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Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

Author

Listed:
  • Cellmer Radosław

    (Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn)

  • Bełej Mirosław

    (Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn)

  • Cichulska Aneta

    (Institute of Geospatial Engineering and Real Estate, University of Warmia and Mazury in Olsztyn)

Abstract

The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years.

Suggested Citation

  • Cellmer Radosław & Bełej Mirosław & Cichulska Aneta, 2019. "Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test," Real Estate Management and Valuation, Sciendo, vol. 27(4), pages 85-95, December.
  • Handle: RePEc:vrs:remava:v:27:y:2019:i:4:p:85-95:n:8
    DOI: 10.2478/remav-2019-0038
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    References listed on IDEAS

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    More about this item

    Keywords

    real estate market; VAR; causality;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

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