Spatial Autoregressive Models for House Price Dynamics in Italy

Tiziana Caliman () and Enrico di Bella ()
Additional contact information
Enrico di Bella: Department of Economics and Quantitative Methods - University of Genoa

Economics Bulletin, 2011, vol. 31, issue 2, 1837-1855

Abstract: This paper elaborates a Spatial Autoregressive and Spatial Error Model (SAR-SE Model) to investigate the Italian house price dynamics. House prices in real terms have been modelled for the period 1995-2008 in all the 103 Italian provinces along with affordability ratio, persistency term, some social-economic variables and credit market variables. One of the key results of this paper, is the evidence on house price spatial autocorrelation, verified through the Baltagi, Song and Koh (2003) LM test. On the contrary, no evidence of housing price overvaluation has been found, in comparison with the fundamental values determined by interest rates, households income, rents, employment and construction cost.

Keywords: house prices; fundamentals; mean reversion; serial correlation; spatial dependence (search for similar items in EconPapers)
JEL-codes: C4 R0 (search for similar items in EconPapers)
Date: 2011-06-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P167.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:ebl:ecbull:eb-10-00687

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().