Showing 1 - 10 of 134
This paper examines the causal relationships between the real house price index and real GDP per capita in the U.S., using the bootstrap Granger (temporal) non-causality test and a fixed-size rolling-window estimation approach. We use quarterly time-series data on the real house price index and...
Persistent link: https://www.econbiz.de/10013007411
spending stays unchanged). Using South African quarterly data from 1966:Q1 to 2011:Q2, we show that a deficit spending shock … shock, house prices increase persistently while stock prices increase quickly, but only temporarily. A balanced budget shock …
Persistent link: https://www.econbiz.de/10013036495
considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques …
Persistent link: https://www.econbiz.de/10005518862
considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques …
Persistent link: https://www.econbiz.de/10005800313
This paper investigates the dynamic connectedness of random shocks to housing prices between the 50 U.S. states and the District of Columbia. The paper implements a standard vector autoregressive (VAR) model as well as three VAR models with shrinkage effects - Elastic Net, Lasso, and Ridge VAR...
Persistent link: https://www.econbiz.de/10012827245
areas (MSAs). First, we perform cointegration tests of the house price indexes for the MSAs, finding seven cointegrating …
Persistent link: https://www.econbiz.de/10005187655
This paper employs unit-root tests that allow for two endogenous breaks as suggested by Lumdaine and Papell (1997) and Lee and Strazicich (2003) to investigate the returns on the S&P/Case-Shiller Home Price Indices. The tests that assume structural stability provide no evidence against the...
Persistent link: https://www.econbiz.de/10008862977
This paper addresses two issues. First, we employ unit-root tests that allow for two endogenous breaks as suggested by Lumdaine and Papell (1997) and, more recently, Lee and Strazicich (2003) to investigate the integration properties of the returns on the S&P/Case-Shiller Home Price Indices. The...
Persistent link: https://www.econbiz.de/10008596566
considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques …
Persistent link: https://www.econbiz.de/10012757982
This paper employs linear and nonlinear unit-root tests to investigate: a) the price dynamics of the home price indices included in the S&P/Case-Shiller Composite10 index, and b) the validity of the “ripple effect,” following the approach outlined in Meen (1999). In general, the findings...
Persistent link: https://www.econbiz.de/10013095148