House prices, non-fundamental components and interstate spillovers: The Australian experience
House prices, non-fundamental components and interstate spillovers: The Australian experience
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DOI：
10.1016/j.jbankfin.2010.07.035
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发表时间：
2011-03-01
影响因子：
3.7
通讯作者：
Groenewold, Nicolaas
中科院分区：
文献类型：
--
作者：
Costello, Greg;Fraser, Patricia;Groenewold, Nicolaas
使用澳大利亚首都城市的数据从1984年第三季度至2008年第二季度，本文利用VAR框架内的动态现值模型来构建时间序列的房价描绘什么样的总房价应给予预期的未来真实的可支配收入-“基本价格”-并继续通过比较首都城市的基本价格与实际价格。在何种程度上揭示了首都城市的“非基本面”组件溢出从国家到国家，以及他们的长期影响也进行了调查。结果提供证据的持续偏离房价的价值保证的收入为所有州首府的最大偏差产生在新南威尔士州市场，并开始在2000年左右的时期。一般来说，新南威尔士州相对更容易受到来自其他州的溢出效应的影响，而ACT和WA则与该国其他地区最隔离。(C)2010爱思唯尔有限公司版权所有。
Using Australian capital city data from 1984Q3-2008Q2, this paper utilizes a dynamic present value model within a VAR framework to construct time series of house prices depicting what aggregate house prices should be given expectations of future real disposable income - the "fundamental price" - and continues by comparing capital city fundamental prices with actual prices. The extent to which revealed capital city "non-fundamental" components spillover from state to state, as well as their long-term impact is also investigated. Results provide evidence of periods of sustained deviations of house prices from values warranted by income for all state capitals with the greatest deviations arising in the NSW market and starting around 2000. In general NSW is relatively more susceptible to spillovers transmitted from other states while ACT and WA are most isolated from the rest of the country. (C) 2010 Elsevier B.V. All rights reserved.