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Measuring the diffusion of housing prices across space and over time

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  • Ryan R. Brady

    ()
    (United States Naval Academy)

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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Bibliographic Info

Paper provided by United States Naval Academy Department of Economics in its series Departmental Working Papers with number 19.

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Length: 29 pages
Date of creation: Aug 2007
Date of revision:
Handle: RePEc:usn:usnawp:19

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Cited by:
  1. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
  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. Francisca G-C Richter & Youngme Seo, 2011. "Inter-regional home price dynamics through the foreclosure crisis," Working Paper 1119, Federal Reserve Bank of Cleveland.
  4. Hans DEWACHTER & Romain HOUSSA & Priscilla TOFFANO, 2010. "Spatial propagation of macroeconomic shocks in Europe," Center for Economic Studies - Discussion papers ces10.12, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  5. Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
  6. J. Elhorst, 2012. "Dynamic spatial panels: models, methods, and inferences," Journal of Geographical Systems, Springer, vol. 14(1), pages 5-28, January.
  7. 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.

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