Measuring the Cointegration of housing types in Northern Ireland.

Research output: Contribution to journalArticle

Abstract

The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead-lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.
LanguageEnglish
JournalJournal of Property Research
DOIs
Publication statusPublished - 11 Nov 2019

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type of housing
Granger causality test
apartment
causality
error correction
housing market
measuring
price
pricing
liquid
market
performance

Keywords

  • Cointegration
  • Error correction model
  • Causality
  • error correction model
  • cointegration
  • housing markets
  • Price diffusion
  • causality

Cite this

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title = "Measuring the Cointegration of housing types in Northern Ireland.",
abstract = "The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead-lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.",
keywords = "Cointegration, Error correction model, Causality, error correction model, cointegration, housing markets, Price diffusion, causality",
author = "Michael McCord and Daniel Lo and J McCord and Peadar Davis and Martin Haran",
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journal = "Journal of Property Research",
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AU - Lo, Daniel

AU - McCord, J

AU - Davis, Peadar

AU - Haran, Martin

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N2 - The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead-lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.

AB - The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead-lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.

KW - Cointegration

KW - Error correction model

KW - Causality

KW - error correction model

KW - cointegration

KW - housing markets

KW - Price diffusion

KW - causality

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