Topic: The Ripple Effect of Local House Price Movements in New Zealand
Presenter：Martin Young， Professor in Finance，Massey University
Time: October 30, 2009（Friday）3:00—4:30PM
Venue: Room 501, Jiageng Bld 2
Abstract：
Utilising a selection of ten urban area data sets in New Zealand for the period 1994 – 2004, we examine local house price comovements by using various house price indexing approaches, at a monthly level. Applying the Granger causality test based on a vector error correction model (VECM), where seasonality is considered in the model by using seasonal dummy variables, we found in the long run that the ripple effect is most likely constrained within regions. There is little evidence to suggest that the ripple effect will spread nationally between main regional centres. The results support the theory that the ripple effect is likely to be caused by a region’s internal economic factors rather than migration and spatial arbitrage.
Presenter Introduction：
Dr Martin Young is a Professor of Finance in and Head of the Department of Finance, Banking and Property, Massey University, New Zealand. Prior to this he spent four years as a Senior Fellow at the Nanyang Business School, Nanyang Technological University in Singapore. As well as his academic experience, Dr Young also has wide experience working within financial markets, having been a member of the New Zealand Stock Exchange for many years. He has a particular interest in research in the Asian financial markets, is a member of the Asian Finance Association Board, and is the New Zealand representative on the Asian Shadow Financial Regulatory Committee. Recently he was the co-program chair for the Asian FA/FMA conference held in Auckland, New Zealand. His academic publications include articles in the Journal of Banking and Finance, the Financial Review and the Pacific-Basin Finance Journal and he currently serves on the editorial board of the International Review of Financial Analysis.
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