Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities

Terence O'Neill, Jack H W Penm, Richard Terrell

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Abstract

Housing activity is an important indicator of general economic activity, and house price movements are an important variable in international financial markets. In this chapter we utilise vector autoregressive models to examine how the interrelationship between housing activity and general economic activity has evolved in four OECD countries. Our results provide support for the hypothesis that the relationship between housing activity and general economic activity has changed in many OECD countries. For Australia, however, no such evidence was found. These results suggest that caution needs to be exercised when using previous experience to forecast both housing cycles and general economic activity.
Original languageEnglish
Title of host publicationResearch in Finance
EditorsA.H. Chen
Place of PublicationUK
PublisherEmerald Group Publishing Ltd.
Pages159-175
Number of pages17
Volume25
ISBN (Print)9781848554474
DOIs
Publication statusPublished - 2009

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Nonlinear modeling
Economic activity
Housing market
OECD countries
House prices
Interrelationship
Vector autoregressive model
International financial markets

Cite this

O'Neill, T., Penm, J. H. W., & Terrell, R. (2009). Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. In A. H. Chen (Ed.), Research in Finance (Vol. 25, pp. 159-175). UK: Emerald Group Publishing Ltd.. https://doi.org/10.1108/S0196-3821(2009)0000025008
O'Neill, Terence ; Penm, Jack H W ; Terrell, Richard. / Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. Research in Finance. editor / A.H. Chen. Vol. 25 UK : Emerald Group Publishing Ltd., 2009. pp. 159-175
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O'Neill, T, Penm, JHW & Terrell, R 2009, Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. in AH Chen (ed.), Research in Finance. vol. 25, Emerald Group Publishing Ltd., UK, pp. 159-175. https://doi.org/10.1108/S0196-3821(2009)0000025008

Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. / O'Neill, Terence; Penm, Jack H W; Terrell, Richard.

Research in Finance. ed. / A.H. Chen. Vol. 25 UK : Emerald Group Publishing Ltd., 2009. p. 159-175.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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O'Neill T, Penm JHW, Terrell R. Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities. In Chen AH, editor, Research in Finance. Vol. 25. UK: Emerald Group Publishing Ltd. 2009. p. 159-175 https://doi.org/10.1108/S0196-3821(2009)0000025008