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Title: What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration
Authors: Katrakilidis, Constantinos
Trachanas, Emmanouil
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
Keywords: Asymmetric cointegration
Nonlinear ARDL (NARDL)
Asymmetric dynamic multipliers
House prices
Issue Date: 2012
Source: Economic Modelling
Volume: 29
Issue: 4
First Page: 1064
Last Page: 1069
Abstract: In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long- and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.
ISSN: 0264-9993
Other Identifiers: 10.1016/j.econmod.2012.03.029
Appears in Collections:Department of Accounting & Finance

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