Journal ArticleDOI
The Growth of House Prices in Australian Capital Cities: What Do Economic Fundamentals Explain?
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This article examined the role of economic activity, population growth, mortgage rates and inflation as key drivers of the real growth rates of house prices in Australian capital cities over the past 15 years and found that these economic variables do explain a sizeable percentage of house price growth rates.Abstract:
The paper examines the role of economic activity, population growth, mortgage rates and inflation as key drivers of the real growth rates of house prices in Australian capital cities over the past 15 years. The empirical evidence suggests that these economic variables do explain a sizeable percentage of house price growth rates. In particular the level of mortgage interest rates is found to be an important influence in all eight cities. The effects of the other economic variables are less consistent across the capital cities; however one interesting finding is evidence of a positive spillover effect from the Sydney housing market onto house prices in a number of other capital cities (Abelson, 1994 and Bewley, Dvornak and Livera, 2004).read more
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Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions
TL;DR: In this paper, the authors construct measures of the annual cost of single-family housing for 46 metropolitan areas in the United States over the last 25 years and compare them with local rents and incomes as a way of judging the level of housing prices.
Journal ArticleDOI
Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions
TL;DR: In this paper, the authors explain how to assess the state of house prices, both whether there is a bubble and what underlying factors support housing demand, in a way that is grounded in economic theory.
House Price Concepts and Definitions | RDP 2006-03: Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures
TL;DR: In this paper, regression-based approaches were used to measure house price changes in Australia's three largest cities and found that they provide a more accurate estimate of pure price changes than a median, with around half of the variation in prices growth explained.
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House prices, non-fundamental components and interstate spillovers: The Australian experience
TL;DR: In this paper, the authors used 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, and compared capital city fundamental prices with actual prices.
References
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
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Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
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Estimating long-run relationships from dynamic heterogeneous panels☆
M. Hashem Pesaran,Ron Smith +1 more
TL;DR: In panel data four procedures are widely used: pooling, aggregating, averaging group estimates, and cross-section regression as discussed by the authors, and the theoretical results on the properties of these procedures are illustrated by UK labour demand functions for 38 industries over 30 years.
Journal ArticleDOI
A Simple Test for Heteroscedasticity and Random Coefficient Variation.
Trevor Breusch,Adrian Pagan +1 more
TL;DR: In this paper, a simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test, and the criterion is given as a readily computed function of the OLS residuals.
Journal ArticleDOI
Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis
TL;DR: In this article, the authors derived the distributions of the least-squares residuals under a variety of specification errors, including omitted variables, incorrect functional form, simultaneous equation problems and heteroskedasticity.