Ripple effects in New Zealand regional rent prices: Evidence from the contemporaneous and lagged R2$^2$‐decomposed connectedness approach with exogenous input

This study investigates regional rent spillovers across 16 New Zealand regions from February 1993 to December 2024. Using a novel R2$^2$ decomposed connectedness approach with exogenous inputs, we measure contemporaneous and lagged rent interdependencies and examine both endogenous and exogenous effects. Results show that the market risk in the regional rent sector varies over time and responds to major economic events. Contemporaneous and lagged interdependence contribute equally to the market risk of the rental markets. Exogenous factors significantly enhance explanatory power, particularly in Canterbury and Auckland. Key net transmitters of rent shocks include Canterbury and the Golden Triangle, comprising Auckland, Bay of Plenty, and Waikato, while Otago and other regions act primarily as net receivers. We also explore spatial spillovers across rental price tiers, highlighting variations between high and low‐cost rental markets. These findings provide valuable insights into regional housing market dynamics and inform policy interventions.