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Self-exciting effects of house prices on unit prices in Australian capital cities

机译：房价对澳大利亚首都城市房价的自我激励作用

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摘要

This paper examines the long- and short-run relationship between Australian house and unit prices across all capital cities over the period December 1995 to June 2015. We find that house and unit prices are cointegrated and, based on the results of Granger causality and generalised impulse responses, that house prices significantly influence unit prices across all cities. However, bi-directional causality (responses) exists only for major capital cities with the exception of Brisbane. We also, for the first time, apply self-excited threshold models to explore the complex interplay between house and unit prices in Australia. We find that when the market for units is self-excited, or bullish, the positive effects of house prices on unit prices are noticeably larger than otherwise. There is a varying degree of herd mentality in the Australian property market with Sydney and Darwin being the most and least excitable' capital cities, respectively.
机译：本文研究了1995年12月至2015年6月期间所有省会城市的澳大利亚房屋价格和单价之间的长期和短期关系。基于Granger因果关系的结果，我们发现房屋价格和单位价格是协整的冲动反应表明，房价显着影响了所有城市的单位价格。但是，双向因果关系（响应）仅在布里斯班以外的主要省会城市存在。我们也首次使用自激阈值模型来探索澳大利亚房价与单价之间的复杂相互作用。我们发现，当单位市场是自激式的或看涨的时，房价对单位价格的积极影响明显大于其他情况。在澳大利亚房地产市场上，人们对牛群的态度有所不同，悉尼和达尔文分别是最兴奋和最不兴奋的首都。

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