Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach
Alfred Larm Teye and
Daniel Felix Ahelegbey ()
Regional Science and Urban Economics, 2017, vol. 65, issue C, 56-64
Following the 2007–08 Global Financial Crisis, there has been a growing research interest on the spatial interrelationships between house prices in many countries. This paper examines the spatio-temporal relationship between house prices in the twelve provinces of the Netherlands using a recently proposed econometric modelling technique called the Bayesian Graphical Vector Autoregression (BG-VAR). This network approach is suitable for analysing the complex spatial interactions between house prices. It enables a data-driven identification of the most dominant provinces where temporal house price shocks may largely diffuse through the housing market. Using temporal house price volatilities for owner-occupied dwellings from 1995Q1 to 2016Q1, the results show evidence of temporal dependence and house price diffusion patterns in distinct sub-periods from different provincial housing sub-markets in the Netherlands. In particular, the results indicate that Noord-Holland was most predominant from 1995Q1 to 2005Q2, while Drenthe became most central in the period 2005Q3–2016Q1.
Keywords: Graphical models; House price diffusion; Spatial dependence; Spillover effect (search for similar items in EconPapers)
JEL-codes: C11 C15 C32 C52 R20 R32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:regeco:v:65:y:2017:i:c:p:56-64
Access Statistics for this article
Regional Science and Urban Economics is currently edited by D.P McMillen and Y. Zenou
More articles in Regional Science and Urban Economics from Elsevier
Bibliographic data for series maintained by Haili He ().