House prices, non-fundamental components and interstate spillovers: the Australian experience
Using Australian capital city data from 1984Q3–2008Q2, this paper utilizes a dynamic present valuemodel within a VAR framework to construct time series of house prices depicting what aggregate houseprices should be given expectations of future real disposable income – the ‘‘fundamental price” – andc...
| Main Authors: | , , |
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| Format: | Journal Article |
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Elsevier BV, North Holland
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/20472 |
| _version_ | 1848750314219372544 |
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| author | Costello, Gregory Fraser, Patricia Groenewold, N. |
| author_facet | Costello, Gregory Fraser, Patricia Groenewold, N. |
| author_sort | Costello, Gregory |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Using Australian capital city data from 1984Q3–2008Q2, this paper utilizes a dynamic present valuemodel within a VAR framework to construct time series of house prices depicting what aggregate houseprices should be given expectations of future real disposable income – the ‘‘fundamental price” – andcontinues by comparing capital city fundamental prices with actual prices. The extent to which revealedcapital city ‘‘non-fundamental” components spillover from state to state, as well as their long-termimpact is also investigated. Results provide evidence of periods of sustained deviations of house pricesfrom values warranted by income for all state capitals with the greatest deviations arising in the NSWmarket and starting around 2000. In general NSW is relatively more susceptible to spillovers transmittedfrom other states while ACT and WA are most isolated from the rest of the country. |
| first_indexed | 2025-11-14T07:34:52Z |
| format | Journal Article |
| id | curtin-20.500.11937-20472 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:34:52Z |
| publishDate | 2011 |
| publisher | Elsevier BV, North Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-204722017-02-28T01:35:41Z House prices, non-fundamental components and interstate spillovers: the Australian experience Costello, Gregory Fraser, Patricia Groenewold, N. House-Price Income Ratio VAR/VEC Modelling House Prices House Price Fundamentals Present Value Model Using Australian capital city data from 1984Q3–2008Q2, this paper utilizes a dynamic present valuemodel within a VAR framework to construct time series of house prices depicting what aggregate houseprices should be given expectations of future real disposable income – the ‘‘fundamental price” – andcontinues by comparing capital city fundamental prices with actual prices. The extent to which revealedcapital city ‘‘non-fundamental” components spillover from state to state, as well as their long-termimpact is also investigated. Results provide evidence of periods of sustained deviations of house pricesfrom values warranted by income for all state capitals with the greatest deviations arising in the NSWmarket and starting around 2000. In general NSW is relatively more susceptible to spillovers transmittedfrom other states while ACT and WA are most isolated from the rest of the country. 2011 Journal Article http://hdl.handle.net/20.500.11937/20472 Elsevier BV, North Holland restricted |
| spellingShingle | House-Price Income Ratio VAR/VEC Modelling House Prices House Price Fundamentals Present Value Model Costello, Gregory Fraser, Patricia Groenewold, N. House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title | House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title_full | House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title_fullStr | House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title_full_unstemmed | House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title_short | House prices, non-fundamental components and interstate spillovers: the Australian experience |
| title_sort | house prices, non-fundamental components and interstate spillovers: the australian experience |
| topic | House-Price Income Ratio VAR/VEC Modelling House Prices House Price Fundamentals Present Value Model |
| url | http://hdl.handle.net/20.500.11937/20472 |