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Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach

Author

Listed:
  • 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.

Suggested Citation

  • Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach," Working Papers 201359, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201359
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    Cited by:

    1. Cuestas, Juan Carlos, 2017. "House prices and capital inflows in Spain during the boom: Evidence from a cointegrated VAR and a structural Bayesian VAR," Journal of Housing Economics, Elsevier, vol. 37(C), pages 22-28.
    2. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Floros, Christos, 2015. "Dynamic Connectedness of UK Regional Property Prices," MPRA Paper 68421, University Library of Munich, Germany.
    3. Krzysztof Olszewski & Robert Leszczyński, 2013. "Panel analysis of home prices in the primary and secondary market in 17 largest cities in Poland," Chapters from NBP Conference Publications, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski (ed.),Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013, chapter 12, pages 39-71, Narodowy Bank Polski, Economic Research Department.
    4. Tsai, I-Chun, 2018. "House price convergence in euro zone and non-euro zone countries," Economic Systems, Elsevier, vol. 42(2), pages 269-281.
    5. Jin Hu & Xuelei Xiong & Yuanyuan Cai & Feng Yuan, 2020. "The Ripple Effect and Spatiotemporal Dynamics of Intra-Urban Housing Prices at the Submarket Level in Shanghai, China," Sustainability, MDPI, Open Access Journal, vol. 12(12), pages 1-17, June.
    6. Juan Carlos Cuestas, 2019. "Co-movement between residential and commercial housing prices: Evidence from a new database," Working Papers 2019/11, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. Hernán Enríquez Sierra & Jacobo Campo Robledo & Antonio Avendaño Arosemena, 2015. "Relaciones regionales en los precios de vivienda nueva en Colombia," Revista Ecos de Economía, Universidad EAFIT, vol. 19(40), pages 25-47, June.

    More about this item

    Keywords

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

    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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