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The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004–Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.

acta physica polonica. a

Examination of the International Causal Directions between Rates of Return on the Price Indices of the Selected Real Estate Markets in the CEE Region Using Wavelet Analysis