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Multi-scale causality and extreme tail inter-dependence among housing prices
Pusan Natl Univ, South Korea.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.ORCID iD: 0000-0002-1798-8284
Pusan Natl Univ, South Korea.
2018 (English)In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 70, p. 301-309Article in journal (Refereed) Published
Abstract [en]

This study explores multi-scale causality and extreme tail dependence structures among housing prices in four cities: Seoul, Hong Kong, Tokyo, and New York. We apply two different and unique approaches in our analysis of monthly housing price data: (i) the frequency domain Granger casualty test and (ii) the non-parametric copula test. Employing the frequency domain casualty test, we find both bi-directional and uni-directional causalities at different frequency bands. Additionally, the nonlinear copula estimates indicate asymmetric tail dependence for housing price pairs in all four cities. Finally, the Hong Kong housing market has a greater effect on the Seoul and Tokyo housing markets than does the New York housing market.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2018. Vol. 70, p. 301-309
Keywords [en]
Housing prices; Inter-dependence; Multi-scale causality; Non-parametric copula test; Tail distribution
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-147567DOI: 10.1016/j.econmod.2017.11.014ISI: 000429891200026OAI: oai:DiVA.org:liu-147567DiVA, id: diva2:1201955
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation; National Research Foundation of Korea Grant - Korean Government [NRF-2016S1A3A2924349]

Available from: 2018-04-27 Created: 2018-04-27 Last updated: 2018-04-27

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf