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Measuring the persistence of spatial autocorrelation: How long does the spatial connection between housing markets last?

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Ryan R. Brady () (United States Naval Academy)

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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 linear projections to a spatial autoregressive model of housing prices. For a dynamic panel of California counties, the data reveal that spatial autocorrelation between regional housing prices is highly persistent over time, lasting up to two and half years. This result, and the econometric techniques employed, should be of interest to not only housing and regional economists, but to a variety of applied econometricians as well.

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File URL: http://www.usna.edu/EconDept/RePEc/usn/wp/usnawp19.pdf
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Paper provided by United States Naval Academy Department of Economics in its series Departmental Working Papers with number 19.

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Length: 34 pages
Date of creation: Aug 2007
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Handle: RePEc:usn:usnawp:19

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  17. Gerald Carlino & Robert Defina, 1998. "The Differential Regional Effects Of Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 572-587, November. [Downloadable!] (restricted)
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  20. Min Hwang & John Quigley, 2006. "Economic Fundamentals in Local Housing Markets: Evidence from U.S. Metropolitan Regions," Berkeley Program on Housing and Urban Policy, Working Paper Series 1050, Berkeley Program on Housing and Urban Policy. [Downloadable!]
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  21. Karl Case & John Quigley & Robert Shiller, 2005. "Comparing Wealth Effects: The Stock Market versus the Housing Market," Advances in Macroeconomics, Berkeley Electronic Press, vol. 5(1), pages 1235-1235. [Downloadable!] (restricted)
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  22. Engelhardt, Gary V., 1996. "House prices and home owner saving behavior," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 313-336, June. [Downloadable!] (restricted)
  23. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January. [Downloadable!] (restricted)
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