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House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia


  • Caliman, Tiziana

    () (Università di Genova, Dipartimento di Economia e Metodi Quantitativi)

  • Di Bella, Enrico

    () (Università di Genova, Dipartimento di Economia e Metodi Quantitativi)


Recently housing markets have played a crucial role in macroeconomic developments. Optimistic housing markets have contributed to sustained economic activity in most OECD countries during the first years of the 2000s. Nevertheless many markets overheated and the collapse of the US subprime mortgage market has been at the epicentre of a deep financial and economic crisis. Against this background, this paper analyses the Italian exposure to a possible house price bust. A Spatial Autoregressive and Spatial Error Model (SAR-SE Model) was used to investigate Italian house price dynamics. House prices in real terms were modelled for the period 1994- 2008 in all Italian provinces along with affordability ratio, persistency term, some social-economic variables and credit market variables. This prevented national-level data hiding important differences between housing submarkets. In other words the house price booms in many cities could have been mitigated by the dynamics in other cities, resulting in a biased global national effect. House prices are inherently a local phenomenon and, therefore in order to evaluate the existence of a house price boom at national level, data must be analysed at local level. The results of the paper support the evidence on house price spatial autocorrelation, verified through the Baltagi et al. (2003) LM test. Hence the decision to use the spatial model is correct. No evidence of housing price overvaluation in Italy was found, in comparison with the fundamental values determined by interest rates, household income, rents, employment and construction cost. - Recentemente il settore immobiliare ha rivestito un ruolo cruciale nello sviluppo macroeconomico, avendo sostenuto dal 2000 al 2005 l’economia in molti paesi OECD. Tuttavia le rivalutazioni in alcuni casi hanno determinato un notevole disallineamento delle quotazioni rispetto all’andamento dei fondamentali, potendosi dunque configurare una bolla immobiliare. La crisi innescata dai mutui subprime statunitensi ha rappresentato l’epicentro della crisi globale finanziaria ed economica che ha travolto numerosi paesi e in molti casi si è accompagnata allo scoppio delle rispettive bolle immobiliari. A fronte di questo background, il presente lavoro analizza l’esposizione dell’Italia al crollo dei valori immobiliari. A tal fine si è sviluppato un modello auto regressivo spazialmente ritardato con errori spaziali (SAR-SE Model) per indagare la dinamica dei prezzi delle abitazioni in Italia. Le quotazioni delle province italiane in termini reali dal 1994 al 2008 sono state regredite sull’affordability ratio, un fattore di persistenza, nonché alcune variabili socioeconomiche e taluni regressori che caratterizzano il settore creditizio. L’utilizzo di tali dati, a livello disaggregato, permette di evitare che si trascurino le rilevanti differenze che contraddistinguono i sottomercati immobiliari. In altre parole, il boom immobiliare potrebbe configurarsi solo in alcune città e, qualora si utilizzassero dati nazionali aggregati, suddetti boom facilmente sarebbero mitigati dalla dinamica registrata in altre città, generando un errore nella stima dell’effetto globale. Le quotazioni immobiliari sono infatti un fenomeno prettamente locale: pertanto, onde valutare l’esistenza o meno di un boom a livello nazionale, le dinamiche dei prezzi devono essere analizzate a livello locale. I risultati del paper confermano l’esistenza di autocorrelazione spaziale dei valori immobiliari, verificata attraverso il Lagrange Multiplier test sviluppato da Baltagi et al. (2003). Ne deriva che l’utilizzo di un modello spaziale risulti corretto. I risultati empirici inoltre confermano l’assenza di sopravvalutazione delle quotazioni immobiliari rispetto all’andamento dei fondamentali come tasso di interesse, reddito, dinamica degli affitti, occupazione e costo di costruzione.

Suggested Citation

  • Caliman, Tiziana & Di Bella, Enrico, 2011. "House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 64(1), pages 37-65.
  • Handle: RePEc:ris:ecoint:0608

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    References listed on IDEAS

    1. Tiziana Caliman, 2009. "The risk of falling house prices in Italy," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(4), pages 401-423, December.
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    More about this item


    House Prices; Fundamentals; Mean Reversion; Serial Correlation; Spatial Dependence;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets


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