EconPapers    
Economics at your fingertips  
 

Comovement in Euro area housing prices: A fractional cointegration approach

Rangan Gupta (), Christophe André and Luis Gil-Alana ()
Additional contact information
Christophe André: Organisation for Economic Co-operation and Development

Authors registered in the RePEc Author Service: Christophe André ()

Urban Studies, 2015, vol. 52, issue 16, 3123-3143

Abstract: This paper analyses comovement in housing prices across the Euro area. We use techniques based on the concepts of fractional integration and cointegration. Our results indicate that all the individual log-real price indices display orders of integration which are above one, implying long memory in their corresponding growth rates. Further, looking at the cointegration relationships, we observe that the series for the Euro area is cointegrated with those of Belgium, Germany and France. Focusing on the individual countries, we find cointegration relationships between Belgium and Spain, Belgium and the Netherlands, Germany and Spain, Germany and Ireland, France and Spain, and Ireland and the Netherlands. Other bilateral cointegration relationships can either clearly be rejected or the results are ambiguous. Finally, prices in Germany seem to move in the opposite direction from other countries, which may be related to capital flows associated with current account imbalances.

Keywords: Euro area; fractional cointegration; housing prices; long memory; persistence (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://usj.sagepub.com/content/52/16/3123.abstract (text/html)

Related works:
Working Paper: Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:urbstu:v:52:y:2015:i:16:p:3123-3143

Access Statistics for this article

More articles in Urban Studies from Urban Studies Journal Limited
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2021-02-05
Handle: RePEc:sae:urbstu:v:52:y:2015:i:16:p:3123-3143