Comovement in Euro area housing prices : a fractional cointegration approach

dc.contributor.authorGupta, Rangan
dc.contributor.authorAndre, Christophe
dc.contributor.authorGil-Alana, Luis A.
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2016-02-10T11:30:02Z
dc.date.available2016-02-10T11:30:02Z
dc.date.issued2015-12
dc.description.abstractThis 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.librarianhb2015en_ZA
dc.description.urihttp://usj.sagepub.comen_ZA
dc.identifier.citationGupta, 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.issn0042-0980 (print)
dc.identifier.issn1360-063X (online)
dc.identifier.other10.1177/0042098014555629
dc.identifier.urihttp://hdl.handle.net/2263/51320
dc.language.isoenen_ZA
dc.publisherSageen_ZA
dc.rights© Urban Studies Journal Limited 2014en_ZA
dc.subjectEuro area (EA)en_ZA
dc.subjectFractional cointegrationen_ZA
dc.subjectHousing pricesen_ZA
dc.subjectLong memoryen_ZA
dc.subjectPersistenceen_ZA
dc.titleComovement in Euro area housing prices : a fractional cointegration approachen_ZA
dc.typePostprint Articleen_ZA

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