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Granger Causality Among House Price and Macroeconomic Variables in Victoria

Author/s: Zhenqiang Luo, Chunlu Liu, David Picken

Date Published: 1/01/2007

Published in: Volume 13 - 2007 Issue 2 (pages 234 - 256)

Abstract

This study analyses the dynamic causality of four macroeconomic variables on house prices. The four macroeconomic variables have interrelationships with house prices in certain lagged terms, but these relationships are not always the same as the notions put forward in prior research. The relationships are detected to be unstable in the three observation periods. The instability of these relationships would cause difficulty in predicting house prices in the market, especially for policy makers and market participants.

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Keywords

Cointegration - Ector Error Correction - Granger Causality - House Price Index - Unit Root

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