The Spatial Dimension of US House Price Developments

Katharina Pijnenburg

No 1270, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: Spatial heterogeneity and spatial dependence are two well established aspects of house price developments. However, the analysis of differences in spatial dependence across time and space has not gained much attention yet. In this paper we jointly analyze these three aspects of spatial data. We apply a panel smooth transition regression model that allows for heterogeneity across time and space in spatial house price spillovers and for heterogeneity in the effect of the fundamentals on house price dynamics. We find evidence for heterogeneity in spatial spillovers of house price developments across space and time: house price developments in neighboring regions spill over stronger in times of increasing neighboring house prices compared to declining neighboring house prices. This is interpreted as evidence for the disposition effect. Moreover, heterogeneity in the effect of the fundamentals on house price dynamics could not be detected for all variables; real per capita disposable income and the unemployment rate have a homogeneous effect across time and space.

Keywords: Heterogeneity in spatial dependence; Panel smooth transition regression; housing prices; disposition effect (search for similar items in EconPapers)
JEL-codes: C23 R12 R31 (search for similar items in EconPapers)
Pages: 26 p.
Date: 2013
New Economics Papers: this item is included in nep-geo and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.415993.de/dp1270.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1270

Access Statistics for this paper

More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().