Spillovers across House Price Convergence Clubs: Evidence from the Polish Housing Market
Author
Abstract
Suggested Citation
DOI: 10.1515/remav-2020-0012
Download full text from publisher
References listed on IDEAS
- William W. Chow & Michael K. Fung & Arnold C. S. Cheng, 2016. "Convergence and spillover of house prices in Chinese cities," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4922-4941, November.
- Montagnoli, Alberto & Nagayasu, Jun, 2015.
"UK house price convergence clubs and spillovers,"
Journal of Housing Economics, Elsevier, vol. 30(C), pages 50-58.
- Montagnoli, Alberto & Nagayasu, Jun, 2013. "UK House Prices: Convergence Clubs and Spillovers," SIRE Discussion Papers 2013-101, Scottish Institute for Research in Economics (SIRE).
- Alberto Montagnoli & Jun Nagayasu, 2013. "UK house prices: convergence clubs and spillovers," Working Papers 1322, University of Strathclyde Business School, Department of Economics.
- Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
- Francis X. Diebold & Kamil Yilmaz, 2009.
"Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,"
Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- Diebold, Francis X. & Yilmaz, Kamil, 2007. "Measuring financial asset return and volatility spillovers, with application to global equity markets," CFS Working Paper Series 2007/02, Center for Financial Studies (CFS).
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
- Tom Doan, "undated". "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
- Peter C. B. Phillips & Donggyu Sul, 2007.
"Transition Modeling and Econometric Convergence Tests,"
Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
- Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation for Research in Economics, Yale University.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Gong, Yunlong & Hu, Jinxing & Boelhouwer, Peter J., 2016. "Spatial interrelations of Chinese housing markets: Spatial causality, convergence and diffusion," Regional Science and Urban Economics, Elsevier, vol. 59(C), pages 103-117.
- Bartlomiej Marona & Agnieszka Bieniek, 2013. "The Analysis of the Influence of Foreign Direct Investment on Polish Economy in 1996-2010 using VECM Methodology," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 44(2), pages 333-350.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mateusz Tomal, 2024. "A review of Phillips‐Sul approach‐based club convergence tests," Journal of Economic Surveys, Wiley Blackwell, vol. 38(3), pages 899-930, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Nong, Huifu & Yu, Ziliang & Li, Yang, 2024. "Financial shock transmission in China's banking and housing sectors: A network analysis," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 701-723.
- Mustafa Çakır, 2023. "Regional inflation spillovers in Turkey," Economic Change and Restructuring, Springer, vol. 56(2), pages 959-980, April.
- Viorica CHIRILA & Ciprian CHIRILA, 2018. "Effects of US Monetary Policy on Eastern European Financial Markets," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10(2), pages 149-166, August.
- Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Sevillano, María Caridad & Jareño, Francisco & López, Raquel & Esparcia, Carlos, 2024. "Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition," Energy Economics, Elsevier, vol. 131(C).
- Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
- Niu, Hongli & Hu, Wenwen, 2024. "Static and dynamic interdependencies among natural gas, stocks of global major economies and uncertainty," Resources Policy, Elsevier, vol. 94(C).
- Kinkyo, Takuji, 2020. "Time-frequency dynamics of exchange rates in East Asia," Research in International Business and Finance, Elsevier, vol. 52(C).
- He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
- Giannellis, Nikolaos, 2022. "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, vol. 63(C).
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2025.
"On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data,"
Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 790-804, February.
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
- Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.
- Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
- Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Capucine Nobletz, 2021. "Return spillovers between green energy indexes and financial markets: a first sectoral approach," EconomiX Working Papers 2021-24, University of Paris Nanterre, EconomiX.
- Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
- James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
- David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022.
"On the transmission mechanism of Asia‐Pacific yield curve characteristics,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
- Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.
- Dominik Blatt & Kausik Chaudhuri & Hans Manner, 2021. "Spillover in the UK Housing Market," Graz Economics Papers 2021-13, University of Graz, Department of Economics.
- Alexakis, Christos & Kenourgios, Dimitris & Pappas, Vasileios & Petropoulou, Athina, 2021.
"From dotcom to Covid-19: A convergence analysis of Islamic investments,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Christos Alexakis & Dimitris Kenourgios & Vasileios Pappas & Athina Petropoulou, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Post-Print hal-03347374, HAL.
More about this item
Keywords
house price convergence; impulse response function; spillover index; VAR model; ripple effect;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
- R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:remava:v:28:y:2020:i:2:p:13-20:n:2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.