New Kid on the Block?: Measuring the Cointegration of house prices in the Northern Ireland Housing Market.
||McCord, Michael; Peadar Davis, John McCord, Martin Haran
||New Kid on the Block?: Measuring the Cointegration of house prices in the Northern Ireland Housing Market.
||21st Annual European Real Estate Society Conference in Bucharest, Romania
||This paper investigates the endogenous relationships and characteristics of price data operating between and within the housing sectors comprising the Northern Irish housing market in order to examine the dynamic linkages and causal relationships between six key property types. The paper employs the Johansen cointegration technique, Granger causality testing in conjunction with a Vector Error Correction Model and generalized impulse response and variance decomposition analysis to unearth the extent and resulting magnitude of the relationships across property type. The estimated long-run relationship between house prices appear to have remained cointegrated throughout the sample period, with the exception of the apartment property type. The empirical results show causal relationships between house prices at particular pricing structures, however limited causalities at different ends of the price spectrum – illustrating a clear filtration effect within the NI housing market. Indeed, characterizing the price series patterns enables a dynamic specification of the pricing structure and supports a foundation for a pricing/forecasting model going forward in future research.
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||D : Housing Markets & Economics
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