Regional Housing Price Cycles: A Spatio-Temporal Analysis Using Us State Level
We present a study of the effects of macroeconomic shocks on housing prices in the Western United States using quarterly state level data from 1988:1 – 2007:4. The study contributes to the existing literature by explicitly incorporating locational spillovers through a spatial econometric adaptation of vector autoregression (SpVAR). The results suggest these spillovers may Granger cause housing price movements in a large number of cases. SpVAR provides additional insights through impulse response functions that demonstrate the effects of macroeconomic events in different neighboring locations. In addition, we demonstrate that including spatial information leads to significantly lower mean square forecast errors.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 765 494-4191
Fax: 765 494-9176
Web page: http://www.agecon.purdue.edu/
More information through EDIRC
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.:
- Im, K.S. & Pesaran, M.H., 2003. "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics 0347, Faculty of Economics, University of Cambridge.
- Carlos Vargas-Silva, 2008. "The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach," Applied Economics Letters, Taylor & Francis Journals, vol. 15(10), pages 749-752.
- Baffoe-Bonnie, John, 1998. "The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses: A National and Regional Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 17(2), pages 179-97, September.
- N. Apergis & A. Rezitis, 2003.
"Housing prices and macroeconomic factors in Greece: prospects within the EMU,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 10(9), pages 561-565.
- N. Apergis & A. Rezitis, 2003. "Housing prices and macroeconomic factors in Greece: prospects within the EMU," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 799-804.
- Pan, Zheng & LeSage, James P., 1995. "Using spatial contiguity as prior information in vector autoregressive models," Economics Letters, Elsevier, vol. 47(2), pages 137-142, February.
- Di Giacinto, Valter, 2002. "Differential regional effects of monetary policy: a geographical SVAR approach," ERSA conference papers ersa02p257, European Regional Science Association.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Jan Willem van den End & Jan Kakes, 2002.
"De samenhang tussen beurskoersen en huizenprijzen,"
MEB Series (discontinued)
2002-17, Netherlands Central Bank, Monetary and Economic Policy Department.
- Jan Kakes & Jan Willem Van Den End, 2004. "Do stock prices affect house prices? Evidence for the Netherlands," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 741-744.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Ramazan Sari & Bradley T. Ewing & Bahadir Aydin, 2007. "Macroeconomic Variables and the Housing Market in Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(5), pages 5-19, October.
- James McGibany & Farrokh Nourzad, 2004. "Do lower mortgage rates mean higher housing prices?," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 305-313.
- Michael Beenstock & Daniel Felsenstein, 2007. "Spatial Vector Autoregressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 2(2), pages 167-196.
- Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Joshua Gallin, 2006. "The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(3), pages 417-438, 09.
When requesting a correction, please mention this item's handle: RePEc:pae:wpaper:09-04. 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: (Debby Weber)
If references are entirely missing, you can add them using this form.