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Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities

O'Neill, Terence; Penm, Jack HW; Terrell, Richard

Description

Housing activity is an important indicator of general economic activity, and house price movements are an important variable in international financial markets. In this chapter we utilise vector autoregressive models to examine how the interrelationship between housing activity and general economic activity has evolved in four OECD countries. Our results provide support for the hypothesis that the relationship between housing activity and general economic activity has changed in many OECD...[Show more]

dc.contributor.authorO'Neill, Terence
dc.contributor.authorPenm, Jack HW
dc.contributor.authorTerrell, Richard
dc.date.accessioned2015-12-08T22:29:32Z
dc.identifier.issn0196-3821
dc.identifier.urihttp://hdl.handle.net/1885/34133
dc.description.abstractHousing activity is an important indicator of general economic activity, and house price movements are an important variable in international financial markets. In this chapter we utilise vector autoregressive models to examine how the interrelationship between housing activity and general economic activity has evolved in four OECD countries. Our results provide support for the hypothesis that the relationship between housing activity and general economic activity has changed in many OECD countries. For Australia, however, no such evidence was found. These results suggest that caution needs to be exercised when using previous experience to forecast both housing cycles and general economic activity.
dc.publisherElsevier
dc.sourceResearch in Finance
dc.titleNon-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume25
dc.date.issued2009
local.identifier.absfor010401 - Applied Statistics
local.identifier.ariespublicationu8902633xPUB109
local.type.statusPublished Version
local.contributor.affiliationO'Neill, Terence, College of Business and Economics, ANU
local.contributor.affiliationPenm, Jack HW, College of Business and Economics, ANU
local.contributor.affiliationTerrell, Richard, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue6 - 24
local.bibliographicCitation.startpage159
local.bibliographicCitation.lastpage175
dc.date.updated2015-12-08T09:22:42Z
local.identifier.scopusID2-s2.0-84857427924
CollectionsANU Research Publications

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