PL EN


Preferences help
enabled [disable] Abstract
Number of results
2016 | 130 | 6 | 1420-1430
Article title

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004-Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.
Keywords
EN
Year
Volume
130
Issue
6
Pages
1420-1430
Physical description
Dates
published
2016-12
received
2016-03-17
(unknown)
2016-10-28
(unknown)
2016-11-04
References
  • [1] S.M. Miller, T. Chang, X.L. Li, M. Balcilar, R. Gupta, Int. Rev. Econ. Fin. 38, 220 (2015), doi: 10.1016/j.iref.2015.02.028
  • [2] J. Kwapień, Phys. Rep. 515, 115 (2012), doi: 10.1016/j.physrep.2012.01.007
  • [3] J.B. Ramsey, C. Lampart, in: Economic Research Reports, New York University, New York 1997
  • [4] M. Mandler, M. Scharnagl, in: Money Growth, Loan Growth and Consumer Price Inflation in the Euro Area: A Wavelet Analysis, Deutsche Bundesbank, Frankfurt am Main 2013, p. 1
  • [5] L. Vacha, J. Barunik, L. Kristoufek, in: IES Working Paper, no. 22/2011, Institute of Economic Studies, Charles University in Prague, Prague 2011
  • [6] M. Scharnagl, in: Wavelet Analysis of Loans in Germany, Deutsche Bundesbank, Frankfurt am Main 2011
  • [7] M.J. Soares, L. Aguiar-Conraria, in: Working Paper Series, NIPE 16/2011, University of Minho, Minho 2011, p. 1
  • [8] M.J. Soares, L. Aguiar-Conraria, J. Econ. Surv. 2, 344 (2014), doi: 10.1111/joes.12012
  • [9] M. Kołtuniak, Ekonomika i Organizacja Przedsiębiorstwa 3, 17 (2016) (in Polish)
  • [10] M. Kołtuniak, Bank i Kredyt 3, 251 (2016) (in Polish)
  • [11] E. Syczewska, Z. Struzik, Acta Phys. Pol. A 127, A-129 (2015), doi: 10.12693/APhysPolA.127.A-129
  • [12] E. Syczewska, Acta Phys. Pol. A 121, B-121 (2012), doi: 10.12693/APhysPolA.121.B-121
  • [13] K. Bień-Barkowska, Acta Phys. Pol. A 127, A-7 (2015), doi: 10.12693/APhysPolA.127.A-7
  • [14] F.C.N. Myer, J.R. Webb, J. Real Estate Res. 8, 87 (1993)
  • [15] J. Okunev, P. Wilson, R. Zurbruegg, J. Real Estate Fin. Econ. 21, 251 (2000), doi: 10.1023/A:1012051719424
  • [16] I.C. Tsai, C.F. Lee, M. Chiang, J. Real Estate Fin. Econ. 45, 1005 (2012), doi: 10.1007/s11146-011-9304-5
  • [17] M. Hoesli, E. Oikarinen, C. Serrano, J. Portfolio Manage. 41, 105 (2015), doi: 10.3905/jpm.2015.41.6.105
  • [18] C. Liu, D. Hartzell, W. Greig, T. Grissom, J. Real Estate Fin. Econ. 3, 261 (1990)
  • [19] G. MacKinnon, J. Clayton, J. Real Estate Portfolio Manage. 7, 43 (2001)
  • [20] K.H. Liow, Appl. Fin. Econ. 16, 371 (2006), doi: 10.1080/09603100500390885
  • [21] J. Morawski, H. Rehkugler, R. Füss, Fin. Markets Portfolio Manage. 22, 101 (2008), doi: 10.1007/s11408-008-0075-9
  • [22] T.C. Lin, Z.H. Lin, Pacific-Basin Fin. J. 19, 571 (2011), doi: 10.1016/j.pacfin.2011.05.001
  • [23] M. Hoesli, E. Oikarinen, J. Int. Money Fin. 31, 1823 (2012), doi: 10.1016/j.jimonfin.2012.05.017
  • [24] J. Gyourko, D. Keim, J. Am. Real Estate Urban Econ. Assoc. 20, 457 (1992)
  • [25] J. Okunew, P. Wilson, G. Ta, in: Measuring the Degree of Integration amongst Domestic and International Real Estate and Financial Assets Markets, Working Paper No. 49, University of Technology of Sydney, Sydney 1995, p. 1
  • [26] D.C. Ling, A. Naranjo, Real Estate Econ. 27, 483 (1999), doi: 10.1111/1540-6229.00781
  • [27] P. Wilson, J. Okunev, J. Prop. Fin. 7, 78 (1996), doi: 10.1108/09588689610152408
  • [28] F. Myer, J.R. Webb, M.K. Chaudhry, J. Real Estate Fin. Econ. 18, 339 (1999), doi: 10.1023/A:1007785018055
  • [29] K.H. Liow, in: Co-Movements and Correlations across Asian Securitized RE and Stock Markets, IRES Working Paper Series, National University of Singapore, Singapore 2009, p. 1
  • [30] S. Voronkova, F. Schindler, ZEW Discussion Paper 10, 1 (2010)
  • [31] D.C. Ling, A. Naranjo, J. Real Estate Fin. Econ. 24, 119 (2002), doi: 10.1023/A:1013938506550
  • [32] E. Roca, A. Hatemi, A. Al-Shayeb, Econ. Model. 37, 137 (2014), doi: 10.1016/j.econmod.2013.10.037
  • [33] A. Grinsted, J.C. Moore, S. Jevrejeva, Nonlin. Process. Geophys. 11, 561 (2004), doi: 10.5194/npg-11-561-2004
  • [34] S. Jevrejeva, J. Moore, A. Grinsted, J. Geophys. Res. 108, 1 (2003), doi: 10.1029/2003JD003417
  • [35] M.J. Soares, L. Aguiar-Conraria, N. Azevedo, Physica A Statist. Mech. Appl. 387, 2863 (2008), doi: 10.1016/j.physa.2008.01.063
  • [36] M.J. Soares, L. Aguiar-Conraria, Empiric. Econ. 40, 645 (2011), doi: 10.1007/s00181-010-0371-x
  • [37] J.C. Reboredo, M.A. Rivera-Castro, Int. Rev. Econ. Fin. 29, 145 (2014), doi: 10.1016/j.iref.2013.05.014
  • [38] M.J. Soares, L. Aguiar-Conraria, J. Macroecon. 33, 477 (2011), doi: 10.1016/j.jmacro.2011.02.005
  • [39] A. Rua, L.C. Nunes, J. Empiric. Fin. 16, 632 (2009), doi: 10.1016/j.jempfin.2009.02.002
  • [40] B. Cazelles, M. Chavez, G. Constantin de Magny, J. Guégan, S. Hales, J.R. Soc. Interf. 4, 625 (2007), doi: 10.1098/rsif.2007.0212
  • [41] J. Kwapień, P. Oświęcimka, S. Dróżdż, Phys. Rev. E 92, 1 (2015), doi: 10.1103/PhysRevE.92.052815
  • [42] P. Oświęcimka, J. Kwapień, S. Dróżdż, Phys. Rev. E 74, 1 (2006), doi: 10.1103/PhysRevE.74.016103
  • [43] P. Oświęcimka, S. Dróżdż, M. Forczek, S. Jadach, J. Kwapień, Phys. Rev. E 89, 1 (2014), doi: 10.1103/PhysRevE.89.023305
  • [44] E. Ng, J. Chan, J. Atm. Ocean. Technol. 29, 1845 (2012), doi: 10.1175/JTECH-D-12-00056.1
  • [45] L. Kristoufek, PLoS One 10, 1 (2015), doi: 10.1371/journal.pone.0123923
  • [46] B. Dima, S.M. Dima, F. Barna, Appl. Econ. 47, 1019 (2015), doi: 10.1080/00036846.2014.987917
  • [47] C.D. Quan, S. Titman, Real Estate Econ. 27, 183 (1999), doi: 10.1111/1540-6229.00771
  • [48] K. Batayneh, A. Al-Malki, Int. J. Econ. Fin. 7, 157 (2015), doi: 10.5539/ijef.v7n2p156
  • [49] M. Hannonen, Int. J. Strateg. Prop. Manage. 10, 1 (2006), doi: 10.1080/1648715X.2006.9637541
  • [50] G. Główka, System of Housing Financing in Poland, Oficyna Wydawnicza Szkoły Głównej Handlowej w Warszawie, Warszawa 2012 (in Polish)
  • [51] J. Łaszek, The State and Prospects for Change of the Polish Housing Sector, Oficyna Wydawnicza Szkoły Głównej Handlowej w Warszawie, Warszawa 2004 (in Polish)
  • [52] D. Ciesielska, Przemysł chemiczny 93, 1657 (2014) (in Polish), doi: 10.12916/przemchem.2014.1657
  • [53] D. Ciesielska, Macrotheme Rev. 3, A-214 (2014)
  • [54] M. Mikołajek-Gocejna, Investor Expectations in Value Based Management, Springer International Publishing Switzerland, 2014, p. 1, doi: 10.1007/978-3-319-06847-3
  • [55] M. Radło, D. Ciesielska, Ekonomika i organizacja przedsiębiorstwa 790, 92 (2015) (in Polish)
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv130n625kz
Identifiers
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.