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Asymmetric Behaviour of Spanish Regional House Prices: A Multivariate Approach

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  • Larraz-Iribas, Beatriz
  • Alfaro-Navarro, Jose-Luis
  • Rodriguez-Aragon, Francisco

Abstract

The real estate market generates much literature because it is an issue of utmost importance. The rise in house prices is one of the issues that has raised a great deal of concern among the general public. This paper analyzes the asymmetric behaviour of real house prices among Spanish regions, using univariate and multivariate techniques to study their long-run relationships. Results indicate some evidence of cointegration, which suggests a broad grouping of regions based on physical proximity or similar economic characteristics. The Johansen cointegration test reveals the region that has the greatest influence on long-run equilibrium among those with whom it shares a border.

Suggested Citation

  • Larraz-Iribas, Beatriz & Alfaro-Navarro, Jose-Luis & Rodriguez-Aragon, Francisco, 2008. "Asymmetric Behaviour of Spanish Regional House Prices: A Multivariate Approach," The Journal of Economic Asymmetries, Elsevier, vol. 5(2), pages 81-104.
    • Handle: RePEc:eee:joecas:v:5:y:2008:i:2:p:81-104
    DOI: 10.1016/j.jeca.2008.02.006
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    References listed on IDEAS

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    1. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-174, January.
    2. Jonathan McCarthy & Richard Peach, 2004. "Are home prices the next \\"bubble\\"?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-17.
    3. Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
    4. McDonald, Ronald & Taylor, Mark P, 1993. "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
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    Cited by:

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    3. Nikolaos Antonakakis & Ioannis Chatziantoniou & Christos Floros & David Gabauer, 2018. "The dynamic connectedness of UK regional property returns," Urban Studies, Urban Studies Journal Limited, vol. 55(14), pages 3110-3134, November.
    4. Duran, Hasan Engin & Özdoğan, Hilal, 2020. "Asymmetries across regional housing markets in Turkey," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    5. Francisco Blanco & Victor Martín & Guillermo Vazquez, 2016. "Regional house price convergence in Spain during the housing boom," Urban Studies, Urban Studies Journal Limited, vol. 53(4), pages 775-798, March.

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    More about this item

    Keywords

    C22; O18; P25; House prices; Unit root; Long-run equilibrium; Convergence; Johansen cointegration test;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O18 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
    • P25 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Urban, Rural, and Regional Economics

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