Self-exciting effects of house prices on unit prices in Australian capital cities
研究了1995年12月至2015年6月澳大利亚各首府城市房价与单元房价格的长期和短期关系，发现房价显著影响单元房价格，且当单元房市场自激时影响更大。
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.