| RHP | CR | DI PC | SV | UR | |
| A: FFF-VECM in logs | |||||
| Real house prices | - | 2.08 | 0.09 | 5.35** | 5.53** |
| Cash rate | 2.05 | - | 7.37*** | 1.26 | 0.95 |
| Disp. inc. PC | 2.79* | 3.83* | - | 0.19 | 5.34** |
| Sales volume | 17.39*** | 5.19** | 0.53 | - | 0.66 |
| Unemployment rate | 2.93* | 0.68 | 10.33*** | 2.97* | - |
| B: VAR in log first-differences | |||||
| Real house prices | - | 2.98* | 0.13 | 5.17** | 12.77*** |
| Cash rate | 0.11 | - | 11.02*** | 4.81** | 1.26 |
| Disp. inc. PC | 0.72 | 9.05*** | - | 3.16* | 6.15** |
| Sales volume | 37.64*** | 0.06 | 0.67 | - | 1.03 |
| Unemployment rate | 1.49 | 1.13 | 10.39*** | 4.90** | - |
| C: FFF-VAR in log first-differences | |||||
| Real house prices | - | 1.66 | 0.12 | 6.59** | 10.59*** |
| Cash rate | 0.05 | - | 10.74*** | 7.10*** | 1.18 |
| Disp. inc. PC | 0.79 | 8.44*** | - | 4.04** | 5.62** |
| Sales volume | 38.31*** | 0.34 | 0.63 | - | 0.97 |
| Unemployment rate | 1.84 | 1.40 | 10.48 | 4.72** | - |
Note: The VECM in logs did not have all inverse roots within the unit circle, so it is not reported here. Each element is the F-statistic that the row variable Granger-causes the column variable. The following abbreviations apply. RHP: Real House Price index, CR: Cash rate, DI PC: Disposable income per capita, SV: Sales volume, UR: Unemployment rate. Significance: 10%*, 5%**, 1%***.
Updated