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Causality analysis of the Canadian city house price indices: A cross-sample validation approach

Eleni Kyriazakou and Theodore Panagiotidis ()

The Journal of Economic Asymmetries, 2017, vol. 16, issue C, 42-52

Abstract: We examine pair-wise causality between 11 Canadian city house price indices. Monthly data that span from 1990:7 to 2015:9 are employed. The traditional Granger-causality framework is relaxed by following the cross-sample validation approach of Ashley and Tsang (2014). This allows us to overcome the ad hoc partition of the sample and examine predictability both “in” and “out-of-sample”. Toronto emerges as the driving force of the Canadian Housing Market.

Keywords: House prices; Regions; Granger-causality; Post-sample testing; Cross-sample validation (CSV) (search for similar items in EconPapers)
JEL-codes: R11 R31 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:joecas:v:16:y:2017:i:c:p:42-52