Changing integration of EMU public property markets

Nafeesa Yunus and Peggy E. Swanson

Journal of International Financial Markets, Institutions and Money, 2012, vol. 22, issue 1, 194-208

Abstract: This paper examines the impact of the European Monetary Union (EMU) on European public property market integration. Results indicate that the property markets are long-run independent and show little evidence of short-run relationships prior to the formation of the EMU. However, the degree of interdependence and the extent of convergence among the largest property markets have intensified substantially after the launch of the Euro as the common currency in January, 1999. Moreover, each of the property markets under consideration is endogenous in that none is found to “dominate” the others toward long-run equilibrium. Short-run results indicate substantial interrelationships among the markets after the adoption of the Euro. Finally, the study shows that stock markets, bond markets, and public property markets follow similar convergence patterns.

Keywords: Public property markets; European Monetary Union; Convergence; Recursive cointegration analysis; Granger causality (search for similar items in EconPapers)
JEL-codes: C5 E44 F33 F36 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:22:y:2012:i:1:p:194-208

DOI: 10.1016/j.intfin.2011.09.001

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