Real effects of regional house prices: dynamic panel estimation with heterogeneity

Sònia Muñoz

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper uses recently developed methods for estimating dynamic heterogeneous cointegrated panel data models - which allows for heterogeneity in parameters and dynamics across agents - to study housing wealth effects in a dynamic model of the 50 US states and the District of Columbia from the 1970s to the 1990s. The results show that housing prices have a unit root and are cointegrated with consumption. Even though an aging population has some effect on consumption in some states, it cannot account for the heterogeneity in housing wealth elasticities. Finally, we find that when state heterogeneity is taken into account, housing capital gains translate into increased spending with an elasticity ranging from 0.15 to 0.23.

Keywords: Housing price behaviour; Wealth effects; Dynamic panel estimation (search for similar items in EconPapers)
JEL-codes: C32 C33 E21 E31 G12 R31 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2004-04
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24704

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