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The Spatial Diffusion of Regional Housing Prices across U.S. States

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  • Ryan Brady

    (United States Naval Academy)

Abstract

In this paper I estimate the spatial diffusion of housing prices across U.S. states over a period from 1975 to 2011, showing how long and to what magnitude state-level housing prices are affected by a price shock emanating from surrounding states. I capture the spatial diffusion of regional housing prices with impulse response functions estimated directly from a single equation spatial autoregressive model. In addition, I compare and contrast spatial impulse response estimates across sub-regions and then over sub-periods. Results show that for the 1975 to 2011 period spatial diffusion of housing prices is statistically significant and persistent across states. Moreover, sub-region estimation shows the spatial diffusion is persistent in the four Census regions for the United States. Sub-period estimation, too, suggests the magnitude and persistence of spatial diffusion may be more pronounced after 1999 than before.

Suggested Citation

  • Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
  • Handle: RePEc:usn:usnawp:45
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    Cited by:

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    8. Yingliang Weng & Pu Gong, 2017. "On price co-movement and volatility spillover effects in China’s housing markets," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 21(3), pages 240-255, July.
    9. Cipollini, Andrea & Parla, Fabio, 2020. "Housing market shocks in italy: A GVAR approach," Journal of Housing Economics, Elsevier, vol. 50(C).
    10. Cynthia Fan Yang, 2021. "Common factors and spatial dependence: an application to US house prices," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 14-50, January.
    11. Gong, Yunlong & Hu, Jinxing & Boelhouwer, Peter J., 2016. "Spatial interrelations of Chinese housing markets: Spatial causality, convergence and diffusion," Regional Science and Urban Economics, Elsevier, vol. 59(C), pages 103-117.
    12. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.
    13. I-Chun Tsai, 2019. "Interregional correlations in the US housing market at three price tiers," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 63(1), pages 1-24, August.
    14. Yunlong Gong & Jan de Haan & Peter Boelhouwer, 2020. "Cross‐city spillovers in Chinese housing markets: From a city network perspective," Papers in Regional Science, Wiley Blackwell, vol. 99(4), pages 1065-1085, August.
    15. Katharina Pijnenburg, 2017. "The spatial dimension of US house prices," Urban Studies, Urban Studies Journal Limited, vol. 54(2), pages 466-481, February.
    16. Morgenroth, Edgar, 2014. "Modelling the Impact of Fundamentals on County Housing Markets in Ireland," MPRA Paper 57665, University Library of Munich, Germany.
    17. Pizzuto, Pietro, 2020. "Regional effects of monetary policy in the U.S.: An empirical re-assessment," Economics Letters, Elsevier, vol. 190(C).
    18. Morgenroth, Edgar, 2018. "Prospects for Irish Regions and Counties: Scenarios and Implications," Research Series, Economic and Social Research Institute (ESRI), number RS70.
    19. Ryan R. Brady, 2021. "Direct Forecasting for Applied Regional Analysis," Departmental Working Papers 67, United States Naval Academy Department of Economics.
    20. Jeffrey P. Cohen & Cletus C. Coughlin & Daniel Soques, 2019. "House Price Growth Interdependencies and Comovement," Working Papers 2019-028, Federal Reserve Bank of St. Louis, revised 11 Jan 2021.
    21. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2019. "A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities," Working Papers in Economics & Finance 2019-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    22. Gábor Márk Pellényi, 2019. "Regional Spillovers in the Hungarian Housing Market: Evidence from a Spatio-Temporal Model," European Economy - Discussion Papers 2015 - 095, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    23. Teye, Alfred Larm & Ahelegbey, Daniel Felix, 2017. "Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 56-64.

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    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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