Can Investors Hedge Residential Price Dynamics of Australia¡¦s Capital Cities?

Le Ma () and Chunlu Liu ()
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Le Ma: Deakin University
Chunlu Liu: Deakin University

International Real Estate Review, 2010, vol. 13, issue 1, 30-45

Abstract: The study described in this paper focuses on testing the short-run and long-run relationships between house price and consumer price indices in Australia¡¦s capital cities from 1998 to 2008. The autoregressive distributed lag model is adopted to obtain the estimates of the short-run relationships, while the error correction model is used to investigate the long-run relationships. The t-statistic is used to compute the significance of these relationships. The research results give no evidence that house price indices are correlated with consumer price indices in the short run. However, the long-run relationships between house and consumer price indices exist in most of the cities.

Keywords: House price indices; Consumer price indices; Autoregressive distributed lag model; Error correction model (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2010
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