Journal
ECONOMIC MODELLING
Volume 29, Issue 4, Pages 1064-1069Publisher
ELSEVIER
DOI: 10.1016/j.econmod.2012.03.029
Keywords
Asymmetric cointegration; Nonlinear ARDL (NARDL); Asymmetric dynamic multipliers; House prices
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In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin. Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long- and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market. (c) 2012 Elsevier B.V. All rights reserved.
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