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The Long-Run Relationship among Regional Housing Prices: An Empirical Analysis of the U.S

  • Payne, James E.

This empirical study tests the ripple effect and the long-run convergence associated with the dynamics of U.S. regional housing prices using the ARDL bounds testing approach and seasonally-adjusted monthly data from 1991:1 to 2010:12 for the nine U.S. census regions. The results support the presence of the ripple effect across regional housing markets and the long-run convergence of regional housing prices. However, the results reveal variation in the degree to which changes in regional housing prices differ across different regions in both the short run and long run. The speed of adjustment toward long-run equilibrium also varies across regions as well.

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File URL: http://purl.umn.edu/143762
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Article provided by Mid-Continent Regional Science Association in its journal Journal of Regional Analysis and Policy.

Volume (Year): 42 (2012)
Issue (Month): 1 ()
Pages:

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Handle: RePEc:ags:jrapmc:143762
Contact details of provider: Web page: http://jrap-journal.org/index.htm

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  1. Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers 2009-05, University of Connecticut, Department of Economics, revised Jun 2009.
  2. Mei-Se Chien, 2010. "Structural Breaks and the Convergence of Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 77-88, January.
  3. Tirtiroglu, Dogan, 1992. "Efficiency in housing markets: Temporal and spatial dimensions," Journal of Housing Economics, Elsevier, vol. 2(3), pages 276-292, September.
  4. Rangan Gupta & Stephen M. Miller, 2009. "The Time-Series Properties of House Prices: A Case Study of the Southern California Market," Working Papers 0912, University of Nevada, Las Vegas , Department of Economics, revised Dec 2009.
  5. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," Proceedings: 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  6. S. Cook & C. Thomas, 2003. "An alternative approach to examining the ripple effect in UK house prices," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 849-851.
  7. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  8. Steven Clark & T. Coggin, 2009. "Trends, Cycles and Convergence in U.S. Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 264-283, October.
  9. Steven Cook, 2005. "Detecting long-run relationships in regional house prices in the UK," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(1), pages 107-118.
  10. Clapp, John M. & Tirtiroglu, Dogan, 1994. "Positive feedback trading and diffusion of asset price changes: Evidence from housing transactions," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 337-355, August.
  11. Mark J. Holmes & Arthur Grimes, 2008. "Is There Long-run Convergence among Regional House Prices in the UK?," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1531-1544, July.
  12. McDonald, Ronald & Taylor, Mark P, 1993. "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
  13. Nicholas Apergis & James Payne, 2012. "Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure," Letters in Spatial and Resource Sciences, Springer, vol. 5(2), pages 103-111, July.
  14. Bewley, R. A., 1979. "The direct estimation of the equilibrium response in a linear dynamic model," Economics Letters, Elsevier, vol. 3(4), pages 357-361.
  15. Ashworth, John & Parker, Simon C, 1997. "Modelling Regional House Prices in the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(3), pages 225-46, August.
  16. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research.
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