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Long-run drivers and integration in interprovincial Canadian housing price relations

Vijay Kumar Vishwakarma (Department of Accounting and Finance, The Gerald Schwartz School of Business, St. Francis Xavier University, Antigonish, Canada)

International Journal of Housing Markets and Analysis

ISSN: 1753-8270

Article publication date: 26 November 2021

Issue publication date: 2 January 2023




This paper aims to examine the integration of housing markets in Canada by examining housing price data (1999–2016) of six metropolitan areas in different provinces, namely, Calgary, Vancouver, Winnipeg, Toronto, Montreal and Halifax. The authors test for cointegration, driver cities of long-run relationships, long-run Granger causality and instantaneous causality in light of the global financial crisis (GFC) (2007–2008).


The authors use Johansen’s system cointegration approach with structural breaks. Moving average representation is used for common stochastic trend(s) analysis. Finally, the authors apply vector error correction model-based Granger causality and instantaneous causality.


Cities’ housing prices are in long-run equilibrium. Post-crisis Canadian housing markets became more integrated. The Calgary, Vancouver, Toronto and Montreal markets drive the Canadian housing market, leading all cities toward long-run equilibrium. Strong long-run Granger causality exists, but the authors observe no instantaneous causality. Price information takes time to disseminate, and long-run price adjustments play a significant role in causation.

Practical implications

The findings of cointegration increasing after the GFC and strong lead–lag can be used by investors to arbitrage and optimize portfolios. This can also help national and local policymakers in mitigating risk. Incorporating these findings can lead to better price forecasting.


This study presents many novelties for the Canadian housing market: it is the first to use repeat-sales regional pricing indices to test long-run behaviors, conduct common stochastic trend analyzes and present causality relations.



The author thank the Editor and the three anonymous referees for their highly constructive comments.


Vishwakarma, V.K. (2023), "Long-run drivers and integration in interprovincial Canadian housing price relations", International Journal of Housing Markets and Analysis, Vol. 16 No. 1, pp. 22-40.



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