dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Andre, Christophe
|
|
dc.contributor.author |
Gil-Alana, Luis A.
|
|
dc.date.accessioned |
2016-02-10T11:30:02Z |
|
dc.date.available |
2016-02-10T11:30:02Z |
|
dc.date.issued |
2015-12 |
|
dc.description.abstract |
This paper analyses comovement in housing prices across the Euro area. We use techniques
based on the concepts of fractional integration and cointegration. Our results indicate that all the
individual log-real price indices display orders of integration which are above one, implying long
memory in their corresponding growth rates. Further, looking at the cointegration relationships,
we observe that the series for the Euro area is cointegrated with those of Belgium, Germany and
France. Focusing on the individual countries, we find cointegration relationships between Belgium
and Spain, Belgium and the Netherlands, Germany and Spain, Germany and Ireland, France and
Spain, and Ireland and the Netherlands. Other bilateral cointegration relationships can either
clearly be rejected or the results are ambiguous. Finally, prices in Germany seem to move in the
opposite direction from other countries, which may be related to capital flows associated with
current account imbalances. |
en_ZA |
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://usj.sagepub.com |
en_ZA |
dc.identifier.citation |
Gupta, R, Andre, C & Gil-Alana, L 2015, 'Comovement in Euro area housing prices : a fractional cointegration approach', Urban Studies, vol. 52, no. 16, pp. 3123-3143. |
en_ZA |
dc.identifier.issn |
0042-0980 (print) |
|
dc.identifier.issn |
1360-063X (online) |
|
dc.identifier.other |
10.1177/0042098014555629 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/51320 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Sage |
en_ZA |
dc.rights |
© Urban Studies Journal Limited 2014 |
en_ZA |
dc.subject |
Euro area (EA) |
en_ZA |
dc.subject |
Fractional cointegration |
en_ZA |
dc.subject |
Housing prices |
en_ZA |
dc.subject |
Long memory |
en_ZA |
dc.subject |
Persistence |
en_ZA |
dc.title |
Comovement in Euro area housing prices : a fractional cointegration approach |
en_ZA |
dc.type |
Postprint Article |
en_ZA |