Regionale Hauspreiszyklen: Eine räumlich-zeitliche Analyse von Daten auf US-Bundesstaatsebene

Translated title of the contribution: Regional housing price cycles: A spatio-temporal analysis using US state-level data

Todd H. Kuethe, Valerien O. Pede

Research output: Contribution to journalArticlepeer-review

Abstract

A study is presented of the effects of macroeconomic shocks on housing prices in the Western United States using quarterly state-level data from 1988:1 to 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 neighbouring locations. In addition, it is demonstrated that including spatial information leads to significantly lower mean-square forecast errors.

Translated title of the contributionRegional housing price cycles: A spatio-temporal analysis using US state-level data
Original languageFrench
Pages (from-to)563-574
Number of pages12
JournalRegional Studies
Volume45
Issue number5
DOIs
StatePublished - May 2011

Keywords

  • Housing prices
  • Spatial econometrics
  • Vector autoregression (VAR)

ASJC Scopus subject areas

  • Environmental Science(all)
  • Social Sciences(all)

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