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Causality analysis of the Canadian city house price indices: A cross-sample validation approach

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  • Kyriazakou, Eleni
  • Panagiotidis, Theodore

Abstract

We examine pair-wise causality between 11 Canadian city house price indices. Monthly data that span from 1990:7 to 2015:9 are employed. The traditional Granger-causality framework is relaxed by following the cross-sample validation approach of Ashley and Tsang (2014). This allows us to overcome the ad hoc partition of the sample and examine predictability both “in” and “out-of-sample”. Toronto emerges as the driving force of the Canadian Housing Market.

Suggested Citation

  • Kyriazakou, Eleni & Panagiotidis, Theodore, 2017. "Causality analysis of the Canadian city house price indices: A cross-sample validation approach," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 42-52.
    • Handle: RePEc:eee:joecas:v:16:y:2017:i:c:p:42-52
    DOI: 10.1016/j.jeca.2017.06.001
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    More about this item

    Keywords

    House prices; Regions; Granger-causality; Post-sample testing; Cross-sample validation (CSV);
    All these keywords.

    JEL classification:

    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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