REGIONAL HOUSING PRICE CYCLES: A SPATIO-TEMPORAL ANALYSIS USING US STATE LEVEL DATA
No hay miniatura disponible
Fecha
Autores
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
We present a study of the effects of macroeconomic shocks on housing prices in the Western
United States using quarterly state level data from 1988:1 – 2007:4. The study contributes to the
existing literature by explicitly incorporating locational spillovers through a spatial econometric
adaptation of vector autoregression (SpVAR). The results suggest these spillovers may Granger
cause housing price movements in a large number of cases. SpVAR provides additional insights
through impulse response functions that demonstrate the effects of macroeconomic events in
different neighboring locations. In addition, we demonstrate that including spatial information
leads to significantly lower mean square forecast errors.