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U.S. metropolitan house price dynamics

Elias Oikarinen, Steven Bourassa (), Martin Hoesli and Janne Engblom

Journal of Urban Economics, 2018, vol. 105, issue C, 54-69

Abstract: Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences and analyze the relationship between the price elasticity of housing supply and the income elasticity of prices, as well as bubble size and duration. The long-term elasticity of house prices with respect to aggregate personal income averages 0.81, but varies considerably across metropolitan areas. The long-term income elasticity generally is greater in the more supply-inelastic metropolitan areas, and we show that bubble size and duration are inversely related to supply elasticity. Also short-term momentum and reversion dynamics show substantial spatial heterogeneity.

Keywords: House prices; Dynamics; Panel data; Spatial heterogeneity; Spatial dependence; Bubbles (search for similar items in EconPapers)
JEL-codes: C33 R15 R31 (search for similar items in EconPapers)
Date: 2018
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Working Paper: U.S. Metropolitan House Price Dynamics (2017) Downloads
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