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An interdependence analysis of Australian house prices using variance decomposition

Chunlu Liu (School of Architecture and Building, Deakin University, Geelong, Australia)
Le Ma (School of Architecture and Building, Deakin University, Geelong, Australia)
Zhen Qiang Luo (Dongguan Construction Engineering, Evaluation Consulting Co. LTD, Dongguan, China, and)
David Picken (School of Architecture and Building, Deakin University, Geelong, Australia)

International Journal of Housing Markets and Analysis

ISSN: 1753-8270

Article publication date: 7 August 2009

694

Abstract

Purpose

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The purpose of this paper is to analyse the interdependencies of the house price growth rates in Australian capital cities.

Design/methodology/approach

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A vector autoregression model and variance decomposition are introduced to estimate and interpret the interdependences among the growth rates of regional house prices in Australia.

Findings

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The results suggest the eight capital cities can be divided into three groups: Sydney and Melbourne; Canberra, Adelaide and Brisbane; and Hobart, Perth and Darwin.

Originality/value

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Based on the structural vector autoregression model, this research develops an innovative interdependence analysis approach of regional house prices based on a variance decomposition method.

Keywords

Citation

Liu, C., Ma, L., Qiang Luo, Z. and Picken, D. (2009), "An interdependence analysis of Australian house prices using variance decomposition", International Journal of Housing Markets and Analysis, Vol. 2 No. 3, pp. 218-232. https://doi.org/10.1108/17538270910977527

Publisher

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Emerald Group Publishing Limited

Copyright © 2009, Emerald Group Publishing Limited

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