Ripple effects in New Zealand regional rent prices: Evidence from the contemporaneous and lagged R2‐decomposed connectedness approach with exogenous input. Real Estate Economics, 54(2), 395-423.

Please use the latest version

#install_github("GabauerDavid/ConnectednessApproach")
library("ConnectednessApproach")

## Registered S3 method overwritten by 'future':
##   method               from      
##   all.equal.connection parallelly

## 
## Please cite as:

##  Gabauer, David (2022). ConnectednessApproach.

##  R package version 1.0.0. https://CRAN.R-project.org/package=ConnectednessApproach

data(dy2012)
dca = ConnectednessApproach(
  x=dy2012[,1:2, drop=F],
  nlag=1,
  window.size=200,
  connectedness="R2",
  Connectedness_config=list(
    R2Connectedness=list(method="pearson", decomposition = TRUE, relative = FALSE, exog_data=dy2012[,-c(1:2), drop=F], xlag=1)
  )
)

## Estimating model

## Computing connectedness measures

## The generalized R2 connectedness approach with exogenous input is implemented according to:
##  Nguyen, H., Gabauer, D., & Squires, G. (2026). Ripple effects in New Zealand regional rent prices: Evidence from the contemporaneous and lagged R2‐decomposed connectedness approach with exogenous input. Real Estate Economics, 54(2), 395-423.

##   |                                                                              |                                                                      |   0%  |                                                                              |                                                                      |   1%  |                                                                              |=                                                                     |   1%  |                                                                              |=                                                                     |   2%  |                                                                              |==                                                                    |   2%  |                                                                              |==                                                                    |   3%  |                                                                              |==                                                                    |   4%  |                                                                              |===                                                                   |   4%  |                                                                              |===                                                                   |   5%  |                                                                              |====                                                                  |   5%  |                                                                              |====                                                                  |   6%  |                                                                              |=====                                                                 |   6%  |                                                                              |=====                                                                 |   7%  |                                                                              |=====                                                                 |   8%  |                                                                              |======                                                                |   8%  |                                                                              |======                                                                |   9%  |                                                                              |=======                                                               |   9%  |                                                                              |=======                                                               |  10%  |                                                                              |=======                                                               |  11%  |                                                                              |========                                                              |  11%  |                                                                              |========                                                              |  12%  |                                                                              |=========                                                             |  12%  |                                                                              |=========                                                             |  13%  |                                                                              |=========                                                             |  14%  |                                                                              |==========                                                            |  14%  |                                                                              |==========                                                            |  15%  |                                                                              |===========                                                           |  15%  |                                                                              |===========                                                           |  16%  |                                                                              |============                                                          |  16%  |                                                                              |============                                                          |  17%  |                                                                              |============                                                          |  18%  |                                                                              |=============                                                         |  18%  |                                                                              |=============                                                         |  19%  |                                                                              |==============                                                        |  19%  |                                                                              |==============                                                        |  20%  |                                                                              |==============                                                        |  21%  |                                                                              |===============                                                       |  21%  |                                                                              |===============                                                       |  22%  |                                                                              |================                                                      |  22%  |                                                                              |================                                                      |  23%  |                                                                              |================                                                      |  24%  |                                                                              |=================                                                     |  24%  |                                                                              |=================                                                     |  25%  |                                                                              |==================                                                    |  25%  |                                                                              |==================                                                    |  26%  |                                                                              |===================                                                   |  26%  |                                                                              |===================                                                   |  27%  |                                                                              |===================                                                   |  28%  |                                                                              |====================                                                  |  28%  |                                                                              |====================                                                  |  29%  |                                                                              |=====================                                                 |  29%  |                                                                              |=====================                                                 |  30%  |                                                                              |=====================                                                 |  31%  |                                                                              |======================                                                |  31%  |                                                                              |======================                                                |  32%  |                                                                              |=======================                                               |  32%  |                                                                              |=======================                                               |  33%  |                                                                              |=======================                                               |  34%  |                                                                              |========================                                              |  34%  |                                                                              |========================                                              |  35%  |                                                                              |=========================                                             |  35%  |                                                                              |=========================                                             |  36%  |                                                                              |==========================                                            |  36%  |                                                                              |==========================                                            |  37%  |                                                                              |==========================                                            |  38%  |                                                                              |===========================                                           |  38%  |                                                                              |===========================                                           |  39%  |                                                                              |============================                                          |  39%  |                                                                              |============================                                          |  40%  |                                                                              |============================                                          |  41%  |                                                                              |=============================                                         |  41%  |                                                                              |=============================                                         |  42%  |                                                                              |==============================                                        |  42%  |                                                                              |==============================                                        |  43%  |                                                                              |==============================                                        |  44%  |                                                                              |===============================                                       |  44%  |                                                                              |===============================                                       |  45%  |                                                                              |================================                                      |  45%  |                                                                              |================================                                      |  46%  |                                                                              |=================================                                     |  46%  |                                                                              |=================================                                     |  47%  |                                                                              |=================================                                     |  48%  |                                                                              |==================================                                    |  48%  |                                                                              |==================================                                    |  49%  |                                                                              |===================================                                   |  49%  |                                                                              |===================================                                   |  50%  |                                                                              |===================================                                   |  51%  |                                                                              |====================================                                  |  51%  |                                                                              |====================================                                  |  52%  |                                                                              |=====================================                                 |  52%  |                                                                              |=====================================                                 |  53%  |                                                                              |=====================================                                 |  54%  |                                                                              |======================================                                |  54%  |                                                                              |======================================                                |  55%  |                                                                              |=======================================                               |  55%  |                                                                              |=======================================                               |  56%  |                                                                              |========================================                              |  56%  |                                                                              |========================================                              |  57%  |                                                                              |========================================                              |  58%  |                                                                              |=========================================                             |  58%  |                                                                              |=========================================                             |  59%  |                                                                              |==========================================                            |  59%  |                                                                              |==========================================                            |  60%  |                                                                              |==========================================                            |  61%  |                                                                              |===========================================                           |  61%  |                                                                              |===========================================                           |  62%  |                                                                              |============================================                          |  62%  |                                                                              |============================================                          |  63%  |                                                                              |============================================                          |  64%  |                                                                              |=============================================                         |  64%  |                                                                              |=============================================                         |  65%  |                                                                              |==============================================                        |  65%  |                                                                              |==============================================                        |  66%  |                                                                              |===============================================                       |  66%  |                                                                              |===============================================                       |  67%  |                                                                              |===============================================                       |  68%  |                                                                              |================================================                      |  68%  |                                                                              |================================================                      |  69%  |                                                                              |=================================================                     |  69%  |                                                                              |=================================================                     |  70%  |                                                                              |=================================================                     |  71%  |                                                                              |==================================================                    |  71%  |                                                                              |==================================================                    |  72%  |                                                                              |===================================================                   |  72%  |                                                                              |===================================================                   |  73%  |                                                                              |===================================================                   |  74%  |                                                                              |====================================================                  |  74%  |                                                                              |====================================================                  |  75%  |                                                                              |=====================================================                 |  75%  |                                                                              |=====================================================                 |  76%  |                                                                              |======================================================                |  76%  |                                                                              |======================================================                |  77%  |                                                                              |======================================================                |  78%  |                                                                              |=======================================================               |  78%  |                                                                              |=======================================================               |  79%  |                                                                              |========================================================              |  79%  |                                                                              |========================================================              |  80%  |                                                                              |========================================================              |  81%  |                                                                              |=========================================================             |  81%  |                                                                              |=========================================================             |  82%  |                                                                              |==========================================================            |  82%  |                                                                              |==========================================================            |  83%  |                                                                              |==========================================================            |  84%  |                                                                              |===========================================================           |  84%  |                                                                              |===========================================================           |  85%  |                                                                              |============================================================          |  85%  |                                                                              |============================================================          |  86%  |                                                                              |=============================================================         |  86%  |                                                                              |=============================================================         |  87%  |                                                                              |=============================================================         |  88%  |                                                                              |==============================================================        |  88%  |                                                                              |==============================================================        |  89%  |                                                                              |===============================================================       |  89%  |                                                                              |===============================================================       |  90%  |                                                                              |===============================================================       |  91%  |                                                                              |================================================================      |  91%  |                                                                              |================================================================      |  92%  |                                                                              |=================================================================     |  92%  |                                                                              |=================================================================     |  93%  |                                                                              |=================================================================     |  94%  |                                                                              |==================================================================    |  94%  |                                                                              |==================================================================    |  95%  |                                                                              |===================================================================   |  95%  |                                                                              |===================================================================   |  96%  |                                                                              |====================================================================  |  96%  |                                                                              |====================================================================  |  97%  |                                                                              |====================================================================  |  98%  |                                                                              |===================================================================== |  98%  |                                                                              |===================================================================== |  99%  |                                                                              |======================================================================|  99%  |                                                                              |======================================================================| 100%  |                                                                              |                                                                      |   0%  |                                                                              |                                                                      |   1%  |                                                                              |=                                                                     |   1%  |                                                                              |=                                                                     |   2%  |                                                                              |==                                                                    |   2%  |                                                                              |==                                                                    |   3%  |                                                                              |==                                                                    |   4%  |                                                                              |===                                                                   |   4%  |                                                                              |===                                                                   |   5%  |                                                                              |====                                                                  |   5%  |                                                                              |====                                                                  |   6%  |                                                                              |=====                                                                 |   6%  |                                                                              |=====                                                                 |   7%  |                                                                              |=====                                                                 |   8%  |                                                                              |======                                                                |   8%  |                                                                              |======                                                                |   9%  |                                                                              |=======                                                               |   9%  |                                                                              |=======                                                               |  10%  |                                                                              |=======                                                               |  11%  |                                                                              |========                                                              |  11%  |                                                                              |========                                                              |  12%  |                                                                              |=========                                                             |  12%  |                                                                              |=========                                                             |  13%  |                                                                              |=========                                                             |  14%  |                                                                              |==========                                                            |  14%  |                                                                              |==========                                                            |  15%  |                                                                              |===========                                                           |  15%  |                                                                              |===========                                                           |  16%  |                                                                              |============                                                          |  16%  |                                                                              |============                                                          |  17%  |                                                                              |============                                                          |  18%  |                                                                              |=============                                                         |  18%  |                                                                              |=============                                                         |  19%  |                                                                              |==============                                                        |  19%  |                                                                              |==============                                                        |  20%  |                                                                              |==============                                                        |  21%  |                                                                              |===============                                                       |  21%  |                                                                              |===============                                                       |  22%  |                                                                              |================                                                      |  22%  |                                                                              |================                                                      |  23%  |                                                                              |================                                                      |  24%  |                                                                              |=================                                                     |  24%  |                                                                              |=================                                                     |  25%  |                                                                              |==================                                                    |  25%  |                                                                              |==================                                                    |  26%  |                                                                              |===================                                                   |  26%  |                                                                              |===================                                                   |  27%  |                                                                              |===================                                                   |  28%  |                                                                              |====================                                                  |  28%  |                                                                              |====================                                                  |  29%  |                                                                              |=====================                                                 |  29%  |                                                                              |=====================                                                 |  30%  |                                                                              |=====================                                                 |  31%  |                                                                              |======================                                                |  31%  |                                                                              |======================                                                |  32%  |                                                                              |=======================                                               |  32%  |                                                                              |=======================                                               |  33%  |                                                                              |=======================                                               |  34%  |                                                                              |========================                                              |  34%  |                                                                              |========================                                              |  35%  |                                                                              |=========================                                             |  35%  |                                                                              |=========================                                             |  36%  |                                                                              |==========================                                            |  36%  |                                                                              |==========================                                            |  37%  |                                                                              |==========================                                            |  38%  |                                                                              |===========================                                           |  38%  |                                                                              |===========================                                           |  39%  |                                                                              |============================                                          |  39%  |                                                                              |============================                                          |  40%  |                                                                              |============================                                          |  41%  |                                                                              |=============================                                         |  41%  |                                                                              |=============================                                         |  42%  |                                                                              |==============================                                        |  42%  |                                                                              |==============================                                        |  43%  |                                                                              |==============================                                        |  44%  |                                                                              |===============================                                       |  44%  |                                                                              |===============================                                       |  45%  |                                                                              |================================                                      |  45%  |                                                                              |================================                                      |  46%  |                                                                              |=================================                                     |  46%  |                                                                              |=================================                                     |  47%  |                                                                              |=================================                                     |  48%  |                                                                              |==================================                                    |  48%  |                                                                              |==================================                                    |  49%  |                                                                              |===================================                                   |  49%  |                                                                              |===================================                                   |  50%  |                                                                              |===================================                                   |  51%  |                                                                              |====================================                                  |  51%  |                                                                              |====================================                                  |  52%  |                                                                              |=====================================                                 |  52%  |                                                                              |=====================================                                 |  53%  |                                                                              |=====================================                                 |  54%  |                                                                              |======================================                                |  54%  |                                                                              |======================================                                |  55%  |                                                                              |=======================================                               |  55%  |                                                                              |=======================================                               |  56%  |                                                                              |========================================                              |  56%  |                                                                              |========================================                              |  57%  |                                                                              |========================================                              |  58%  |                                                                              |=========================================                             |  58%  |                                                                              |=========================================                             |  59%  |                                                                              |==========================================                            |  59%  |                                                                              |==========================================                            |  60%  |                                                                              |==========================================                            |  61%  |                                                                              |===========================================                           |  61%  |                                                                              |===========================================                           |  62%  |                                                                              |============================================                          |  62%  |                                                                              |============================================                          |  63%  |                                                                              |============================================                          |  64%  |                                                                              |=============================================                         |  64%  |                                                                              |=============================================                         |  65%  |                                                                              |==============================================                        |  65%  |                                                                              |==============================================                        |  66%  |                                                                              |===============================================                       |  66%  |                                                                              |===============================================                       |  67%  |                                                                              |===============================================                       |  68%  |                                                                              |================================================                      |  68%  |                                                                              |================================================                      |  69%  |                                                                              |=================================================                     |  69%  |                                                                              |=================================================                     |  70%  |                                                                              |=================================================                     |  71%  |                                                                              |==================================================                    |  71%  |                                                                              |==================================================                    |  72%  |                                                                              |===================================================                   |  72%  |                                                                              |===================================================                   |  73%  |                                                                              |===================================================                   |  74%  |                                                                              |====================================================                  |  74%  |                                                                              |====================================================                  |  75%  |                                                                              |=====================================================                 |  75%  |                                                                              |=====================================================                 |  76%  |                                                                              |======================================================                |  76%  |                                                                              |======================================================                |  77%  |                                                                              |======================================================                |  78%  |                                                                              |=======================================================               |  78%  |                                                                              |=======================================================               |  79%  |                                                                              |========================================================              |  79%  |                                                                              |========================================================              |  80%  |                                                                              |========================================================              |  81%  |                                                                              |=========================================================             |  81%  |                                                                              |=========================================================             |  82%  |                                                                              |==========================================================            |  82%  |                                                                              |==========================================================            |  83%  |                                                                              |==========================================================            |  84%  |                                                                              |===========================================================           |  84%  |                                                                              |===========================================================           |  85%  |                                                                              |============================================================          |  85%  |                                                                              |============================================================          |  86%  |                                                                              |=============================================================         |  86%  |                                                                              |=============================================================         |  87%  |                                                                              |=============================================================         |  88%  |                                                                              |==============================================================        |  88%  |                                                                              |==============================================================        |  89%  |                                                                              |===============================================================       |  89%  |                                                                              |===============================================================       |  90%  |                                                                              |===============================================================       |  91%  |                                                                              |================================================================      |  91%  |                                                                              |================================================================      |  92%  |                                                                              |=================================================================     |  92%  |                                                                              |=================================================================     |  93%  |                                                                              |=================================================================     |  94%  |                                                                              |==================================================================    |  94%  |                                                                              |==================================================================    |  95%  |                                                                              |===================================================================   |  95%  |                                                                              |===================================================================   |  96%  |                                                                              |====================================================================  |  96%  |                                                                              |====================================================================  |  97%  |                                                                              |====================================================================  |  98%  |                                                                              |===================================================================== |  98%  |                                                                              |===================================================================== |  99%  |                                                                              |======================================================================|  99%  |                                                                              |======================================================================| 100%

print(dca$TABLE)

## $Overall
##         SP500    R_10Y    DJUBSCOM USDX     FROM     R2      
## SP500   " 6.702" " 7.684" " 5.477" " 1.898" " 7.684" "15.058"
## R_10Y   " 7.781" " 3.097" " 6.193" " 2.003" " 7.781" "15.977"
## TO      " 7.781" " 7.684" "15.465" ""       ""       ""      
## Inc.Own "14.483" "10.780" ""       ""       "TCI"    "R2"    
## NET     " 0.097" "-0.097" ""       ""       "7.732"  "15.518"
## NPT     "1.000"  "0.000"  ""       ""       ""       ""      
## 
## $Contemporaneous
##         SP500    R_10Y    DJUBSCOM USDX    FROM    R2     
## SP500   "0.000"  "6.426"  "1.868"  "0.663" "6.426" "8.957"
## R_10Y   "6.535"  "0.000"  "1.006"  "0.839" "6.535" "8.379"
## TO      " 6.535" " 6.426" "12.961" ""      ""      ""     
## Inc.Own "6.535"  "6.426"  ""       ""      "TCI"   "R2"   
## NET     " 0.109" "-0.109" ""       ""      "6.480" "8.668"
## NPT     "1.000"  "0.000"  ""       ""      ""      ""     
## 
## $Lagged
##         SP500    R_10Y    DJUBSCOM USDX    FROM    R2     
## SP500   "6.702"  "1.258"  "3.609"  "1.235" "1.258" "6.101"
## R_10Y   "1.246"  "3.097"  "5.188"  "1.165" "1.246" "7.598"
## TO      "1.246"  "1.258"  "2.504"  ""      ""      ""     
## Inc.Own "7.949"  "4.354"  ""       ""      "TCI"   "R2"   
## NET     "-0.011" " 0.011" ""       ""      "1.252" "6.850"
## NPT     "0.000"  "1.000"  ""       ""      ""      ""

par(mfrow = c(1, 1), oma = c(0, 0, 0, 0) + 0.5, mar = c(1, 1, 1, 1) + 0.5, mgp = c(1, 0.4, 0))

dates = as.Date(rownames(dca$TCI))
plot(dates, dca$TCIX[, 1], type = "l", xlab="", ylab="", las = 1, xaxs = "i", yaxs = "i", ylim = c(0, 40), tck = -0.01)
grid()
lines(dates, dca$TCIX[, 2], col=2)
lines(dates, dca$TCIX[, 3], col=3)
lines(dates, dca$TCI[, 1], col=1, lty=2)
lines(dates, dca$TCI[, 2], col=2, lty=2)
lines(dates, dca$TCI[, 3], col=3, lty=2)
legend("topright", legend = c("Total", "Contemporaneous", "Lagged"), col = c(1, 2, 3), lty = 1, lwd = 2, bty = "n")
box()