Advanced Search
MyIDEAS: Login to save this article or follow this journal

House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia

Contents:

Author Info

  • Caliman, Tiziana

    ()
    (Università di Genova, Dipartimento di Economia e Metodi Quantitativi)

  • Di Bella, Enrico

    ()
    (Università di Genova, Dipartimento di Economia e Metodi Quantitativi)

Abstract

Recently housing markets have played a crucial role in macroeconomic developments. Optimistic housing markets have contributed to sustained economic activity in most OECD countries during the first years of the 2000s. Nevertheless many markets overheated and the collapse of the US subprime mortgage market has been at the epicentre of a deep financial and economic crisis. Against this background, this paper analyses the Italian exposure to a possible house price bust. A Spatial Autoregressive and Spatial Error Model (SAR-SE Model) was used to investigate Italian house price dynamics. House prices in real terms were modelled for the period 1994- 2008 in all Italian provinces along with affordability ratio, persistency term, some social-economic variables and credit market variables. This prevented national-level data hiding important differences between housing submarkets. In other words the house price booms in many cities could have been mitigated by the dynamics in other cities, resulting in a biased global national effect. House prices are inherently a local phenomenon and, therefore in order to evaluate the existence of a house price boom at national level, data must be analysed at local level. The results of the paper support the evidence on house price spatial autocorrelation, verified through the Baltagi et al. (2003) LM test. Hence the decision to use the spatial model is correct. No evidence of housing price overvaluation in Italy was found, in comparison with the fundamental values determined by interest rates, household income, rents, employment and construction cost. - Recentemente il settore immobiliare ha rivestito un ruolo cruciale nello sviluppo macroeconomico, avendo sostenuto dal 2000 al 2005 l’economia in molti paesi OECD. Tuttavia le rivalutazioni in alcuni casi hanno determinato un notevole disallineamento delle quotazioni rispetto all’andamento dei fondamentali, potendosi dunque configurare una bolla immobiliare. La crisi innescata dai mutui subprime statunitensi ha rappresentato l’epicentro della crisi globale finanziaria ed economica che ha travolto numerosi paesi e in molti casi si è accompagnata allo scoppio delle rispettive bolle immobiliari. A fronte di questo background, il presente lavoro analizza l’esposizione dell’Italia al crollo dei valori immobiliari. A tal fine si è sviluppato un modello auto regressivo spazialmente ritardato con errori spaziali (SAR-SE Model) per indagare la dinamica dei prezzi delle abitazioni in Italia. Le quotazioni delle province italiane in termini reali dal 1994 al 2008 sono state regredite sull’affordability ratio, un fattore di persistenza, nonché alcune variabili socioeconomiche e taluni regressori che caratterizzano il settore creditizio. L’utilizzo di tali dati, a livello disaggregato, permette di evitare che si trascurino le rilevanti differenze che contraddistinguono i sottomercati immobiliari. In altre parole, il boom immobiliare potrebbe configurarsi solo in alcune città e, qualora si utilizzassero dati nazionali aggregati, suddetti boom facilmente sarebbero mitigati dalla dinamica registrata in altre città, generando un errore nella stima dell’effetto globale. Le quotazioni immobiliari sono infatti un fenomeno prettamente locale: pertanto, onde valutare l’esistenza o meno di un boom a livello nazionale, le dinamiche dei prezzi devono essere analizzate a livello locale. I risultati del paper confermano l’esistenza di autocorrelazione spaziale dei valori immobiliari, verificata attraverso il Lagrange Multiplier test sviluppato da Baltagi et al. (2003). Ne deriva che l’utilizzo di un modello spaziale risulti corretto. I risultati empirici inoltre confermano l’assenza di sopravvalutazione delle quotazioni immobiliari rispetto all’andamento dei fondamentali come tasso di interesse, reddito, dinamica degli affitti, occupazione e costo di costruzione.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.

Volume (Year): 64 (2011)
Issue (Month): 1 ()
Pages: 37-65

as in new window
Handle: RePEc:ris:ecoint:0608

Contact details of provider:
Postal: Via Garibaldi 4, 16124 Genova, Italy
Phone: +39 010 27041
Fax: +39 010 2704222
Email:
Web page: http://www.ge.camcom.it/IT/Tool/Modulistica
More information through EDIRC

Related research

Keywords: House Prices; Fundamentals; Mean Reversion; Serial Correlation; Spatial Dependence;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, Elsevier, vol. 118(1-2), pages 27-50.
  2. Baltagi, Badi H. & Chang, Young-Jae & Li, Qi, 1992. "Monte Carlo results on several new and existing tests for the error component model," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 95-120.
  3. Egger, Peter & Larch, Mario & Pfaffermayr, Michael & Walde, Janette, 2009. "Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 39(6), pages 670-678, November.
  4. Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc.
  5. Bronars, Stephen G. & Jansen, Dennis W., 1987. "The geographic distribution of unemployment rates in the U.S. : A spatial-time series analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 36(3), pages 251-279, November.
  6. Nathalie Girouard & Mike Kennedy & Paul van den Noord & Christophe André, 2006. "Recent House Price Developments: The Role of Fundamentals," OECD Economics Department Working Papers 475, OECD Publishing.
  7. Robert J. Shiller, 2007. "Understanding Recent Trends in House Prices and Home Ownership," NBER Working Papers 13553, National Bureau of Economic Research, Inc.
  8. Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002. "Testing Panel Data Regression Models with Spatial Error Correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data B6-4, International Conferences on Panel Data.
  9. L Hordijk & P Nijkamp, 1977. "Dynamic models of spatial autocorrelation," Environment and Planning A, Pion Ltd, London, vol. 9(5), pages 505-519, May.
  10. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002. "Determinants of Real House Price Dynamics," NBER Working Papers 9262, National Bureau of Economic Research, Inc.
  11. Tiziana Caliman, 2009. "The risk of falling house prices in Italy," International Review of Economics, Springer, Springer, vol. 56(4), pages 401-423, December.
  12. Jonathan McCarthy & Richard W. Peach, 2004. "Are home prices the next "bubble"?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 1-17.
  13. Elhorst, J. Paul, 2008. "Serial and spatial error correlation," Economics Letters, Elsevier, Elsevier, vol. 100(3), pages 422-424, September.
  14. Stephen Malpezzi, . "Hedonic Pricing Models: A Selective and Applied Review," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research 02-05, University of Wisconsin Center for Urban Land Economic Research.
  15. Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 19(4), pages 67-92, Fall.
  16. Andrea Finicelli, 2007. "House price developments and fundamentals in the United States," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 7, Bank of Italy, Economic Research and International Relations Area.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0608. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Procopio).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.