Asymmetric Causality between Unemployment Rate and House Prices in Select OECD Economies
Author
Start Page / End Page
Volume
Issue Number
Year
Publication
Javed Iqbal, Misbah Nosheen, Iqra Rubab, Sareer Ahmad, Mark Wohar
173 / 207
26
2
2023
International Real Estate Review
Abstract
Previous research on how unemployment influences house prices is limited by employing a symmetric approach to cointegration. The symmetric method masks the underlying link between unemployment and housing prices. This study examines the impact of unemployment on house prices across 20 Organisation for Economic Co-operation and Development (OECD) economies by using an asymmetric approach to cointegration. The current research additionally leverages Hatemi-J causality to bolster the asymmetric causation between unemployment and house prices. According to the symmetric approach, 13 of the 20 OECD economies in the short run and 9 economies in the long run have at least one lagged significant coefficient associated with the LnUN variable. The asymmetric effects demonstrate a significant short- and long-term asymmetric association between unemployment and house prices in the instance of 16 OECD nations. The Hatemi-J causality results demonstrate that in each of the selected economies, there is evidence of an asymmetric bidirectional causal relationship between unemployment and house prices, as shown by at least one significant variable that runs either from unemployment to house prices or from house prices to unemployment.
Keywords
House prices; Hatemi-J; Unemployment; Non-ARDL