Housing networks and driving forces

Stan Hurn; Shuping Shi; Ben Wang

doi:10.1016/j.jbankfin.2021.106318

Housing networks and driving forces

Stan Hurn, Shuping Shi^*, Ben Wang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

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Abstract

This paper investigates patterns in housing market networks using Australian and Chinese data and a novel econometric approach based on pairwise time-varying Granger causality tests. The focus is on four fundamental questions. (1) Have housing markets become increasingly connected over time? (2) Does housing market connectivity increase or decrease with house prices? (3) Are socio-economic and geographic proximity important for housing market connections? (4) Do economic fundamentals or sentiment drive connectivity? The results reveal interesting differences in these markets and suggest that one size is not likely to fit all in terms of housing market policy.

Original language	English
Article number	106318
Pages (from-to)	1-17
Number of pages	17
Journal	Journal of Banking and Finance
Volume	134
DOIs	https://doi.org/10.1016/j.jbankfin.2021.106318
Publication status	Published - Jan 2022

Bibliographical note

Copyright © 2021 The Author(s). Published by Elsevier B.V. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

Housing network
Granger causality
Connectivity
Fundamentals
Sentiment

Access to Document

10.1016/j.jbankfin.2021.106318Licence: CC BY-NC-ND

Publisher version (open access)Final published version, 6.98 MBLicence: CC BY-NC-ND

Cite this

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N2 - This paper investigates patterns in housing market networks using Australian and Chinese data and a novel econometric approach based on pairwise time-varying Granger causality tests. The focus is on four fundamental questions. (1) Have housing markets become increasingly connected over time? (2) Does housing market connectivity increase or decrease with house prices? (3) Are socio-economic and geographic proximity important for housing market connections? (4) Do economic fundamentals or sentiment drive connectivity? The results reveal interesting differences in these markets and suggest that one size is not likely to fit all in terms of housing market policy.

AB - This paper investigates patterns in housing market networks using Australian and Chinese data and a novel econometric approach based on pairwise time-varying Granger causality tests. The focus is on four fundamental questions. (1) Have housing markets become increasingly connected over time? (2) Does housing market connectivity increase or decrease with house prices? (3) Are socio-economic and geographic proximity important for housing market connections? (4) Do economic fundamentals or sentiment drive connectivity? The results reveal interesting differences in these markets and suggest that one size is not likely to fit all in terms of housing market policy.

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KW - Sentiment

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Housing networks and driving forces

Abstract

Bibliographical note

Keywords

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