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Housing is local: Applying a dynamic unobserved factor model for the Dutch housing market

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  • Klarl, Torben

Abstract

We employ the multi-factor extension of the Otrok and Whiteman (1998) single, dynamic unobserved factor model in order to investigate regional Dutch house price fluctuations for the years 1995–2012. This paper is mainly concerned with two questions: First, is the Dutch housing market localized? Second, to which factors can we trace back this localization? We find that the Dutch housing market is highly localized. Although there is an important common housing cycle explaining house price comovement across all regions, idiosyncratic factors play the most important role. Although notably, group specific factors, separating Randstad of non-Randstad regions, are only of minor importance. Nevertheless, they can explain region-specific housing supply shocks. This latter finding can be partly traced back towards an agglomeration effect for Randstad regions.

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  • Klarl, Torben, 2018. "Housing is local: Applying a dynamic unobserved factor model for the Dutch housing market," Economics Letters, Elsevier, vol. 170(C), pages 79-84.
    • Handle: RePEc:eee:ecolet:v:170:y:2018:i:c:p:79-84
    DOI: 10.1016/j.econlet.2018.05.037
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    Cited by:

    1. Bhatt, Vipul & Kishor, N. Kundan, 2021. "(A)Synchronous Housing Markets of Global Cities," MPRA Paper 107175, University Library of Munich, Germany.

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    More about this item

    Keywords

    Housing; Business cycles; Bayesian analysis; Housing supply;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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