers to make allowances for future occurrences and advance

References

SHOWING 1-10 OF 28 REFERENCES

Housing price diffusion pattern of Australia's state capital cities

The ripple effect of house prices within metropolitan areas has recently been recognised by researchers. However, it is very difficult to formulate and measure this effect using conventional house

Identifying House Price Diffusion Patterns Among Australian State Capital Cities

Prior research supports the proposition that house price diffusion shows a ripple effect along the spatial dimension. That is, house price changes in one region would reflect in subsequent house

Seasonality and Cointegration of Regional House Prices in the UK

The data generation process underlying regional house prices in the UK is investigated using new statistical tests. It is found that causal flows tend to be northwards: the South East (rather than

House Price Dynamics and Granger Causality: An Analysis of Taipei New Dwelling Market

The primary purpose of this paper is to examine dynamic causal relationships between house price and its five determinants, including total household income, short-run interest rates, stock price

Granger Causality Among House Price and Macroeconomic Variables in Victoria

Abstract 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,

Spatial aggregation, spatial dependence and predictability in the UK housing market

Abstract Most time‐series studies of UK housing markets are carried out on national data. However, housing markets may be better characterised as a series of interconnected sub‐national markets. In

Housing Prices and Geographical Scale: Australian Cities in the 1980s

This paper examines the distribution of, and changes in, house prices in Australian cities during the 1980s, a period of considerable change in asset prices in general. The analysis is concerned to

Housing prices and policy dilemmas: a peculiarly Australian problem?

House price inflation has a long tradition in Australia. By international standards the current housing boom is ‘world class’; Australia, along with Britain, heads the OECD league table for house

Australian Capital City Real House Prices, 1979–1993

Real house prices have increased by 35 per cent in Australian capital cities during the last 15 years, with Brisbane, Canberra, and Sydney experiencing rises of 48 to 61 per cent and Adelaide,

House price diffusion and inter‐regional and cross‐border house price dynamics

This paper examines house price diffusion with the Republic of Ireland and between the Republic and Northern Ireland. The results show that a large degree of diffusion takes place, particularly from