The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009

2012 ◽  
Author(s):  
Charles W. Calomiris ◽  
Stanley D. Longhofer ◽  
William Miles
Keyword(s):  
House Price ◽  
Var Model ◽  
Panel Var

The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009

2013 ◽  
Vol 41 (4) ◽  
pp. 709-746 ◽  
Author(s):  
Charles W. Calomiris ◽  
Stanley D. Longhofer ◽  
William R. Miles
Keyword(s):  
House Price ◽  
Var Model ◽  
Panel Var

scholarly journals THE EFFECT OF FOREIGN REAL ESTATE INVESTMENTS ON HOUSE PRICES: EVIDENCE FROM EMERGING ECONOMIES

2013 ◽  
Vol 17 (1) ◽  
pp. 32-43 ◽  
Author(s):  
Hassan Fereidouni Gholipour
Keyword(s):  
Real Estate ◽  
Emerging Economies ◽  
House Prices ◽  
House Price ◽  
Var Model ◽  
Panel Var ◽  
Real Estate Investment ◽  
Price Increases ◽  
Real Estate Investments ◽  
Using Data

In recent years, most emerging economies have experienced large foreign real estate investment (FREI) and an appreciation of house prices. The purpose of this study is to empirically investigate the effects of FREI on house prices by employing a panel VAR model. Using data from 21 emerging economies over the period 2000–2008, our empirical results show that FREI contributes to house price increases. Moreover, the results indicate that the dominant source of house price fluctuations in emerging economies come from the housing market itself.

Research on the Interactive Transmission Mechanism of House Price in China - Based on a Mixed VAR Model

2010 ◽  
Vol 108-111 ◽  
pp. 513-518
Author(s):  
Jin Qiu Xu
Keyword(s):  
Causal Relation ◽  
House Prices ◽  
Consumer Price Index ◽  
House Price ◽  
Transmission Mechanism ◽  
Var Model ◽  
Market Capitalization ◽  
The Real Estate ◽  
Real Estate Bubble ◽  
Labor Remuneration

In order to study the interactive relationships between house price with marc-economy in China and reveal the transmission mechanism, this paper specifies a six dimensional VAR model to identify the forces driving house prices fluctuations in China over the period 1999-2009. By employing quarterly time series for real house prices, gross domestic product, money, consumer price index, market capitalization of tradable shares and labor remuneration of persons employed in all units, the author found that: (1) there is a stable and significant relationship of mutual causality between house price with these three factors including GDP, M2, CPI. (2) house price is quickly responses to the growth or falling of market capitalization of tradable shares .in other words ,it is a single causal relationship between them (3) There is not a significant causal relation between house price with labor remuneration .It may appear surprising. Yet this phenomenon accurately reflects the real estate bubble today. This paper deeply study the transmission mechanism of house price.

scholarly journals Spillovers across House Price Convergence Clubs: Evidence from the Polish Housing Market

2020 ◽  
Vol 28 (2) ◽  
pp. 13-20
Author(s):  
Mateusz Tomal
Keyword(s):  
Housing Market ◽  
Impulse Response ◽  
House Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Price Convergence ◽  
Response Functions ◽  
Secondary Markets ◽  
Convergence Clubs

AbstractThe aim of this study is to assess whether significant spillovers exist among house price convergence clubs in the Polish housing market. This paper is a continuation of my previous research on house price convergence in Poland. In order to achieve the defined goal, VAR modelling was used. Based on the results of the VAR model, impulse response functions (IRFs) and the Spillover Index were calculated. The obtained results indicate that spillovers in the Polish housing market are strong. The relationships are observed both inside the primary and secondary markets and between them. In particular, a very powerful influence is exerted from a club of cities from the primary market, consisting of Cracow, Warsaw, Gdańsk, Poznań, Rzeszów and Wrocław, on the remaining identified house price convergence clubs.

scholarly journals Lessons for Euro markets from the first wave of COVID-19

2021 ◽  
Vol 18 (1) ◽  
pp. 285-298
Author(s):  
Costas Siriopoulos ◽  
Argyro Svingou ◽  
Jagadish Dandu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Decomposition Methods ◽  
Var Model ◽  
Stock Exchanges ◽  
Panel Var ◽  
Chinese Stock Market ◽  
European Stock Markets ◽  
The Impact

Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

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