Co-movement of real estate prices: a study of Brazil’s three largest cities

The objective of the paper is to verify the existence of transmission of residential real estate prices among Brazilian cities. The strategy adopted was to analyze the time series of prices and estimate an Autoregressive Vector Model - VAR for panel data and Granger causality tests for the three largest cities in Brazil (São Paulo, Rio de Janeiro and Belo Horizonte) between the period 2009-2017. The results point out that each local market has the determining power in price formation. However, an important result of the study was to verify transmission relationship between cities.