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Dwelling Price Dynamics in Paris, France

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  • Meese, Richard A.
  • Wallace, Nancy E.

Abstract

Using transaction level data for dwellings in Paris, France over the period 1986-92, we find evidence consistent with the hypothesis that economic fundamentals constrain movements in Parisian dwelling prices over longer term horizons. The conclusion is based on the results of two different procedures for estimating an error correction model of housing prices based on supply and demand fundamentals. The error correction models suggest that the speed of adjustment in the Paris dwelling market is about 30% per month. The paper also introduces a new econometric methodology that permits simultaneous estimation of the parameters of a dynamic hedonic price model, the price index, and the parameters of a structural model for housing prices. The new methodology is compared with the more traditional two-step procedure of first estimating a price index, and then using the estimated index in subsequent structural modeling.

Suggested Citation

  • Meese, Richard A. & Wallace, Nancy E., 1998. "Dwelling Price Dynamics in Paris, France," Berkeley Program on Housing and Urban Policy, Working Paper Series qt62m2s40t, Berkeley Program on Housing and Urban Policy.
    • Handle: RePEc:cdl:bphupl:qt62m2s40t
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    References listed on IDEAS

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    7. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    11. Richard Meese & Nancy Wallace, 1991. "Nonparametric Estimation of Dynamic Hedonic Price Models and the Construction of Residential Housing Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 308-332, September.
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    14. Meese, Richard A & Wallace, Nancy E, 1997. "The Construction of Residential Housing Price Indices: A Comparison of Repeat-Sales, Hedonic-Regression and Hybrid Approaches," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 51-73, Jan.-Marc.
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    Cited by:

    1. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2011. "A repeat sales index robust to small datasets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 29(1), pages 35-48, February.
    2. Fabrice Barthélémy & Alessandra Michelangeli & Alain Trannoy, 2007. "La rénovation de la Goutte d'Or est-elle un succès ?. Un diagnostic à l'aide d'indices de prix immobilier," Economie & Prévision, La Documentation Française, vol. 0(4), pages 107-126.

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