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Regional Housing Price Cycles: A Spatio-temporal Analysis Using US State-level Data

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  • Todd Kuethe
  • Valerien Pede

Abstract

Kuethe T. H. and Pede V. O. Regional housing price cycles: a spatio-temporal analysis using US state-level data, Regional Studies. A study is presented of the effects of macroeconomic shocks on housing prices in the Western United States using quarterly state-level data from 1988:1 to 2007:4. The study contributes to the existing literature by explicitly incorporating locational spillovers through a spatial econometric adaptation of vector autoregression (SpVAR). The results suggest these spillovers may Granger cause housing price movements in a large number of cases. SpVAR provides additional insights through impulse response functions that demonstrate the effects of macroeconomic events in different neighbouring locations. In addition, it is demonstrated that including spatial information leads to significantly lower mean-square forecast errors. [image omitted] Kuethe T. H. et Pede V. O. La variation cyclique regionale du prix du logement: une analyse geographico-temporelle des donnees sur les etats aux E-U, Regional Studies. A partir des donnees trimestrielles au premier trimestre de 1988 jusqu'au quatrieme trimestre de 2007, on presente ici une etude des effets des chocs macroeconomiques sur le prix du logement dans le sud-ouest des Etats-Unis. L'etude contribue a la documentation actuelle en incorporant explicitement les retombees geographiques par moyen d'une adaptation spatiale econometrique de l'autoregression vectorielle (spVAR). Les resultats laissent supposer que ces retombees pourraient entrainer une variation du prix du logement en de nombreuses situations. SpVAR fournit des apercus supplementaires par moyen des fonctions de reponse spontanee qui montrent l'impact des chocs macroeconomqiues dans divers endroits voisins. En plus, on demontre que l'inclusion des donnees spatiales reduit sensiblement les erreurs quadratiques moyennes prevues. Prix du logment Autoregression vectorielle Econometrie spatiale Kuethe T. H. und Pede V. O. Regionale Hauspreiszyklen: eine raumlich-zeitliche Analyse von Daten auf US-Bundesstaatsebene, Regional Studies. In dieser Studie verdeutlichen wir mit Hilfe von Quartalsdaten auf Bundesstaatsebene im Zeitraum vom ersten Quartal 1988 bis zum vierten Quartal 2007 die Auswirkungen makrookonomischer Schocks auf die Hauspreise im Westen der USA. Die Studie tragt zur vorhandenen Literatur bei, indem sie standortspezifische Ubertragungen mit Hilfe einer raumlichen okonometrischen Anpassung der Vektor-Autoregression (SpVAR) explizit einbezieht. Aus den Ergebnissen geht hervor, dass diese Ubertragungen in vielen Fallen Granger-kausal auf Veranderungen bei den Hauspreisen wirken konnen. Die SpVAR bietet zusatzliche Einblicke in Form von Impulsantwort-Funktionen, die die Auswirkungen makrookonomischer Ereignisse in verschiedenen angrenzenden Standorten nachweisen. Zusatzlich wird nachgewiesen, dass die Einbeziehung raumlicher Informationen zu signifikant niedrigeren mittleren quadratischen Prognosefehlern fuhrt. Hauspreise Vektorautoregression (VAR) Raumliche Okonometrie Kuethe T. H. y Pede V. O. Ciclos en los precios de la vivienda a nivel regional: un analisis espacio-temporal usando datos estatales de los Estados Unidos, Regional Studies. Con ayuda de datos trimestrales a nivel estatal de 1988:1 a 2007:4, presentamos un estudio sobre los efectos de los choques macroeconomicos en los precios de la vivienda en la zona occidental de los Estados Unidos. El estudio contribuye a la literatura existente al incorporar explicitamente los desbordamientos de ubicacion a traves de una adaptacion econometrica espacial de la autorregresion vectorial (SpVAR). Los resultados indican que estos desbordamientos segun la causalidad de Granger podrian causar movimientos en los precios de la vivienda en un gran numero de casos. La SpVAR proporciona nuevas perspectivas a traves de funciones de respuesta de impulsos que demuestran los efectos de los sucesos macroeconomicos en diferentes lugares proximos. Ademas, demostramos que incluyendo informacion espacial conduce significativamente a menos errores en los pronosticos de valor medio cuadratico. Precios de la vivienda Autorregresion vectorial (VAR) Factores econometricos espaciales

Suggested Citation

  • Todd Kuethe & Valerien Pede, 2011. "Regional Housing Price Cycles: A Spatio-temporal Analysis Using US State-level Data," Regional Studies, Taylor & Francis Journals, vol. 45(5), pages 563-574.
    • Handle: RePEc:taf:regstd:v:45:y:2011:i:5:p:563-574
    DOI: 10.1080/00343400903497897
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