Professor Abbas Valadkhani, Swinburne University of Technology

Seminar Title:  Self-Exciting Effects of House Prices on Unit Prices in Australian Capital Cities

The UNEBS R&RT Committee cordially invites you to attend to Professor Abbas Valadkhani’s Seminar. The session will be held on Thursday 10th September in Lecture Theatre 3, W40 in EBL Building at 2:00PM.

Abstract

The seminar will examine the relationship between house and unit prices in the eight capital cities of Australia using a proprietary dataset during 1995M12-2015M05. House and unit prices in each capital city have the same order of integration and enjoy a high degree of correlation up until the 2008 global financial crisis (GFC), when the relationship is observed to become less stable and noisy. However, despite irregular narrowing and widening of the gap between the two, based on both the Johansen and Hansen tests, they have remained cointegrated. The results of the Granger causality and generalised impulse responses indicate that short-run changes in houses prices can indiscriminately affect unit prices in all capital cities, whereas the reversal of causality holds true in the case of Adelaide, Melbourne, Sydney, and to a lesser degree Perth. With the exception of Brisbane, one can thus conclude that bi-directional causality (responses) do exist only for larger and more populous capital cities. This study has important and timely implications for market risk management and portfolio decision making, as it provides some insight into the degree of substitutability and co-movement between these two types of investments. Based on the result of the estimated self-exciting threshold models, we find that after a certain price growth threshold, an increase in house prices exerts a significantly larger positive impact on unit prices.

Professor Abbas Valadkhani is Professor of Macroeconomics at the Faculty of Business and Law, Swinburne University of Technology. Professor Valadkhani graduated from the University of Queensland in 1997 and held full-time permanent positions at the University of Newcastle, Queensland University of Technology (QUT), the University of Wollongong (UOW) and the University of New England (UNE). He joined the Swinburne Business School in March 2014. His recent research interests lie in Australian macroeconomic policy issues, asymmetric pricing behaviour of Australian bank and non-bank financial institutions in the retail lending market, and retail petrol pricing. He has published more than 75 articles in prestigious journals such as Applied Economics; Energy Economics; Energy Policy; Economics Letters; Economic Modelling; Economic Record; Journal of International Financial Markets, Institutions & Money; International Review of Economics and Finance; Journal of Industrial Relations; Journal of Policy Modelling; and Small Business Economics.