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House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand

Author

Listed:
  • Song Shi

    () (Massey University)

  • Martin Young

    () (Massey University)

  • Bob Hargreaves

    () (Massey University)

Abstract

Using a selected New Zealand urban area data set for the period 1994–2004, we examine price and volume dynamics using various house price indexing approaches. Applying the Granger causality test based on a vector error correction model (VECM), where seasonality is considered in the model by using seasonal dummy variables, we find that sale price and trading volume are cointegrated. Causality is caused by a long-run relationship rather than short-run dynamics between price and volume. The direction of causality for large cities is from volume to price. The results support the theory of frictional search models for housing markets in general.

Suggested Citation

  • Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.
  • Handle: RePEc:jre:issued:v:32:n:1:2010:p:75-100
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    References listed on IDEAS

    as
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    Cited by:

    1. Gao Lu Zou & Kwong Wing Chau, 2015. "Determinants and Sustainability of House Prices: The Case of Shanghai, China," Sustainability, MDPI, Open Access Journal, vol. 7(4), pages 1-25, April.
    2. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
    3. Chien-Wen Peng & I-Chun Tsai & Wey-Wen Wu, 2011. "Price and Volume Relationship under Housing Presale System," ERES eres2011_106, European Real Estate Society (ERES).
    4. Ryan Greenaway-McGrevy & Arthur Grimes & Mark Holmes, 2016. "Two countries, sixteen cities, five thousand kilometres: How many housing markets?," ERSA conference papers ersa16p49, European Regional Science Association.
    5. Florent Buisson, 2016. "Prospect Theory and Loss Aversion in the Housing Market," Journal of Real Estate Research, American Real Estate Society, vol. 38(2), pages 229-250.

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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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