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The spatial diffusion of regional housing prices across U.S. states

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  • Brady, Ryan R.
Abstract
In this paper I estimate the spatial diffusion of housing prices across U.S. states over a period from 1975 to 2011, showing how long and to what magnitude state-level housing prices are affected by a price shock emanating from surrounding states. I capture the spatial diffusion of regional housing prices with impulse response functions estimated directly from a single equation spatial autoregressive model. In addition, I compare and contrast spatial impulse response estimates over sub-periods. Results show that for the 1975 to 2011 period spatial diffusion of housing prices is statistically significant and persistent across states. This conclusion is robust to whether the model is estimated in levels or in first differences controlling for cointegration. Sub-period estimation, too, suggests the magnitude and persistence of spatial diffusion may be more pronounced after 1999 than before.

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  • Brady, Ryan R., 2014. "The spatial diffusion of regional housing prices across U.S. states," Regional Science and Urban Economics, Elsevier, vol. 46(C), pages 150-166.
    • Handle: RePEc:eee:regeco:v:46:y:2014:i:c:p:150-166
    DOI: 10.1016/j.regsciurbeco.2014.04.003
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    More about this item

    Keywords

    Housing prices; Impulse response functions; Linear projections; Spatial autocorrelation;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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