Search results for "House price"
showing 6 items of 6 documents
Housing market shocks in italy: A GVAR approach
2020
Abstract In this paper, we use a Global Vector Autoregression (GVAR) model to assess the spatio-temporal mechanism of house price spillovers, also known as “ripple effect”, among 93 Italian provincial housing markets, over the period 2004 − 2016 . In order to better capture the local housing market dynamics, we use data not only on house prices but also on transaction volumes. In particular, we focus on estimating, to what extent, exogenous shocks, interpreted as negative housing demand shocks, arising from 10 Italian regional capitals, impact on their house prices and sales and how these shocks spill over to neighbours housing markets. The negative housing market demand shock hitting the G…
Booms and busts in housing markets: determinants and implications
2009
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It finds that 1) most recent housing booms have been very persistent and of a significant magnitude; 2) there appears to be a strong correlation between the persistence and magnitude of booms and subsequent busts; 3) economic costs (in terms of GDP losses during the post-boom phase) depend significantly on the magnitude and duration of the boom and money and credit developments during that period; 4) a numb…
A wavelet analysis of the ripple effect in UK regional housing markets
2021
Abstract The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973–2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London …
Holes in the Dike: the global savings glut, U.S. house prices and the long shadow of banking deregulation
2015
We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2010. To obtain an ex ante measure of financial liberalization, we focus on the history of interstate-banking deregulation during the 1980s, i.e. prior to the large net capital inflows into the US from China and other emerging economies. Our results suggest a long shadow of deregulation: in states that opened their banking markets to out-of-state banks earlier, house prices were more sensitive to capital inflows. We provide evidence that global imbalances were a major positive funding sh…
Does the Spatial Weight Configuration Matter in the Determination of the Effects of Environmental Externalities on Housing Prices?
2012
This paper highlights, from both a theoretical and an empirical point of view, how the choice of neighborhood and spatial weight affects the direct and indirect effects of environmental housing attributes on house price in environmental hedonic models.An original empirical investigation is herein undertaken for the area of the lower Loire estuary (France), in order to illustrate and complement our theoretical analysis. The first thing it shows is that as the radius of the neighborhood increases, the spatial specification changes from the Spatial Durbin to the SLAG model, which could modify the MWTP of the environmental attribute and therefore affect welfare analysis. It shows also that the …
Booms and busts in housing markets: determinants and implications
2009
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It finds that 1) most recent housing booms have been very persistent and of a significant magnitude; 2) there appears to be a strong correlation between the persistence and magnitude of booms and subsequent busts; 3) economic costs (in terms of GDP losses during the post-boom phase) depend significantly on the magnitude and duration of the boom and money and credit developments during that period; 4) a numb…