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Do the global stochastic trends drive the real house prices in OECD countries?

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  • Karaman Örsal, Deniz Dilan

Abstract

This paper demonstrates that in the long-run the main determinants of the real housing prices for a panel dataset comprising the quarterly observations of 12 OECD countries are the real GDP per capita and the real interest rate along with the global stochastic trends.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 123 (2014)
Issue (Month): 1 ()
Pages: 9-13

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Handle: RePEc:eee:ecolet:v:123:y:2014:i:1:p:9-13

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Panel cointegration; Global stochastic trends; Common factors; Rank test; Cross-sectional dependence;

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References

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  1. Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
  2. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University.
  3. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  4. Antonia Arsova & Deniz Dilan Karaman Oersal, 2013. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Working Paper Series in Economics 280, University of Lüneburg, Institute of Economics.
  5. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics.
  6. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft.
  7. Pesaran, M. H., 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics 1208, Faculty of Economics, University of Cambridge.
  8. Balazs Egert & Dubravko Mihaljek, 2008. "Determinants of House Prices in Central and Eastern Europe," Working Papers 2008/1, Czech National Bank, Research Department.
  9. Englund, Peter & Ioannides, Yannis M., 1997. "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics, Elsevier, vol. 6(2), pages 119-136, June.
  10. Konstantin A. Kholodilin & Jan-Oliver Menz & Boriss Siliverstovs, 2007. "What Drives Housing Prices Down?: Evidence from an International Panel," Discussion Papers of DIW Berlin 758, DIW Berlin, German Institute for Economic Research.
  11. M. Hashem Pesaran, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," CESifo Working Paper Series 1229, CESifo Group Munich.
  12. Heitor Almeida & Murillo Campello & Crocker Liu, 2006. "The Financial Accelerator: Evidence from International Housing Markets," Review of Finance, European Finance Association, vol. 10(3), pages 321-352, September.
  13. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
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