Housing networks and driving forces

Stan Hurn, Shuping Shi*, Ben Wang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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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 languageEnglish
Article number106318
Pages (from-to)1-17
Number of pages17
JournalJournal of Banking and Finance
Volume134
DOIs
Publication statusPublished - 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

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