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Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach

Author Info

  • Christophe Andre

    ()

    (Economics Department, Organisation for Economic Co-operation and Development (OECD))

  • Luis A. Gil-Alana

    ()

    (University of Navarra, Faculty of Economics, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain)

  • Rangan Gupta

    ()

    (Department of Economics, University of Pretoria)

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 series 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 data for the euro area are cointegrated with Belgium, Germany and France, and the first two countries seem to be cointegrated with the majority of other countries in pairwise comparisons. 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.

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Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number 201359.

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Length: 32 pages
Date of creation: Sep 2013
Date of revision:
Handle: RePEc:pre:wpaper:201359
Contact details of provider: Postal: PRETORIA, 0002
Phone: (+2712) 420 2413
Fax: (+2712) 362-5207
Web page: http://www.up.ac.za/economics

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Keywords: prices; euro area; Fractional cointegration; Persistence; Long memory;

Find related papers by JEL classification:

  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other

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Cited by:

  1. Leszczyński, Robert & Olszewski, Krzysztof, 2014. "Panel analysis of home prices in the primary and secondary market in 17 largest cities in Poland," MPRA Paper 59017, University Library of Munich, Germany.

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