Comovement in Euro area housing prices : a fractional cointegration approach

Show simple item record Gupta, Rangan Andre, Christophe Gil-Alana, Luis A. 2016-02-10T11:30:02Z 2016-02-10T11:30:02Z 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 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.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

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