Causation and co-integration relationship between macroeconomic factors and housing price in Malaysia
List of Authors
  • Gloria Panit , Mohd Rashidee Alwi

Keyword
  • Causality, Co-integration, Malaysian housing price, Macroeconomic variables, Granger Causality, Johansen co-integration

Abstract
  • This paper examines the short run causal direction and long-run co-integration of macroeconomic variables towards the housing price in Malaysia. This analysis would help government, developers, and potential buyers to find more knowledge about macroeconomic factors that can influence housing pricing, and hopefully would be useful for policymakers and developers. The study of causal direction is tested using Granger Causality test while the long-run relationship is tested using Johansen co-integration. For this reason, we use Housing Price Index with macroeconomics factors - Real Property Gain Tax (RPGT), Lending Rate (LR) Gross Domestic Product (GDP), Exchange Rate (ER) and Unemployment Rate (UR) which the information ranges is taken in quarterly basis from 2010 Q1 to 2019 Q4. Through Granger Causality Test, we found that there are correlation among all the variables and the causality orientation amongst them could be verified. Meanwhile, for the existence of long-term correlation among all the variables, Johansen co-integration had been tested and the result finds out that there are two long-term association among all variables. These findings will be useful and beneficial for future researchers.

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