EVIDENCE OF THE RIPPLE EFFECT ACROSS THE CZECH HOUSING MARKET

Martin Slaný; Filip Emmer

doi:10.52950/ES.2024.13.2.006

Authors

Martin Slaný CEVRO University, Czech Republic Author
Filip Emmer Masaryk University, Faculty of Economics and Administration, Department of Regional Economics, Czech Republic Author

DOI:

https://doi.org/10.52950/ES.2024.13.2.006

Keywords:

House price spillovers, Regional housing market, Granger causality

Abstract

Czech regional housing markets have exhibited significant price co-movements over the last two decades. While part of this dynamic may be explained by traditional housing market fundamentals, some regions appear to be influenced by other variables. One possible explanation lies in the ripple effect, a phenomenon where house price shocks in one region influence prices in others. This study examines the possible occurrence of the ripple effect using the Toda–Yamamoto Granger causality approach. Results indicate a statistically significant occurrence of a lead–lag effect in eight out of 13 regions. Such price interconnectivity might be an important factor for policymakers, as the study suggests that regional submarkets are not isolated and should be approached at the macro level.

Data:
Received: 23 Sep 2024
Revised: 30 Oct 2024
Accepted: 1 Nov 2024
Published: 15 Nov 2024