Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach
Christophe André (),
Luis Gil-Alana () and
Rangan Gupta ()
No 201359, Working Papers from University of Pretoria, Department of Economics
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 series 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 data for the euro area are cointegrated with Belgium, Germany and France, and the first two countries seem to be cointegrated with the majority of other countries in pairwise comparisons. 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: prices; euro area; Fractional cointegration; Persistence; Long memory (search for similar items in EconPapers)
JEL-codes: C22 E39 (search for similar items in EconPapers)
Pages: 32 pages
New Economics Papers: this item is included in nep-eec and nep-ure
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Journal Article: Comovement in Euro area housing prices: A fractional cointegration approach (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201359
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