Search results for "housing market"

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…

Essays on financial stability: an analysis based on NUTS2 and NUTS3 data for Italy

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…

Putting time into space: the temporal coherence of spatial applications in the housing market

2016

International audience; Relationships between past events, future expectations and present decisions, typically examined through a temporal prism within applied economics, have been lately moving to the spatial dimension through spatial econometrics. However, violations of the “arrow of time”, and thus causality, have been identified in spatial econometric techniques applied to spatio-temporal data consisting of observations each at a specific location and distinct moment in time. A comprehensive review classifies for the first time several redresses to this issue in a currently fragmented literature. This paper puts back the temporal dimension into spatial Hedonic Pricing models through a …

Forms and Functions of the Real Estate Market of Palermo (Italy). Science and Knowledge in the Cluster Analysis Approach

2016

The analysis of the housing market of a city requires suitable approaches and tools, such as data mining models, to represent its complexity which derives on many elements, e.g. the type of capital asset-house is a common good and an investment good as well, the heterogeneity of the urban areas—each of them has own historical and representative values and different urban functions—and the variability of building quality. The housing market of the most densely populated area of Palermo (Italy), corresponding to ten districts, is analyzed to verify the degree of its inner homogeneity and the relations between the quality of the characteristics and the price of the properties. Five hundred set…

Past price “memory” in the housing market: testing the performance of different spatio-temporal specifications.

2017

ABSTRACTRecent methodological developments provide a way to incorporate the temporal dimension when accounting for spatial effects in hedonic pricing. Weight matrices should decompose the spatial effects into two distinct components: bidirectional contemporaneous spatial connections; and unidirectional spatio-temporal effects from past transactions. Our iterative estimation approach explicitly analyses the role of time in price determination. The results show that both spatio-temporal components should be included in model specification; past transaction information stops contributing to price determination after eight months; and limited temporal friction is exhibited within this period. T…

Is there a Market Value for Energy Performance in a Local Private Housing Market ? An efficiency analysis approach

2018

This paper aims to find evidence of a “green value” in a local housing market using notarial data on a small urban area in France. We use frontier functions, an original approach that departs from customary hedonistic regressions, to model housing market prices as a production set bordered by an efficiency frontier estimated by Data Envelopment Analysis (DEA). The paper tests if difference in prices (i.e. the distance from the frontier) can be explained by energy performance measured as a normalized categorical ascending kWh/m²/year grade (or Energy Performance Certificate -EPC). We show that there is significative evidence for energy performance's market value. The “Green Property Value” i…

Mass appraisal of residential real estate using multilevel modelling

2016

Mass appraisal, or the automatic valuation of a large number of real estate assets, has attracted the attention of many researchers, who have mainly approached this issue employing traditional econometric models such as Ordinary Least Squares (OLS). However, this method does not consider the hierarchical structure of the data and therefore assumes the unrealistic hypothesis of the independence of the individuals in the sample. This paper proposes the use of the Hierarchical Linear Model (HLM) to overcome this limitation. The HLM also gives valuable information on the percentage of the variance error caused by each level in the hierarchical model. In this study HLM was applied to a large dat…

La mobilité résidentielle transfrontalière dans l'Arc jurassien franco-suisse

2011

ACL; National audience

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…