ABSTRACT The primary purpose of this paper is to examine the dynamic and Granger causal (inter) relationships between house prices and to empirically assess the co-movement in-house prices across different property types within Northern Ireland (NI). The Johansen cointegration, Granger causality tests and vector error correction model are applied to quarterly house price data for the NI housing market between Q1 1995 and Q2 2018 to determine whether price transmissions are propagated contemporaneously into both short-term and long-term price adjustments. The findings show the stylised facts of lead–lag relationships across property types in NI using long-term Granger causality tests that the performance of the Apartment sector systematically and consistently lagged behind all other residential property segments over the period. Indeed, the results indicate that there are obvious market filtration transmission pricing signals in operation in a Granger-causal fashion. Property price signals are observed to be transmitted from the more liquid owner-occupier-led Detached and Semi-detached segments to the Apartment segment, but not vice versa.

中文翻译：

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衡量北爱尔兰住房类型的协整关系

摘要本文的主要目的是研究房价之间的动态关系和格兰杰因果（相互）关系，并以实证方式评估北爱尔兰（NI）不同房地产类型之间的同价内部房价。将Johansen协整，Granger因果关系检验和矢量误差校正模型应用于1995年第一季度至2018年第二季度之间NI住房市场的季度房价数据，以确定价格传递是否同时传播到短期和长期价格调整中。调查结果显示，使用长期格兰杰因果关系检验，NI中各物业类型之间超前-滞后关系的典型事实表明，在此期间，公寓业的表现在系统上始终如一地落后于所有其他住宅物业。确实，结果表明，存在明显的以格兰杰因果关系运行的市场过滤传递定价信号。观察到房地产价格信号是从流动性更强的业主占有者主导的“独立”和“半独立”市场传递到“公寓”市场，反之则不然。