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作者

来源

REGIONAL SCIENCE AND URBAN ECONOMICS,Vol.65,P.56-64

语言

英文

关键字

Graphical models; House price diffusion; Spatial dependence; Spillover effect; STRUCTURAL-CHANGE; GRAPHICAL MODELS; UK; ECONOMETRICS; CONVERGENCE; PERSPECTIVE; CAUSALITY; COUNTRIES; SEARCH

作者单位

[Teye, Alfred Larm] Delft Univ Technol, Dept Res Built Environm OTB, Faculty Architecture & Built Environm, Julianalaan 134, NL-2628 BL Delft, South Holland, Netherlands. [Ahelegbey, Daniel Felix] Boston Univ, Math & Stat Dept, 111 Cummington Mall, Boston, MA 02215 USA. Teye, AL (reprint author), Delft Univ Technol, Dept Res Built Environm OTB, Faculty Architecture & Built Environm, Julianalaan 134, NL-2628 BL Delft, South Holland, Netherlands. E-Mail: a.l.teye@tudelft.nl

摘要

Following the 2007-08 Global Financial Crisis, there has been a growing research interest on the spatial interrelationships between house prices in many countries. This paper examines the spatio-temporal relationship between house prices in the twelve provinces of the Netherlands using a recently proposed econometric modelling technique called the Bayesian Graphical Vector Autoregression (BG-VAR). This network approach is suitable for analysing the complex spatial interactions between house prices. It enables a data-driven identification of the most dominant provinces where temporal house price shocks may largely diffuse through the housing market. Using temporal house price volatilities for owner-occupied dwellings from 1995Q1 to 2016Q1, the results show evidence of temporal dependence and house price diffusion patterns in distinct sub periods from different provincial housing sub-markets in the Netherlands. In particular, the results indicate that Noord-Holland was most predominant from 1995Q1 to 2005Q2, while Drenthe became most central in the period 2005Q3-2016Q1.