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U.S. Metropolitan House Price Dynamics

Author

Listed:
  • Elias Oikarinen

    (University of Turku)

  • Steven C. Bourassa

    (Florida Atlantic University)

  • Martin Hoesli

    (University of Geneva, Swiss Finance Institute, and University of Aberdeen)

  • Janne Engblom

    (University of Turku)

Abstract

Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences and analyze the relationship between the price elasticity of housing supply and the income elasticity of prices, as well as bubble size and duration. The long-term elasticity of house prices with respect to aggregate personal income averages 0.81, but varies considerably across metropolitan areas. The long-term income elasticity generally is greater in the more supply-inelastic metropolitan areas, and we show that bubble size and duration are inversely related to supply elasticity. Also short-term momentum and reversion dynamics show substantial spatial heterogeneity.

Suggested Citation

  • Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017. "U.S. Metropolitan House Price Dynamics," Swiss Finance Institute Research Paper Series 17-72, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1772
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    3. John Muellbauer, 2019. "A Tale of Two Cities: Is Overvaluation a Capital Issue?," Springer Books, in: Rob Nijskens & Melanie Lohuis & Paul Hilbers & Willem Heeringa (ed.), Hot Property, chapter 0, pages 51-62, Springer.
    4. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2019. "Property heterogeneity and convergence club formation among local house prices," Journal of Housing Economics, Elsevier, vol. 43(C), pages 1-13.
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    6. Christian A. L. Hilber, 2019. "Immobilienpreise und Immobilienzyklen und die Rolle von Angebotsbeschränkungen [The impact of local supply constraints on house prices and price dynamics]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 5(1), pages 37-65, November.
    7. Chen, Feng & Mei, Chang-Lin, 2021. "Scale-adaptive estimation of mixed geographically weighted regression models," Economic Modelling, Elsevier, vol. 94(C), pages 737-747.
    8. Engerstam, Sviatlana, 2020. "Macroeconomic determinants of apartment prices in Swedish and German cities," Working Paper Series 20/2, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    9. Lu, Yunzhi & Li, Jie & Yang, Haisheng, 2021. "Time-varying inter-urban housing price spillovers in China: Causes and consequences," Journal of Asian Economics, Elsevier, vol. 77(C).
    10. Chimere O. Iheonu & Simplice A. Asongu & Kingsley O. Odo & Patrick K. Ojiem, 2020. "Financial sector development and Investment in selected countries of the Economic Community of West African States: empirical evidence using heterogeneous panel data method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-15, December.
    11. Mohammad Reza Farzanegan & Mehdi Feizi & Hassan F. Gholipour, 2021. "Drought and Property Prices: Empirical Evidence from Provinces of Iran," Economics of Disasters and Climate Change, Springer, vol. 5(2), pages 203-221, July.
    12. Chimere O. Iheonu & Simplice A. Asongu & Kingsley O. Odo & Patrick K. Ojiem, 2020. "Financial Sector Development and Investment in Selected ECOWAS Countries: Empirical Evidence using Heterogeneous Panel Data Method," Research Africa Network Working Papers 20/045, Research Africa Network (RAN).
    13. Mohammad Reza Farzanegan & Mehdi Feizi & Hassan F. Gholipour, 2019. "Drought and Property Prices: Empirical Evidence from Iran," MAGKS Papers on Economics 201916, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    14. Shengguo Li & Jiaqi Liu & Jichang Dong & Xuerong Li, 2021. "20 Years of Research on Real Estate Bubbles, Risk and Exuberance: A Bibliometric Analysis," Sustainability, MDPI, vol. 13(17), pages 1-24, August.
    15. Prempeh Kwadwo Boateng & Frimpong Joseph Magnus & Yeboah Samuel Asuamah, 2024. "The dynamics of financial development, environmental degradation, economic growth and population health in the Economic Community of West African States," Environmental & Socio-economic Studies, Sciendo, vol. 12(2), pages 13-27.
    16. Antoine Giannetti, 2021. "Home Sales Pair Counts: The Organic Metric for Trading Volume in Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(2), pages 610-634, June.
    17. P. S. Morawakage & G. Earl & B. Liu & E. Roca & A. Omura, 2023. "Housing Risk and Returns in Submarkets with Spatial Dependence and Heterogeneity," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 695-734, November.
    18. Xiaoping Zhou & Zhenyang Qin & Yingjie Zhang & Linyi Zhao & Yan Song, 2019. "Quantitative Estimation and Spatiotemporal Characteristic Analysis of Price Deviation in China's Housing Market," Sustainability, MDPI, vol. 11(24), pages 1-28, December.
    19. Leung, Charles Ka Yui, 2022. "Housing and Macroeconomics," MPRA Paper 115500, University Library of Munich, Germany.

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    More about this item

    Keywords

    house prices; dynamics; panel data; spatial heterogeneity; spatial dependence; bubbles;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
    • 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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