The Effect of Short-Run Market Expectations on House Prices: A Spatiotemporal Modelling Approach

Jean Dubé, Diègo Legros () and Sotirios Thanos

ERES from European Real Estate Society (ERES)

Abstract: Spatial econometrics has been widely applied to Hedonic Pricing models in the literature to determine spatial spillover effects between house prices in close proximity. An approach is developed here to test for a short-run market expectations effect: the degree to which the expectations of sellers and market intermediaries (e.g. agents, lawyers, and surveyors) affect the final house price. This is the information effect on potential house buyers from asking price setting in the market. We employ a typical dataset composed from sales observations each at a specific location and distinct moment in time. An emerging body of literature demonstrates that the temporal dimension of such data, when ignored, has serious implications for spatial autocorrelation models. By following this approach, we can further utilise the spatiotemporal patterns in such data to successfully decompose the market expectation effects from the typical spatiotemporal spillovers.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2013-01-01
New Economics Papers: this item is included in nep-ure
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