Regional Housing Price Cycles: A Spatio-Temporal Analysis Using Us State Level
AbstractWe present a study of the effects of macroeconomic shocks on housing prices in the Western United States using quarterly state level data from 1988:1 – 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 neighboring locations. In addition, we demonstrate that including spatial information leads to significantly lower mean square forecast errors.
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Bibliographic InfoPaper provided by Purdue University, College of Agriculture, Department of Agricultural Economics in its series Working Papers with number 09-04.
Date of creation: 2009
Date of revision:
Housing prices; VAR; spatial econometrics;
Find related papers by JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-13 (All new papers)
- NEP-GEO-2009-04-13 (Economic Geography)
- NEP-MAC-2009-04-13 (Macroeconomics)
- NEP-URE-2009-04-13 (Urban & Real Estate Economics)
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