What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration

Constantinos Katrakilidis and Emmanouil Trachanas

Economic Modelling, 2012, vol. 29, issue 4, 1064-1069

Abstract: In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long- and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.

Keywords: Asymmetric cointegration; Nonlinear ARDL (NARDL); Asymmetric dynamic multipliers; House prices (search for similar items in EconPapers)
JEL-codes: C13 C22 R31 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (113)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:4:p:1064-1069

DOI: 10.1016/j.econmod.2012.03.029

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