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House prices, non-fundamental components and interstate spillovers: The Australian experience

Costello, Greg ; Fraser, Patricia ; Groenewold, Nicolaas

Journal of banking & finance, 2011-03, Vol.35 (3), p.653-669 [Periódico revisado por pares]

Amsterdam: Elsevier B.V

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Título:
House prices, non-fundamental components and interstate spillovers: The Australian experience
Autor: Costello, Greg ; Fraser, Patricia ; Groenewold, Nicolaas
Assuntos: Australia ; Comparative analysis ; Expectations ; Federal states ; Geographic location ; House price fundamentals ; House prices ; House prices Present value model House price fundamentals House price-income ratio VAR ; House price–income ratio ; Housing prices ; Present value ; Present value model ; Property ; Real estate market ; Residential differentiation ; Studies ; Time series ; VAR/VEC modelling ; VEC modelling ; Vector-autoregressive models
É parte de: Journal of banking & finance, 2011-03, Vol.35 (3), p.653-669
Notas: ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
Descrição: Using Australian capital city data from 1984Q3--2008Q2, this paper utilizes a dynamic present value model within a VAR framework to construct time series of house prices depicting what aggregate house prices should be given expectations of future real disposable income – the “fundamental price” – and continues by comparing capital city fundamental prices with actual prices. The extent to which revealed capital city “non-fundamental” components spillover from state to state, as well as their long-term impact is also investigated. Results provide evidence of periods of sustained deviations of house prices from values warranted by income for all state capitals with the greatest deviations arising in the NSW market and starting around 2000. In general NSW is relatively more susceptible to spillovers transmitted from other states while ACT and WA are most isolated from the rest of the country.
Editor: Amsterdam: Elsevier B.V
Idioma: Inglês

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House prices, non-fundamental components and interstate spillovers: The Australian experience

Costello, Greg ; Fraser, Patricia ; Groenewold, Nicolaas

Amsterdam: Elsevier B.V

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