Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Cellmer Radosław (), Bełej Mirosław () and Cichulska Aneta ()
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Cellmer Radosław: Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn
Bełej Mirosław: Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn
Cichulska Aneta: Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn

Real Estate Management and Valuation, 2019, vol. 27, issue 4, 85-95

Abstract: The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years.

Keywords: real estate market; VAR; causality (search for similar items in EconPapers)
JEL-codes: C10 E31 E37 R32 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:remava:v:27:y:2019:i:4:p:85-95:n:8

DOI: 10.2478/remav-2019-0038

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