Heterogeneity in house price dynamics
To what extent do house price dynamics differ across market segments? And what determines this heterogeneity? We address these questions by analysing a data set of individual houses and mortgages, based on a survey of about 2,000 Dutch households over the period 2003-2011. We estimate a dynamic panel data model of house price dynamics by means of the Arellano-Bond estimator. Three main empirical results emerge. First, we generally find that house price dynamics imply a convergence towards their long-run equilibrium value, as indicated by a negative serial correlation coefficient and a positive estimated mean reversion coefficient. Second, there is evidence that the housing market in the Netherlands is inefficient. Third, there is important heterogeneity across different market segments. We document that the speed of convergence of house price dynamics and the efficiency of housing markets depends on the geographical location and degree of urbanization, the type and year of construction of a house, the type of mortgage financing and households' sentiment about the medium-term outlook for income.
|Date of creation:||Feb 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.dnb.nl/en/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bal�zs �gert & Dubravko Mihaljek, 2007.
"Determinants of House Prices in Central and Eastern Europe,"
Comparative Economic Studies,
Palgrave Macmillan, vol. 49(3), pages 367-388, September.
- Balazs Egert & Dubravko Mihaljek, 2007. "Determinants of House Prices in Central and Eastern Europe," William Davidson Institute Working Papers Series wp894, William Davidson Institute at the University of Michigan.
- Balazs Egert & Dubravko Mihaljek, 2008. "Determinants of House Prices in Central and Eastern Europe," Working Papers 2008/1, Czech National Bank, Research Department.
- Balázs Égert & Dubravko Mihaljek, 2007. "Determinants of house prices in central and eastern Europe," BIS Working Papers 236, Bank for International Settlements.
- Balázs Egert & Dubravko Mihaljek, 2007. "Determinants of House Prices in Central and Eastern Europe," CESifo Working Paper Series 2152, CESifo Group Munich.
- Agnello, Luca & Schuknecht, Ludger, 2011.
"Booms and busts in housing markets: Determinants and implications,"
Journal of Housing Economics,
Elsevier, vol. 20(3), pages 171-190, September.
- Agnello, Luca & Schuknecht, Ludger, 2009. "Booms and busts in housing markets: determinants and implications," Working Paper Series 1071, European Central Bank.
- Frederic S. Mishkin, 2007.
"Housing and the monetary transmission mechanism,"
Finance and Economics Discussion Series
2007-40, Board of Governors of the Federal Reserve System (U.S.).
- Frederic S. Mishkin, 2007. "Housing and the monetary transmission mechanism," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 359-413.
- Davis, E. Philip & Zhu, Haibin, 2011.
"Bank lending and commercial property cycles: Some cross-country evidence,"
Journal of International Money and Finance,
Elsevier, vol. 30(1), pages 1-21, February.
- E. Philip Davis & Haibin Zhu, 2004. "Bank lending and commercial property cycles: some cross-country evidence," BIS Working Papers 150, Bank for International Settlements.
- Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005.
"Assessing High House Prices: Bubbles, Fundamentals and Misperceptions,"
Journal of Economic Perspectives,
American Economic Association, vol. 19(4), pages 67-92, Fall.
- Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing high house prices: bubbles, fundamentals, and misperceptions," Staff Reports 218, Federal Reserve Bank of New York.
- Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions," NBER Working Papers 11643, National Bureau of Economic Research, Inc.
- Jonathan McCarthy & Richard W. Peach, 2002. "Monetary policy transmission to residential investment," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 139-158.
- Gao, Andre & Lin, Zhenguo & Na, Carrie Fangzhou, 2009. "Housing market dynamics: Evidence of mean reversion and downward rigidity," Journal of Housing Economics, Elsevier, vol. 18(3), pages 256-266, September.
- Muellbauer, John & Murphy, Anthony, 1997.
"Booms and Busts in the UK Housing Market,"
Royal Economic Society, vol. 107(445), pages 1701-27, November.
- Mark J. Garmaise, 2004. "Confronting Information Asymmetries: Evidence from Real Estate Markets," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 405-437.
- Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack, 2004. "An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 1-32, 03.
- Paul Louis Ceriel Hilbers & Lisbeth Zacho & Qin Lei, 2001. "Real Estate Market Developments and Financal Sector Soundness," IMF Working Papers 01/129, International Monetary Fund.
- Matteo Iacoviello & Raoul Minetti, 2003.
"Financial Liberalization And The Sensitivity Of House Prices To Monetary Policy: Theory And Evidence,"
University of Manchester, vol. 71(1), pages 20-34, January.
- Matteo Iacoviello & Raoul Minetti, 2002. "Financial Liberalisation and the Sensitivity of House Prices to Monetary Policy: Theory and Evidence," Boston College Working Papers in Economics 538, Boston College Department of Economics.
- Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Determinants of house prices in nine Asia-Pacific economies," BIS Working Papers 263, Bank for International Settlements.
- Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(2), pages 277-97, April.
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Laura Berger-Thomson & Luci Ellis, 2004.
"Housing Construction Cycles and Interest Rates,"
RBA Research Discussion Papers
rdp2004-08, Reserve Bank of Australia.
- Richard J. Herring & Susan Wachter, 1999. "Real Estate Booms and Banking Busts: An International Perspective," Center for Financial Institutions Working Papers 99-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002. "Determinants of Real House Price Dynamics," NBER Working Papers 9262, National Bureau of Economic Research, Inc.
- Christoph Duenwald, 2000. "Property Prices and Speculative Bubbles; Evidence From Hong Kong SAR," IMF Working Papers 00/2, International Monetary Fund.
- Capozza, Dennis R. & Mack, Charlotte & Hendershott, Patric H. & Mayer, Christopher J., 2002. "The Determinants of House Price Dynamics," ERES eres2002_106, European Real Estate Society (ERES).
- Kostas Tsatsaronis & Haibin Zhu, 2004. "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
- Arturo Estrella, 2002. "Securitization and the efficacy of monetary policy," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 243-255.
- Federica Teppa & Corrie Vis, 2012. "The CentERpanel and the DNB Household Survey: Methodological Aspects," DNB Occasional Studies 1004, Netherlands Central Bank, Research Department.
When requesting a correction, please mention this item's handle: RePEc:dnb:dnbwpp:371. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.