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Measuring the diffusion of housing prices across space and over time

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  • Ryan R. Brady

Abstract

How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring impulse response functions from local projections to a spatial autoregressive model of housing prices. For a dynamic panel of California counties, the data reveal that the diffusion of regional housing prices across space lasts up to two and half years. This result, and the econometric techniques employed, should be of interest not only to housing and regional economists, but to a variety of applied econometricians as well. Copyright (C) 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.1118
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 26 (2011)
Issue (Month): 2 (March)
Pages: 213-231

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Handle: RePEc:wly:japmet:v:26:y:2011:i:2:p:213-231

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Cited by:
  1. Julian Ramajo & Miguel A. Marquez & Geoffrey J.D. Hewings, 2013. "Spatio-temporal Analysis of Regional Systems: A Multiregional Spatial Vector Autoregressive Model for Spain," ERSA conference papers ersa13p159, European Regional Science Association.
  2. Katharina Pijnenburg, 2013. "The Spatial Dimension of US House Price Developments," Discussion Papers of DIW Berlin 1270, DIW Berlin, German Institute for Economic Research.
  3. Romain Houssa, 2010. "Spatial Propagation of Macroeconomic Shocks in Europe," Working Papers, University of Namur, Department of Economics 1009, University of Namur, Department of Economics.
  4. Francisca G-C Richter & Youngme Seo, 2011. "Inter-regional home price dynamics through the foreclosure crisis," Working Paper, Federal Reserve Bank of Cleveland 1119, Federal Reserve Bank of Cleveland.
  5. Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers, United States Naval Academy Department of Economics 45, United States Naval Academy Department of Economics.
  6. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
  7. J. Elhorst, 2012. "Dynamic spatial panels: models, methods, and inferences," Journal of Geographical Systems, Springer, Springer, vol. 14(1), pages 5-28, January.

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