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Spatial Autoregressive Models for House Price Dynamics in Italy

Author

Listed:
  • Tiziana Caliman

    (Department of Economics and Quantitative Methods - University of Genoa)

  • Enrico di Bella

    (Department of Economics and Quantitative Methods - University of Genoa)

Abstract

This paper elaborates a Spatial Autoregressive and Spatial Error Model (SAR-SE Model) to investigate the Italian house price dynamics. House prices in real terms have been modelled for the period 1995-2008 in all the 103 Italian provinces along with affordability ratio, persistency term, some social-economic variables and credit market variables. One of the key results of this paper, is the evidence on house price spatial autocorrelation, verified through the Baltagi, Song and Koh (2003) LM test. On the contrary, no evidence of housing price overvaluation has been found, in comparison with the fundamental values determined by interest rates, households income, rents, employment and construction cost.

Suggested Citation

  • Tiziana Caliman & Enrico di Bella, 2011. "Spatial Autoregressive Models for House Price Dynamics in Italy," Economics Bulletin, AccessEcon, vol. 31(2), pages 1837-1855.
    • Handle: RePEc:ebl:ecbull:eb-10-00687
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    References listed on IDEAS

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    Cited by:

    1. Bianca Biagi & Maria Giovanna Brandano & Steven B. Caudill, 2016. "Tourism and house prices in Italy," Tourism Economics, , vol. 22(5), pages 964-978, October.
    2. Bianca Biagi & Maria G. Brandano & Dionysia Lambiri, 2015. "Does Tourism Affect House Prices? Evidence from Italy," Growth and Change, Wiley Blackwell, vol. 46(3), pages 501-528, September.
    3. Stanley McGreal & Paloma Taltavull de La Paz, 2013. "Implicit House Prices: Variation over Time and Space in Spain," Urban Studies, Urban Studies Journal Limited, vol. 50(10), pages 2024-2043, August.
    4. Samantha Leorato & Maura Mezzetti, 2015. "Spatial Panel Data Model with error dependence: a Bayesian Separable Covariance Approach," CEIS Research Paper 338, Tor Vergata University, CEIS, revised 09 Apr 2015.
    5. B. Biagi & MG. Brandano & D. Lambiri, 2012. "Does tourism affect house prices? Some evidence from Italy," Working Paper CRENoS 201227, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

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    More about this item

    Keywords

    house prices; fundamentals; mean reversion; serial correlation; spatial dependence;
    All these keywords.

    JEL classification:

    • R0 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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