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

Baumohl B., 2007, Secrets of Economic Indicators, The: Hidden Clues to Future Economic Trends and Investment Opportunities (3rd Edition), Pearson Prentice Hall.Search in Google Scholar

Bełej M., Cellmer R., 2014 The effect of macroeconomic factors on changes in real estate prices on unstable markets – response and interaction, Acta Scientiarum Polonorum. Seria: Oeconomia 13 (2), pp. 5-16.Search in Google Scholar

Bełej M., 2016, Ekonomia złożoności w badaniach rynków nieruchomości (Economics of complexity in real estate market research), Studia Ekonomiczne, 3, 462-482.Search in Google Scholar

Belniak S., 2001, Rozwój rynku nieruchomości w Polsce na tle krajów wysoko rozwiniętych (Development of the real estate market in Poland on the background of highly developed countries), Zeszyty Naukowe/Akademia Ekonomiczna w Krakowie. Seria Specjalna, Monografie (148).Search in Google Scholar

Bryx M., 2006, Rynek nieruchomości - system i funkcjonowanie (Real estate market - system and functioning, Poltext, Warszawa.Search in Google Scholar

Brzezicka J., Wiśniewski R., Figurska M., 2018, Disequilibrium in the real estate market: Evidence from Poland. Land use policy, 78, 515-531.10.1016/j.landusepol.2018.06.013Search in Google Scholar

Canova F., 1999, Vector Autoregressive Models: Specification, estimation, inference and Forecasting, (in) Pesaran M. H., Wickens M. (eds.), Handbook of Applied Econometrics, Volume 1: Macroeconomics, Blackwell Publishing, Oxford.Search in Google Scholar

Charemza W. W., Deadman D. A., 1992, New Directions in Econometric Practise, Edward Elgar, Hants.Search in Google Scholar

Chen M. C., Patel K., 1998, House price dynamics and Granger causality: an analysis of Taipei new dwelling market, Journal of the Asian Real Estate Society, 1(1), 101-126.Search in Google Scholar

Chen N. K., 2001, Asset price fluctuations in Taiwan: evidence from stock and real estate prices 1973 to 1992, Journal of Asian Economics, 12(2), 215-232.10.1016/S1049-0078(01)00083-5Search in Google Scholar

Clayton J., Miller N., Peng L., 2010, Price-volume correlation in the housing market: causality and co-movements, The Journal of Real Estate Finance and Economics, 40(1), 14-40.10.1007/s11146-008-9128-0Search in Google Scholar

Davis M. A., Heathcote J., 2005, Housing and the business cycle, International Economic Review, 46(3), 751-784,10.1111/j.1468-2354.2005.00345.xSearch in Google Scholar

Dickey D. A., Fuller W. A., 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, vol 49, pp. 1057-1072.10.2307/1912517Search in Google Scholar

Ding H., Chong T. T. L., Park S. Y., 2014, Nonlinear dependence between stock and real estate markets in China, Economics Letters, 124(3), 526-529.10.1016/j.econlet.2014.05.035Search in Google Scholar

Drachal K., 2018, Causality in the Polish Housing Market: Evidence from Biggest Cities, Financial Assets and Investing, 9 (1), 5-20.10.5817/FAI2018-1-1Search in Google Scholar

Enders W., 1995, Applied Econometric Time Series, John Wiley&Sons, New YorkSearch in Google Scholar

Eng O.S., 1994, Structural and Vector Autoregressive Approaches to Modelling Real Estate and Property Stock Prices in Singapore, Journal of Property Finance, Vol. 5 Issue: 4, pp.4-18, https://doi.org/10.1108/09588689410080257.10.1108/09588689410080257Open DOISearch in Google Scholar

Engle R. F., Granger C. W. J., 1987, Co-integration and Error Correction, Econometrica, 55, 251-276.10.2307/1913236Search in Google Scholar

Fisher J.D.M., Gervais M., 2007, First-time homebuyers and residential investment volatility, Working Paper, No. 2007-15, Federal Reserve Bank of Chicago, Chicago, IL.10.2139/ssrn.1083724Search in Google Scholar

Foryś I., 2011, Społeczno-gospodarcze determinanty rozwoju rynku mieszkaniowego w Polsce (Socio-economic determinants of the development of the housing market in Poland), Wydawnictwo Naukowe Uniwersytetu Szczecińskiego, Szczecin.Search in Google Scholar

Granger C.W.J., 1969, Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica. 37 (3): 424–438. doi:10.2307/1912791.10.2307/1912791Open DOISearch in Google Scholar

Granger C.W.J., Newbold P., 1974, Spurious Regression in Econometrics, Journal of Econometrics, 2, 111-120.10.1016/0304-4076(74)90034-7Search in Google Scholar

Guo F., Huang Y. S., 2010, Does “hot money” drive China’s real estate and stock markets? International Review of Economics & Finance, 19(3), 452-466.10.1016/j.iref.2009.10.014Search in Google Scholar

Harvey A.C., Collier P., 1997, Testing for Functional Misspecification in Regression Analysis, Journal of Econometrics, 6, 103–119.10.1016/0304-4076(77)90057-4Search in Google Scholar

Janiga-Ćmiel A., 2013, Analiza zależności przyczynowych rozwoju gospodarczego Polski i wybranych państw Unii Europejskiej (Analysis of causal dependencies of economic development in Poland and selected countries of the European Union), Studia Ekonomiczne, (159), 51-72.Search in Google Scholar

Jinjarak Y., Sheffrin S. M., 2011, Causality, real estate prices, and the current account, Journal of Macroeconomics, 33(2), 233-246.10.1016/j.jmacro.2010.11.001Search in Google Scholar

Kałkowski L. (ed.), 2003, Rynek nieruchomości w Polsce (Real estate market in Poland), Twigger, Warszawa.Search in Google Scholar

Kilian L., Lütkepohl H., 2017, Structural Vector Autoregressive Analysis (Themes in Modern Econometrics), Cambridge Univeristy Press10.1017/9781108164818Search in Google Scholar

Kucharska-Stasiak E., 2016, Ekonomiczny wymiar nieruchomości (The economic dimension of real estate), PWN, Warszawa.Search in Google Scholar

Kuethe T. H., Pede V. O., 2011, Regional housing price cycles: a spatio-temporal analysis using US state-level data, Regional studies, 45(5), 563-574.10.1080/00343400903497897Search in Google Scholar

Leamer E., 2007, Housing is the business cycle, The National Bureau of Economic Research, Working Paper No. 1342810.3386/w13428Search in Google Scholar

Lis P., 2012, Wahania cykliczne rynków mieszkaniowych. Aspekty teoretyczne i praktyczne (Cyclical fluctuations of housing markets. Theoretical and practical aspects), Wydawnictwo Adam Marszałek, Toruń.Search in Google Scholar

Liu Z., Miao J., Zha T., 2016, Land prices and unemployment, Journal of Monetary Economics, vol. 80, pp. 86-105, https://doi.org/10.1016/j.jmoneco.2016.05.00110.1016/j.jmoneco.2016.05.001Open DOISearch in Google Scholar

Lu C., So R.W., 2005, Return relationships between listed banks and real estate firms: evidence from seven Asian economies. Journal of Real Estate Finance and Economics 31 (2), pp. 189–206.10.1007/s11146-005-1371-zSearch in Google Scholar

Nowak K., 2014, Ceny mieszkań a wynagrodzenie i bezrobocie - analiza z wykorzystaniem modeli wektorowoautoregresyjnych na przykładzie Krakowa (Housing prices vs. wages and unemployment - analysis using vector-autoregressive models on the example of Krakow), Problemy Rozwoju Miast, (4), 20-33.Search in Google Scholar

Ooms M., 1994, Empirical vector autoregressive modeling, Springer-Verlag, Berlin10.1007/978-3-642-48792-7Search in Google Scholar

Ott E., 1997, Chaos w układach dynamicznych (Chaos in dynamic systems), Wydawnictwo Naukowo-Techniczne, WarszawaSearch in Google Scholar

Sims C. A., 1980, Macroeconomics and Reality, Econometrica, 48, pp. 1-4810.2307/1912017Search in Google Scholar

Trojanek R., 2008, Wahania cen na rynku mieszkaniowym (Price fluctuations in the housing market), Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznań.Search in Google Scholar

Urbanovský T., 2017, Granger Causalities Between Interest Rate, Price Level, Money Supply and Real GDP in the Czech Republic, Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 65(2), 745-757.10.11118/actaun201765020745Search in Google Scholar