<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years.</p></abstract>

The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years.

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Institute of Geospatial Engineering and Real Estate

University of Warmia and Mazury in Olsztyn

Real Estate Management and Valuation

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the...

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Published Online: Dec 16, 2019

Page range: 85 - 95

DOI: https://doi.org/10.2478/remav-2019-0038

Keywords
real estate market, VAR, causality

© 2019 Radosław Cellmer et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Published Online: Dec 16, 2019

Page range: 85 - 95

DOI: https://doi.org/10.2478/remav-2019-0038

Keywordsreal estate market, VAR, causality

© 2019 Radosław Cellmer et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
real estate market, VAR, causality